Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 2 of 2
Full-Text Articles in Business
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
Accounting For Us Regional Real Exchange Rates, Lein Lein Chen, Seungmook Choi, John Devereux
CRIF Seminar series
We examine the relationship between the relative price of nontradables and real exchange rate movements for fixed exchange rate regimes. We have two findings. First we show that purchasing power parity holds strongly for tradables across US regions. As a result, nontradables play a central role in regional real exchange rate movements. Using BLS regional data, we find that changes in the relative price of nontradables explain up to eighty percent of regional real exchange changes over medium and long run horizons. Second, we show that nontradables can account for a large portion of real exchange rates changes internationally with …
The Role Of Exchange Rates In The Intertemporal Risk-Return Relation In International Economies, Turan G. Bali, Liuren Wu
The Role Of Exchange Rates In The Intertemporal Risk-Return Relation In International Economies, Turan G. Bali, Liuren Wu
CRIF Seminar series
This paper investigates the role of currency denomination in the the intertemporal risk-return relation among G7 countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries are integrated. We obtain significant pricing coefficient estimates on the global index, but insignificant estimates on country-specific risks. Different from the literature, however, we find that the intertemporal risk-return relation differ significantly under different currency denominations. The slope coefficient estimate is the largest at around seven when the returns are denominated in Japanese yen, smallest at around three to four when the returns are …