 | Fatal Attraction : A New Measure of Contagion Author/Editor: Tamim Bayoumi, Manmohan S Kumar, Giorgio Fazio, Ronald MacDonald. Release Date:April, 2003 This paper proposes a new measure of contagion that is good at anticipating future vulnerabilities. Building on previous work, it uses correlations of equity markets across countries to measure more...
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| Estimation of the Equilibrium Real Exchange Rate for South Africa Author/Editor: Ronald MacDonald, Luca Antonio Ricci. Release Date:March, 2003 Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP more...
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| Purchasing Power Parity and New Trade Theory Author/Editor: Luca Antonio Ricci, Ronald MacDonald. Release Date:February, 2002 This paper theoretically derives and empirically tests the implications of a new trade theory framework for the systematic movements in the real exchange rate. It focuses on the effect of imperfect more...
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| Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions Author/Editor: Ronald MacDonald, Tamim Bayoumi. Release Date:May, 1998 We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange more...
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| What Determines Real Exchange Rates? The Long and Short of it Author/Editor: Ronald MacDonald. Release Date:February, 1997 This paper presents a reduced-form model of the real exchange rate. Using multilateral cointegration methods, the model is implemented for the real effective exchange rates of the dollar, the mark, more...
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| Asset Market and Balance of Payments Characteristics : An Eclectic Exchange Rate Model for the Dollar, Mark, and Yen Author/Editor: Ronald MacDonald. Release Date:June, 1995 In this paper we use an exchange rate model that combines asset market characteristics with balance of payments interactions to examine the nominal effective exchange rates of the German mark, more...
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| Long-Run Exchange Rate Modeling : A Survey of the Recent Evidence Author/Editor: Ronald MacDonald. Release Date:January, 1995 In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange more...
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| Consumption, Income, and International Capital Market Integration Author/Editor: Ronald MacDonald, Tamim Bayoumi. Release Date:October, 1994 The IMF Working Papers series is designed to make IMF staff research available to a wide audience. Almost 300 Working Papers are released each year, covering a wide range of theoretical and more...
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| The Monetary Approach to the Exchange Rate : Rational Expectations, Long-Run Equilibrium and Forecasting Author/Editor: Ronald MacDonald, Mark P Taylor. Release Date:May, 1992 We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing more...
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| Exchange Rate Economics : A Survey Author/Editor: Mark P Taylor, Ronald MacDonald. Release Date:June, 1991 We survey the literature on the two main views of exchange rate determination that have evolved since the early 1970s: the monetary approach to the exchange rate (in flex-price, sticky-price and real more...
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