Real exchange rates in the short, medium, and long run
Article Abstract:
A study was conducted on the mean reversion of short, medium and long term real exchange rates using long-horizon autocorrelations and variance ratio statistics. Results show significant rejection of random walk reflected in the positively correlated changes and mean reversion measured in the monthly and annual data and a confirmation that the theory of purchasing power parity exists only in the long-term.
Publication Name: Journal of International Economics
Subject: Economics
ISSN: 0022-1996
Year: 1992
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On the Relationship between the Exchange Regime and the Portfolio Rules of Optimizing Agents
Article Abstract:
Alternate exchange rate regimes are compared in a portfolio balance model using microeconomic data for all asset demand functions. Utility maximization is assumed for all participants. Risk contributes to portfolio diversification. Asset demand functions differ under varying regimes and depend on the available information set. Highly risk averse agents prefer flexible exchange rates.
Publication Name: Journal of International Economics
Subject: Economics
ISSN: 0022-1996
Year: 1983
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The J-Curve, Rational Expectations, and the Stability of the Flexible Exchange Rate System
Article Abstract:
Exchange rate behavior under the floating exchange rate is analyzed. Assumption is made of rational expectations, and risk aversion. The trade balance responds to the exchange rate in a J-curve manner. Speculation based on rational expectations stabilizes a floating exchange rate system. Sensitivity to exchange rate movements is necessary.
Publication Name: Journal of International Economics
Subject: Economics
ISSN: 0022-1996
Year: 1983
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