Nominal exchange rate regimes and the stochastic behavior of real variables

Article Abstract:

The properties of macroeconomic variables under alternative exchange rate regimes are analyzed according to volatility, persistence and the relative importance of symmetric compared to asymmetric shocks as the driving force of the business cycle. Results show that the persistence of industrial production and real exchange rate is reduced in the floating period while real interest rates and unemployment are more persistent. The conditional variance of industrial production, real exchange rates and unemployment are highly variable in the post-Bretton Woods era.

Analysis, Monetary policy, Macroeconomics

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Are exchange rate expectations adaptive? Evidence from a structural open economy macro model

Article Abstract:

A fully-specified, open-economy macro model has been used to examine if the exchange rate expectations of major countries such as Germany, France, the US and Canada are static or adaptive. Results show that static expectations cannot be rejected in exchange of adaptive expectations at the 5% significance level in Canada, France, the US and the UK and at 1% level for Germany. However, in Italy and Japan, the static expectations can be eliminated in favor of adaptive expectation at 1% level.

Administration of General Economic Programs, Economics, Research and Development in the Social Sciences and Humanities, Currency Stabilization Programs, Research, Foreign exchange, Currency stabilization, Rational expectations (Economics), Open market operations

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