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List of Tables ix
List of Figures x
Notes on the Contributors xi
Introduction 1
The Purchasing Power Parity and its Implications for Equilibrium Exchanges Rates
Three Exchange Rate Puzzles: Fact or Fiction? Ronald MacDonald 9
Introduction 9
The PPP puzzle 10
Testing PPP 14
Econometric explanations for the PPP puzzle 23
The volatility puzzle 32
The forward-looking monetary relationship and the magnification effect 33
Empirical evidence on inter- and intra-regime volatility 44
The levels puzzle and out-of-sample forecasting 46
Summary and conclusions 53
The Real Exchange Rate Misalignment in the Five Central European Countries - Single Equation Approach Jan Frait Lubos Komarek Martin Melecky 61
Introduction 61
Development and determinants of the real exchange rates 63
The real exchange rate developments in the new EU Member States 63
The fundamental factors affecting the real exchange rate 67
The equilibrium real exchange rate concepts 68
Methods based on an economic theory 69
Outline of the behavioural model for EU5 countries 70
Empirical evaluation and evidence for the EU5 countries 72
Empirical techniques 72
Misalignments of the EU5 countries' currencies 78
Conclusion 81
Real Equilibrium Exchange Rate in China. Is the Renminbi Undervalued? Virginie Coudert Cecile Couharde 94
Introduction 94
Is the renminbi undervalued? The 'usual suspects' 95
Estimating the Balassa effect 98
The Balassa effect 98
Cross-section estimations 100
Panel data estimations 103
Discussion 107
Why is there no Balassa effect at work in China? 107
Comparisons with previous results 108
Conclusion 110
Exchange Rates Dynamics and Pass-Through Effects
Exchange Rate Pass-Through Effect and Monetary Policy in Russia Victoria V. Dobrynskaya Dmitry V. Levando 115
Introduction 115
Literature review 118
Theories of exchange rate PTE 118
Empirical evidence 119
Influence of monetary policy on PTE 121
Theoretical model 121
Empirical analysis 123
Data 123
Methodology and results 125
Influence of monetary policy on PTE 132
Conclusion 135
Disaggregated Econometric Models to Forecast Inflation in Hungary Viktor Varpalotai 139
Introduction 139
Inflation forecasting models used by the MNB 140
The disaggregated cost pass-through based inflation forecasting model 142
Framework of the model 142
Econometric issues: Distributed lag estimator derived from smoothness priors 149
Empirical results and the predictive accuracy of the model 150
Conclusions 153
Exchange Rates Dynamics and Structural Shocks on Economies
An Open Economy Dynamic General Equilibrium Model Linking the Euro Area and the US Economy Gregory de Walque Raf Wouters 169
Introduction 169
Model description 172
Households 172
The firms and price setting 176
Balance of payments 182
Market equilibrium 182
The US economy and the rest of the world 183
The monetary policy 184
Structural shocks summary 184
Data and estimation 185
Impulse response functions for the shocks 191
Productivity shocks 191
Domestic demand shocks 201
Monetary policy shocks 201
Oil shocks 204
Uncovered interest rate parity shock to the exchange rate 209
ROW shocks 209
Model validation by summary statistics 210
The unconditional variance decomposition of the forecast errors 214
Conclusion 223
Liberalisation Shocks and Real Exchange Rates Appreciation in the Transition Economies Christos Papazoglou 227
Introduction 227
The model 229
The general solution of the system 233
Increase in core inflation 235
Decrease in the demand for money 237
Conclusions 239
Index 243
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Add Exchange Rates and Macroeconomics Dynamics, This book examines the numerous aspects of exchange rates and the dynamics of macroeconomics, focusing on the PPP puzzle, volatility, levels, with an exploration of the real exchange rate misalignment of the Central European countries single equation, Exchange Rates and Macroeconomics Dynamics to the inventory that you are selling on WonderClubX
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Add Exchange Rates and Macroeconomics Dynamics, This book examines the numerous aspects of exchange rates and the dynamics of macroeconomics, focusing on the PPP puzzle, volatility, levels, with an exploration of the real exchange rate misalignment of the Central European countries single equation, Exchange Rates and Macroeconomics Dynamics to your collection on WonderClub |