Are Exchange Rates Excessively Variable?

Are Southeast Asian Real Exchange Rates Mean

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationar...

Nonlinearity In Exchange Rates and Forecasting

Exchange rates.

THE UNIVERSITY of Pennsylvania health system was in London recently, recruiting nurses. Its advertisement stated that its recruiters were experienced in hiring nurses from the UK, Ireland and the Philippines, and an 'on the spot job offer is a possibility'. This one advert neatly captures the dynamics of the new international nursing labour market. The advert was placed by an international recr...

Are Southeast Asian Real Exchange Rates Mean Reverting?

Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two directions. First, we use recently developed unit root tests which allow for more flexible nonlinear stationar...

International Diversification When Equity Returns and Exchange Rates Are Correlated

In this paper we investigate the diversification effects when stock market returns are c orrelated with foreign exchange rates. We first show that when equity markets and cu rrency market are correlated, even an identical equally weighted portfolio using equiti es from two countries will yield different diversification effects depending on which c ountry’s currency the returns are measured. We ...