Real Exchange Rates and Fundamentals: Evidence from 15 OECD Countries

In an extended Balassa–Samuelson model, long-run real exchange rates are determined by relative productivity and terms of trade. We present evidence of systematic long-run relationships between these fundamental variables and real exchange rates in a data set covering 15 OECD countries from 1960 to 1996. High relative productivity is associated with real exchange rate appreciations in most cases. There is less support for the hypothesis that the terms of trade affect equilibrium real exchange rates.     

Dynamic Relationships between Exchange Rates and Foreign Direct Investment: Empirical Evidence from Korea

This paper examines the short‐run and long‐run dynamic relationships between exchange rates and foreign direct investment (FDI) in Korea. Monthly data retrieved from the Bank of Korea from January 1999 to March 2012 are examined. A cointegration test, a vector error correction model, the Wald test and impulse responses techniques are applied to analyze the data. The present study finds that, first, long‐run causation between exchange rates and FDI flows exists, which implies that a change in exchange rates negatively affects FDI flows in the long run. Second, short‐run causation between exchange rates and FDI flows exists, which confirms that there is reciprocal feedback between the two variables. Finally, the study finds evidence of a structural break from the global financial crisis of 2007–2009 shock to FDI flows in Korea. An external shock affects changes in the endogenous variables and, thus, causes instability in the cointegrating vector in the system.     

股票价格与汇率之间的动态关系——基于中国市场的经验分析

本文以利差为外生变量,基于向量自回归多元EGARCH模型和日数据,对我国股价与汇率之闻的动态关系进行了实证研究和深入分析.研究发现:在价格溢出方面,只存在外汇市场到股票市场短期单向引导关系,但利差对股价和汇率均存在价格溢出效应;在波动溢出方面,股票市场对外汇市场存在非对称的波动溢出效应,而外汇市场对股票市场只存在对称的波动溢出效应,利差的变化对股票市场和外汇市场都不存在波动溢出效应;与国内相关研究结论不同的是,我们没有发现股价与汇率之间存在长期均衡关系.     

基于复杂系统和混沌理论的双重汇率模型

本文基于复杂系统和混沌理论，建立一个包含发达国家和发展中国家两个子系统的双重汇率的模型，然后分析了发展中国家子系统的耗散与均衡。研究结果表明，长期的大规模资本流入是造成系统性危机的主要原因，双重汇率可以隔绝外国利率变化对发展中国家价格水平和经常账户的影响。     

Risk Related Non Linearities in Exchange Rates: Evidence from a Panel of Central and Eastern European Countries

This paper investigates the recent evolution of five Eastern European exchange rates. Our aim is twofold: to provide an up-to-date view of the predictability and main relations of spot rates with economic fundamentals and to derive some considerations about exchange rate regimes, capital flows, and risk appetite. We propose a non-linear specification where the non-linearity refers to the effect of the interest rate differential. The paper supports the view that given the relevance of capital flows and their sensitivity to risk adjusted yield differentials, the choice of exchange rate regime should be a matter of careful strategy.     

Has the Link Between the Spot and Forward Exchange Rates Broken Down? Evidence from Rolling Cointegration Tests

Recent literature reported conflicting results about the cointegration relationship between the spot and forward exchange rates. Applying rolling cointegration tests to the mark, yen, and Swiss franc with respect to the U.S. dollar for the post-80 period, we find that the relationship between the two rates broke down in the late 1980s. Although they became cointegrated again during the mid-90s, they no longer co-moved proportionally. It is argued that failure to account for such significant structural changes in the data generating process explains, at least partially, the conflicting findings reported in the literature.     

Exchange Rate Returns and External Adjustment: Evidence from Switzerland

This paper studies the predictive power of external imbalances for exchange rate returns. We focus on Switzerland, a very open economy where exchange rate movements have a strong effect on external imbalances through valuation effects and trade flows. Using a simple modification of the Gourinchas and Rey (J Polit Econ 115(4):665–703, 2007) approach to make their approximation applicable to Switzerland, we find that measures of deviations from trends in Swiss net foreign assets and net exports help to forecast Swiss franc nominal effective exchange rate movements, both in and out of sample.     

汇率冲击和行业就业调整

根据Campa和Goldberg的贸易结构理论,我们对国内15个行业就业和汇率间的关系进行了实证研究。结果发现大多数行业在汇率冲击后的反应和理论一致,即人民币升值会抑制其就业增长,而贬值有利于其就业扩张,尤其是对高开放度和劳动密集型行业影响显著。但由于其他行业就业汇率弹性并不显著,因此降低了整体就业汇率弹性的显著性。此外,由于我国各行业开放度高于美国,因此就业汇率弹性也较大。     

CEO话杨浦

曾经，很多企业在选择杨浦前抱有疑虑。杨浦区政府利用自身优势与特点，通过与企业数年的磨合与互动，打造了一个相比张江等成熟科技创业基地，更具人性化的孵化环境，得到越来越多企业的认可。     

Exchange Rate Variability and the Macro-economy: Evidence from Developing and Developed Countries

Abstract

Using annual data, the paper studies the time-series evidence regarding the allocation of fluctuations in the exchange rate between demand components, real growth, and price inflation in a sample of developing and advanced countries. The evidence reveals patterns of interaction between the macro-economy and exchange rate variability. Across developing countries, appreciation decreases the cost of imports and price inflation, while depreciation shrinks the output supply, indicating high dependency on imported goods. The reduction in output supply correlates with higher inflation and an increase in the import value. In contrast, the evidence of the negative effect of currency appreciation on output growth is more prevalent across advanced countries, while depreciation stimulates competitiveness, resulting in higher demand for exports, investment and consumption. Across developing countries, exchange rate variability decreases trend real growth and increases trend price inflation. Across advanced countries, exchange rate variability decreases trend real growth while increasing the variability of price inflation and import growth. Minimizing variability of the exchange rate would be beneficial to sustain higher growth and reduce cyclical variability in developing and advanced countries.     

Employment and Exchange Rates: The Role of Openness and Technology

Real exchange rate movements are important drivers of the reallocation of resources between sectors of the economy. Economic theory suggests that the impact of exchange rates should vary with the degree of exposure to international competition and with the technology level. We show that both the degree of openness and the technology level mediate the impact of exchange rate movements on labour market developments. According to our estimations, whereas employment in high-technology sectors seems to be relatively immune to changes in real exchange rates, these appear to have sizable and significant effects on highly open low-technology sectors. The analysis of job flows suggests that the impact of exchange rates on these sectors occurs through employment destruction.     

对汇率混沌的一种理论解释

用混沌理论和方法来研究汇率的决定问题是一个重要的发展方向。许多研究表明:汇率存在混沌现象。本文尝试对此进行理论性解释:汇率系统属于一个耗散系统,具有明显的非线性特征。信息的非均匀交换和处理是汇率系统表现出非线性的直接诱因,混沌则是复杂非线性的潜在可能。外汇交易市场上的需求和供给则为汇率走向混沌提供了可能的路径。本文最后指出,由于大多数混沌对系统是有害的,因此,需要加强央行的干预与管制。     

Mozambique Metical Exchange Rate Dynamics: Evidence of Fractional Co‐Integration in the USA and South African Rates

This paper studies the exchange rate dynamics of the Mozambique metical with respect to the US dollar and the South African rand. However, instead of using standard I(0)/I(1) techniques, we use long memory and fractionally integrated and co‐integrated models. Our results indicate that the two exchange rates are highly persistent, with orders of integration equal to or above 1. They also seem to be co‐integrated, with an order of integration close to albeit above 0 but with an AR coefficient very close to 1. Thus, although the two series seem to be fractionally co‐integrated, shocks in the long‐run relationship between the two variables are persistent and take a long time to disappear.     

Central Bank Intervention and Heterogeneous Exchange Rate Expectations: Evidence from the Daily DEM/US-Dollar Exchange Rate

In this paper we propose a generalisation of the noise trader transmission mechanism to examine the impact of central bank intervention on exchange rates. Within a heterogeneous expectation exchange rate model intervention operations are supposed to provide support for chartist or fundamentalist forecasts, which forces portfolio managers to adjust their foreign currency positions. The empirical examination of the hypothesis is done by applying a Markov regime-switching approach to daily DEM/US-dollar exchange rates and intervention data of the Deutsche Bundesbank and the Federal Reserve from 1979 to 1992. It is shown that chartists profits rose whenever these central banks intervened on the foreign exchange market. This is not true for those who follow a fundamentalist approach.JEL Classification Numbers: F31, C32, E58, G15