The impact of exchange rate movements on prices and economic activity is at the core of international macroeconomic theory and policy. In recent years, interest in this issue has increased, following strong exchange rate fluctuations, the unsustainability of the current account imbalances and the expected change in exchange rate regimes in some emerging economies. This book explores the PPP persistence puzzle, looking at the econometric aspects of exchange rate dynamics and their implications. Questions related to misalignment of the Chinese exchange rate are also investigated. The book also examines the importance of exchange rates dynamics in the pass-through process and explores econometric aspects of the exchange rate dynamics linked to structural shocks.
This book is an excellent resource for all with a research interest in the econometrics of exchange rates dynamics.
List of Tables
List of Figures
Pt. I The Purchasing Power Parity and its Implications for Equilibrium Exchanges Rates
1 Three Exchange Rate Puzzles: Fact or Fiction? by Ronald MacDonald 9
2 The Real Exchange Rate Misalignment in the Five Central European Countries - Single Equation Approach by Jan Frait and Lubos Komarek and Martin Melecky 61
3 Real Equilibrium Exchange Rate in China. Is the Renminbi Undervalued? by Virginie Coudert and Cecile Couharde 94
Pt. II Exchange Rates Dynamics and Pass-Through Effects
4 Exchange Rate Pass-Through Effect and Monetary Policy in Russia by Victoria V. Dobrynskaya and Dmitry V. Levando 115
5 Disaggregated Econometric Models to Forecast Inflation in Hungary by Viktor Varpalotai 139
Pt. III Exchange Rates Dynamics and Structural Shocks on Economies
6 An Open Economy Dynamic General Equilibrium Model Linking the Euro Area and the US Economy by Gregory de Walque and Raf Wouters 169
7 Liberalisation Shocks and Real Exchange Rates Appreciation in the Transition Economies by Christos Papazoglou 227
Index
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