المستودع الأكاديمي جامعة المدينة

International investment positions and exchange rate dynamics: a dynamic panel analysis

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dc.creator Binder, Michael
dc.creator Offermanns, Christian J.
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:22Z
dc.date.available 2013-10-16T07:06:22Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19700
dc.identifier ppn:54347626X
dc.identifier RePEc:zbw:bubdp1:6144
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19700
dc.description In this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic as well as weighted foreign prices is a homogeneous function of a country's international investment position. We find rather strong support for purchasing power parity in environments of limited negative net foreign asset to GDP positions, but not outside such environments. We thus argue that the purchasing power parity hypothesis holds conditionally, but not unconditionally, and that international investment positions are an essential component to characterizing this conditionality. Finally, we adduce evidence that whether deterioration of a country's net foreign asset to GDP position leads to a depreciation of that country's effective exchange rate depends on its rate of inflation relative to the rate of inflation abroad as well as its exposure to global shocks.
dc.language eng
dc.relation Discussion paper Series 1 / Volkswirtschaftliches Forschungszentrum der Deutschen Bundesbank 2007,23
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C23
dc.subject F37
dc.subject F31
dc.subject ddc:330
dc.subject Exchange Rate Determination
dc.subject International Financial Integration
dc.subject Dynamic Panel Data Models
dc.subject Wechselkurs
dc.subject Volatilität
dc.subject Kaufkraftparität
dc.subject Internationale Kapitalmobilität
dc.subject Standortfaktor
dc.subject Schätzung
dc.subject Welt
dc.title International investment positions and exchange rate dynamics: a dynamic panel analysis
dc.type doc-type:workingPaper
dc.coverage 1970-2004


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