International Fisher Effect under Exchange Rate Regime Shifts: Evidence from 10 Examples

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F13%3A00200638" target="_blank" >RIV/62156489:43110/13:00200638 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.1556/SocEc.35.2013.4.2" target="_blank" >http://dx.doi.org/10.1556/SocEc.35.2013.4.2</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1556/SocEc.35.2013.4.2" target="_blank" >10.1556/SocEc.35.2013.4.2</a>

Jazyk výsledku

angličtina

Název v původním jazyce

International Fisher Effect under Exchange Rate Regime Shifts: Evidence from 10 Examples

Popis výsledku v původním jazyce

Amonetary union is classified by several authors as an extreme form of fixed exchange rate arrangement.Analyzing exits from monetary unions is, however, demanding. This paper studies the impact of inflation and interest rate differentials on the nominalexchange rate after leaving a form of peg arrangement and moving to a floating regime, as it may serve as a parallel for a monetary union break-up. The theoretical framework is provided by the theory of the International Fisher Effect. We find that countries with rigid exchange rate policy, less frequently adjusted central parity and narrow exchange rate bands experienced sharp depreciation after the shift, but the depreciation was only temporary. In this group of countries the exchange rate adjustmentis weakly exogenous to inflation and interest rate differentials. We apply Johansen's approach to cointegration, based on the estimation of the Vector Error Correction Model, and the Johansen constraint test of exogeneity. There is strong

Název v anglickém jazyce

International Fisher Effect under Exchange Rate Regime Shifts: Evidence from 10 Examples

Popis výsledku anglicky

Amonetary union is classified by several authors as an extreme form of fixed exchange rate arrangement.Analyzing exits from monetary unions is, however, demanding. This paper studies the impact of inflation and interest rate differentials on the nominalexchange rate after leaving a form of peg arrangement and moving to a floating regime, as it may serve as a parallel for a monetary union break-up. The theoretical framework is provided by the theory of the International Fisher Effect. We find that countries with rigid exchange rate policy, less frequently adjusted central parity and narrow exchange rate bands experienced sharp depreciation after the shift, but the depreciation was only temporary. In this group of countries the exchange rate adjustmentis weakly exogenous to inflation and interest rate differentials. We apply Johansen's approach to cointegration, based on the estimation of the Vector Error Correction Model, and the Johansen constraint test of exogeneity. There is strong

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2013

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Society and Economy

ISSN

1588-9726

e-ISSN

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Svazek periodika

35

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

HU - Maďarsko

Počet stran výsledku

19

Strana od-do

451-469

Kód UT WoS článku

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EID výsledku v databázi Scopus

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