Search Results
Journal Article
Why are exchange rates so difficult to predict?
A quarter-century quest hasn't found the elusive links between economic fundamentals and currency values. ; The U.S. dollar has been losing value against several major currencies this decade. Since 2001-02, the U.S. currency has fallen about 50 percent against the euro, 40 percent against the Canadian dollar and 30 percent against the British pound .
Journal Article
China's sputtering housing boom poses broad economic challenge
China?s economic slowdown and changing demographics cloud its housing market?s long-term prospects. While urbanization and a lack of alternative investment opportunities provide short-run support, the housing sector?s difficulties imperil China?s financial sector and the global recovery.
Report
Micro-Foundations of International Trade, Global Imbalances and Implications on Monetary Policy
Researchers from the U.S., Canada and China gathered in Shanghai to explore exchange rates, offshoring and trade policies. Research presented at the conference employed microdata of trade volumes and prices at the firm and product levels, which provide valuable information on crucial global economic issues such as trade imbalances, economic development and wage inequality.
Journal Article
Durable goods and the collapse of global trade
Global trade has experienced a stunning collapse in the current recession, with the World Trade Organization estimating a decrease of roughly 9 percent in 2009--the biggest contraction since the Second World War. The swift decline caused substantial damage to the global economy, hitting Japan and other countries with large trade sectors especially hard. It also raised concerns that the trade collapse would worsen the global recession and delay recovery. ; Several factors contributed to the global trade collapse. However, the ultimate causes are tied to the global financial crisis that started ...
Working Paper
The Taylor rule and forecast intervals for exchange rates
This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold.> ; First, we find that in general, Taylor rule models generate tighter ...
Working Paper
Lottery-related anomalies: the role of reference-dependent preferences
Previous empirical studies find that lottery-like stocks significantly underperform their nonlottery-like counterparts. Using five different measures of the lottery features in the literature, we document that the anomalies associated with these measures are statedependent: the evidence supporting these anomalies is strong and robust among stocks where investors have lost money, while among stocks where investors have gained profits, the evidence is either weak or even reversed. Several potential explanations for such empirical findings are examined and we document support for the explanation ...
Report
Gauging International Shocks and Their Implications
The Globalization and Monetary Policy Institute cosponsored a conference on ?International Linkages in a Globalized World and Implications for Monetary Policy? with the School of International Business Administration at Shanghai University of Finance and Economics (SHUFE) and Shanghai Institute of Finance and Law. The event was held at SHUFE on June 21?22.
Working Paper
The Taylor rule and forecast intervals for exchange rates
This paper attacks the Meese-Rogoff (exchange rate disconnect) puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semi-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold. First, we find that in general, Taylor rule models generate tighter ...
Discussion Paper
Exchange rate pass-through into U.K. import prices: evidence from disaggregated data
In this paper we estimate the rate of exchange rate pass-through (ERPT) into U.K. import prices using disaggregated data at the SITC-2 and SITC-3 digit levels. We show that the ERPT varies at the disaggregate level. Because of this heterogeneity at the disaggregate level, the estimate of the ERPT using aggregate data is found substantially upward-biased in our U.K. data. The upward bias exaggerates the impact of exchange rate movements on the competitiveness of imported goods relative to domestically produced goods. Further, we investigate the source of the heterogeneity of the ERPT at the ...
Journal Article
Asia recalls 1997 crisis as investors await Fed tapering
Asian economies now appear better positioned to deal with adverse external financial shocks.