Does exchange rate misalignments lead changes in macroeconomic fundamentals?

• Autorzy: Piotr Dybka , Michał Rubaszek
• Języki publikacji: EN

Abstrakty

EN

This article aimed at verifying the reliability of equilibrium exchange rate (EER) concepts by exploring if exchange rate misalignments are leading to changes in macroeconomic fundamentals. The authors focused on G10 currencies and the three most popular EER models which the IMF regularly uses within the External Balance Assessment: Purchasing Power Parity, Behavioural EER and Fundamental EER. In methodological terms, the study applied the cross-sectional predictability approach developed by Sarno and Schmeling (2014), which ranks countries on the basis of the scale of EER misalignment to check if this ranking helps to predict key macro variables. The results indicate that EER misalignment contains cross-sectional predictive power and allows forecasting real effective exchange rates, short-term interest rates and current account balance differences across countries.(original abstract)

Słowa kluczowe

EN

Exchange rates; Econometric forecasts

PL

Kurs walutowy; Prognozy ekonometryczne

• Czasopismo: Argumenta Oeconomica
• Rocznik: 2024
• Numer: nr 1 (52)
• Strony: 145--161

Twórcy

autor

Piotr Dybka

• SGH Warsaw School of Economics, Poland

autor

Michał Rubaszek

• SGH Warsaw School of Economics

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Identyfikatory

DOI

DOI: 10.15611/aoe.2024.1.08