| 1. |
- Alexius, Annika, et al.
(författare)
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Can a time-varying equilibrium real interest rate explain the excess sensitivity puzzle?
- 2006
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The strong response of long-term interest rates to macroeconomic shocks has typically been explained in terms of informational asymme- tries between the central bank and private agents. The standard mod- els assume that the equilibrium real interest rate is constant over time and independent of structural shocks. We incorporate time-variation in the equilibrium real interest rate as function of structural shocks to e.g. productivity and demand. This extended model implies that forward interest rates at long horizons move about 40 basis points as the short-term interest rate increases one percentage point. In terms of regressions of changes in long-term interest rates on changes in the short-term interest rate, including a time-varying equilibrium real in- terest rate explains about half of the puzzle.
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| 2. |
- Alexius, Annika, 1965-, et al.
(författare)
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Can Endogenous Monetary Policy Explain the Deviations from UIP?
- 2002
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- The co-movements of nominal exchange rates and short-term interest rates as the economy is hit by shocks is a potential source of ex post deviations from uncovered interest rate parity. This paper investigates whether an established model of endogenous monetary policy in an open economy is capable of explaning the exchange rate risk premium puzzle. Time series on interest differentials and exchange rate changes are generated from the Svensson (2000) model. Uncovered interest rate parity is tested on the simulated data and the b-coefficients are investigated. For most realistic choices of parameter values, the b-coefficients are positive but much smaller than the unity value expected from UIP. It is however also possible to obtain large, negative b-coefficients if the central bank is engaged in interest rate smoothing.
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| 3. |
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| 4. |
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| 5. |
- Alexius, Annika, et al.
(författare)
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Cointegration And The Stabilizing Role Of Exchange Rates
- 2006
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Rapport (övrigt vetenskapligt/konstnärligt)abstract
- We show that empirical results concerning the behavior of áoating exchange rates di§er between otherwise identical cointegrated and non-cointegrated VAR models. In particular, virtually all ten-year movements in nominal exchange rates are due to fundamental supply and demand shocks when long run equilibrium relationships between the levels of the variables are included in the empirical speciÖcation. Another major di§erence between the models with the opposite im- plication for the shock creation versus shock absorption debate is that non-fundamental exchange rate shocks have much larger e§ects on output and ináation in the cointegrated models. Finally, impulse re- sponse functions in the Örst di§erence speciÖcation die out within a year whereas adjustment to long run equilibrium continues for up to ten years in the cointegrated models. Hence a correct speciÖcation of the long-run equilibrium dynamics of exchange rates is essential for capturing also short-run behavior of exchange rates.
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| 6. |
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| 7. |
- Alexius, Annika, et al.
(författare)
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Exchange Rates and Asymmetric Shocks in Small Open Economies
- 2005
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Rapport (populärvet., debatt m.m.)abstract
- If floating exchange rates stabilize shocks rather than create shocks, a country that joins a monetary union or fixes its exchange rate looses a stabilizing mechanism. We use a first difference structural VAR on trade weighted macroeconomic data to study the role of floating ex- change rates for five "small open economies" with inflation targets. By including both domestic and foreign variables and using a combination of long and short-run restrictions, we identify asymmetric shocks more carefully than previous studies. Only in Sweden and Canada does the nominal exchange rate appreciate significantly in response to asym- metric demand shocks and depreciate to asymmetric supply shocks. Most exchange rate movements are caused by speculation and are not responses to fundamental shocks. However, these exchange rate shocks have negligible effects on output and inflation. Our findings indicate that exchange rates are neither stabilizing nor destabilizing but may be loosely characterized as disconnected from the rest of the economy.
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| 8. |
- Alexius, Annika, et al.
(författare)
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Exchange rates and asymmetric shocks in small open economies
- 2008
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Ingår i: Empirical Economics. - : Springer Science and Business Media LLC. - 0377-7332 .- 1435-8921. ; 35:3, s. 527-541
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Tidskriftsartikel (refereegranskat)abstract
- We study the stabilizing properties of exchange rates in five small open economies during to periods of floating exchange rates and inflation targeting. In the cases of Sweden and Canada, the nominal exchange rates behave in a stabilizing manner. Most exchange rate movements emanate from the exchange rate itself and are hence not responses to fundamental shocks. However, these non-fundamental shocks have only negligible effects on output and inflation. Our findings indicate that exchange rates display some stabilizing properties but can mainly be characterized as disconnected from the rest of the economy.
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| 9. |
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| 10. |
- Alexius, Annika, et al.
(författare)
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Exchange Rates and Long-Term Bonds
- 2012
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Ingår i: Scandinavian Journal of Economics. - : Wiley. - 0347-0520 .- 1467-9442. ; 114:3, s. 974-990
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Tidskriftsartikel (refereegranskat)abstract
- There is tentative evidence to suggest that the well-documented empirical failure of uncovered interest parity (UIP) is confined to short-term interest rates. However, tests of UIP for long-term bonds are thwarted by various data problems. These data problems can be avoided by focusing on short investments in long-term bonds. This paper concerns the relationship between changes in the US dollar-Deutsche Mark exchange rate and returns to short investments in US and German long-term government bonds. The hypothesis that expected returns to investments in bonds denominated in the two currencies are equal is not rejected, and the estimated slope coefficients are positive. For corresponding short-term interest rates, the typical finding of negative and large Fama coefficients is confirmed. We conclude that it is the maturity of the asset, rather than the investment horizon, that matters for the results.
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