Exchange-Rate Variability, Real and Monetary Shocks, and the Degree of Capital Mobility Under Rational Expectations

1980 ◽  
Vol 95 (3) ◽  
pp. 577 ◽  
Author(s):  
Robert Driskill ◽  
Stephen McCafferty
Keyword(s):  
Exchange Rate ◽  
Capital Mobility ◽  
Rational Expectations ◽  
Monetary Shocks ◽  
Exchange Rate Variability

scholarly journals The Impact of Anticipated and Unanticipated Exchange Rate Variability in Ukraine

2017 ◽  
pp. 33-46 ◽  
Author(s):  
Viktor Shevchuk
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Rational Expectations ◽  
Aggregate Demand ◽  
Wholesale Price ◽  
Raw Material ◽  
Price Inflation ◽  
Exchange Rate Variability ◽  
The Exchange Rate ◽  
The Impact

This article studies the impact of the anticipated and unanticipated components of the nominal effective exchange rate on Ukraine’s main macroeconomic indicators. The study uses quarterly data from 1999 to 2016 and considers the relationship with the budget balance, incomes of trading partner countries, global interest rates, and global raw material prices. Using the time-varying coefficient model (the Kalman filter), the research shows that a depreciation of the hryvnia accelerates wholesale price inflation and negatively affects the performance of GDP and industrial output – these effects were clearly visible after the financial crisis of 2008-2009). However, the research found that only unanticipated changes in the exchange rate have an impact on agricultural production. The results are justified by means of a modified AD-AS model with rational expectations that accounts for the main mechanisms of the influence of the exchange rate on aggregate demand and supply amid a high level of dollarization in the economy.

scholarly journals Open-Economy Inflation- Forecast Targeting

2006 ◽  
Vol 7 (1) ◽  
pp. 35-64 ◽  
Author(s):  
Kai Leitemo
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Open Economy ◽  
Rational Expectations ◽  
Time Inconsistency ◽  
Rational Expectations Equilibrium ◽  
Inflation Target ◽  
Exchange Rate Variability ◽  
Output Stability ◽  
One Year

Abstract We study simple inflation-forecast targeting in an open-economy setting. Simple inflation-forecast targeting implies setting an interest rate which, if kept unchanged throughout the forecast-targeting horizon, produces a conditional inflation forecast equal to the inflation target at the end of the horizon.We find that the optimal forecast-targeting horizon is relatively short (one year). A longer horizon does not consistently contribute to improved output stability, indeed it increases exchange rate variability and traded sector variability. The targeting procedure is substantially inferior to the optimal pre-commitment policy. Moreover, the targeting procedure does not necessarily determine the rational-expectations equilibrium and is subject to time inconsistency.

scholarly journals Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?

2006 ◽  
Vol 96 (3) ◽  
pp. 552-576 ◽  
Author(s):  
Philippe Bacchetta ◽  
Eric van Wincoop
Keyword(s):  
Exchange Rate ◽  
Empirical Evidence ◽  
Rational Expectations ◽  
Exchange Rate Volatility ◽  
Order Flow ◽  
Macroeconomic Variables ◽  
Symmetric Information ◽  
Macroeconomic Fundamentals ◽  
The Exchange Rate ◽  
Exchange Rate Changes

Empirical evidence shows that most exchange rate volatility at short to medium horizons is related to order flow and not to macroeconomic variables. We introduce symmetric information dispersion about future macroeconomic fundamentals in a dynamic rational expectations model in order to explain these stylized facts. Consistent with the evidence, the model implies that (a) observed fundamentals account for little of exchange rate volatility in the short to medium run, (b) over long horizons, the exchange rate is closely related to observed fundamentals, (c) exchange rate changes are a weak predictor of future fundamentals, and (d) the exchange rate is closely related to order flow.

The influence of exchange rate variability on UK exports

2001 ◽  
Vol 8 (1) ◽  
pp. 47-49 ◽  
Author(s):  
Andrew Abbott ◽  
Adrian C. Darnell ◽  
Lynne Evans
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Variability
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