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Friday, July 17, 2020 | History

2 edition of Testing for the fundamental determinants of the long-run real exchange rate found in the catalog.

Testing for the fundamental determinants of the long-run real exchange rate

Hsiu-ling Wu

Testing for the fundamental determinants of the long-run real exchange rate

the case of Taiwan

by Hsiu-ling Wu

  • 345 Want to read
  • 11 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Foreign exchange rates -- Taiwan -- Econometric models.,
  • Money -- Taiwan -- Econometric models.,
  • Purchasing power parity -- Taiwan -- Econometric models.

  • Edition Notes

    StatementHsiu-Ling Wu.
    SeriesNBER working paper series -- working paper 5787, Working paper series (National Bureau of Economic Research) -- working paper no. 5787.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination29 p. :
    Number of Pages29
    ID Numbers
    Open LibraryOL22411661M

    (4) Image. Eq. 4 is illuminating since it shows three possibly important sources of long-run real exchange rate variability: non-constancy of the true exchange rate for traded goods, that will occur if the kinds of goods stepping into international trade are imperfect substitutes and there are factors (discussed below) which expose systematic variability into Image; actions in the relative. Highlights We developed a real exchange rate model for a small-open economy. The model was tested on Canadian data for the period – It was found that the model performs very well in both long and short runs. None of the domestic fiscal variables has any statistically significant impact on the growth of the real exchange rate over the by:

    The NATREX approach offers an alternative paradigm to the Purchasing Power Parity for equilibrium real exchange rates. NATREX is the acronym for NATural Real EXchange, referring to a medium‐run, inter‐cyclical equilibrium real exchange rate, determined by real, fundamental factors. Importantly, the NATREX is a moving equilibrium real exchange rate, responding to continual changes in Author: Jerome L. Stein. This is “Long-Run Determinants of Exchange Rates”, section from the book Finance, Banking, and Money (v. ). For details on it (including licensing), click here. This book is licensed under a Creative Commons by-nc-sa license.

    Fiscal considerations become fundamental determinants of the decision of different foreign exchange regime. ‘In the long run, in contrast, exchange rate movements are driven by the “fundamental,” leading to a relationship between interest rates and exchange rates that are more consistent with UIP [Uncovered interest parity]’ [6]. What.   Short Run vs Long Run Determinants of Exchange Rates Date: Septem Author: George Alogoskoufis 0 Comments In the very short run exchange rates are determined by uncovered interest parity, i.e. the condition that the returns on deposits in different currencies must be equal when expressed in a common currency (foreign exchange market.


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Testing for the fundamental determinants of the long-run real exchange rate by Hsiu-ling Wu Download PDF EPUB FB2

Testing for the Fundamental Determinants of the Long-Run Real Exchange Rate: The Case of Taiwan Hsiu-Ling Wu Chapter in NBER book Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues (), Takatoshi Ito and Anne O.

Krueger, editors (p. - )Cited by: 5. 14 Testing for the Fundamental Determinants of the Long- Run Real Exchange Rate: The Case of Taiwan Hsiu-Ling Wu Introduction The real exchange rate between two countries' currencies has been recognized as a key measure of the prices of foreign goods relative to.

Testing for the Fundamental Determinants of the Long-Run Real Exchange Rate: The Case of Taiwan, Hsiu-Ling Wu. in Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues, Ito and Krueger.

Cited by: 5. The methods of cointegration and error correction are used to test three models of the long run real exchange rate between the US and other G countries. The models are as proposed by the theory of purchasing power parity, by the hypothesis of Fisher open rational expectations and by the analysis described in Allen and Stein ().Cited by: 7.

North-Holland Testing for the fundamental determinants of the long run real exchange rate G.C. Lim* University of Melbourne, Parkville, 14ctoria, Australia Received Octoberfinal version received September The methods of cointegration and error correction are used to test three models of the long run real exchange rate between the US and other G by: 7.

Get this from a library. Testing for the fundamental determinants of the long-run real exchange rate: the case of Taiwan.

[Hsiu-Ling Wu; National Bureau of Economic Research.]. First, the real exchange rates between the Taiwanese and the US dollar did not move as PPP predicts by cointegration test and impulse response function analysis. Also, through the analyses of impulse response functions, innovation in nominal exchange rate, domestic and foreign prices results in permanent changes in the real exchange rate.

Fundamental determinants of the long run real exchange rate: tested by simply testing for whether the real exchange rate is stationary or not. Alternatively, PPP can R. and I. Marsh Author: Hilde C. Bjørnland. Request PDF | The Determinants of Long-Run Real Exchange Rate in South Africa: A Fundamental Equilibrium Approach | In this paper, we identify the fundamental determinants of the longrun exchange.

as determinants of real exchange rate. The remainder of this paper is organized as follows. In Section 2 we review major real exchange rate determinants for developing countries. In section 3 we expose rst the Balassa-Samuelson benchmark model and then a more general model for real exchange rate determinants in order to give a.

Fundamental determinants of the real exchange rate of the Indian rupee: Long run equilibrium and short term behavior 1. Introduction An economy is linked to the world economy through two broad channels: trade and finance. India’s economic policy reforms of File Size: KB. Request PDF | Determinants of the Real Exchange Rate in the Long-Run for Developing and Emerging Countries: A Theoretical and Empirical Approach | This paper presents a new framework for the.

Testing for the fundamental determinants of the long-run real exchange rate: the case of Taiwan. [Hsiu-Ling Wu; National Bureau of Economic Research.] -- Abstract: Three things have been suggested in this paper regarding the real exchange rate movements of the Taiwanese dollar with respect to the US dollar.

Get this from a library. Testing for the Fundamental Determinants of the Long-Run Real Exchange Rate: The Case of Taiwan.

[Hsiu-Ling Wu] -- Three things have been suggested in this paper regarding the real exchange rate movements of the Taiwanese dollar with respect to the US dollar. First, the real exchange rates between the Taiwanese. This book greatly enhances our understanding of the behavior of real exchange rates.

It provides an elegant model based on a solid theoretical foundation that links real exchange rates to their fundamental economic determinants and takes proper account of stock and flow considerations.

Downloadable (with restrictions). In this paper, we identify the fundamental determinants of the long-run exchange rate in South Africa. We then estimate the equilibrium real exchange rate for this country using a dataset covering the period – In order to account for possible short-run fluctuations in the real exchange rate, we conducted a cointegration test using the ARDL bounds.

First, the real exchange rates between the Taiwanese and the US dollar did not move as PPP predicts by cointegration test and impulse response function analysis. Also, through the analyses of impulse response functions, innovation in nominal exchange rate, domestic and foreign prices results in permanent changes in the real exchange : Hsiu-Ling Wu.

Downloadable. Modelling the Norwegian exchange rate against a basket of currencies, we find a robust long-term link between the real exchange rate and real interest differential that is consistent with purchasing power parity (PPP) and uncovered interest parity (UIP). However, PPP alone is rejected.

These findings are confirmed focusing on the Norwegian bilateral exchange rate with Germany and. In order to account for possible short-run fluctuations in the real exchange rate, we conducted a cointegration test using the ARDL bounds testing procedure.

First, we found terms of trade, trade openness, government consumption, net foreign assets and real commodity prices to be the long-run determinants of the real exchange rate in South by: 2. Long-run relationships: the lock between real exchange rates and real interest rates. Testing the relationship between a real exchange rate and a real interest differential, conditional on a constant equilibrium rate, has proven to be a relatively popular, although unsuccessful, way of modelling real exchange by:.

Moreover, the real exchange rate is argued to influence balance of payment of a country. Therefore it is important to determine factors that influence the real exchange rate (Miyakoshi, ). A suitable or targeted level of the real exchange rate can be achieved through influencing the real exchange rate by: Faruqee, Hamid,“Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Equilibrium Approach,” Staff Papers, International Monetary Fund, pp.

80– CrossRef Google ScholarCited by: model allows only the ‘fundamentals’ or real variables to play a role in determining the long run equilibrium real exchange rate, whereas both real and nominal factors influence the actual real exchange rate in the short run.

The model assumes a small, open economy, which produces and consumes two goods - tradables and Size: 86KB.