This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

This paper discusses the problems associated with using information about the signs of
certain magnitudes as a basis for drawing structural conclusions in vector autoregressions …

We uncover the major drivers of macro aggregates and the real exchange rate at business
cycle frequencies in Group of Seven countries. The estimated drivers of key macro variables …

This paper argues that it is important to distinguish surprise and anticipated components of
total factor productivity (TFP) when we study the international transmission of TFP shocks …

Using the DCC‐GARCH model, this study considers distinctive features of China's foreign
exchange market to investigate the impacts of RMB internationalization on exchange rates …

This study uses the generalized sup augmented Dickey–Fuller (GSADF) method to study the
beginnings and endings of the China–US exchange rate bubbles that occurred during the …

This paper investigates the determinants of medium to long‐run real exchange rate volatility
in South Africa over the period 1986–2015. The main objective of the paper is to analyse the …

This paper studies the impact of global oil market shocks on the level, volatility, and
correlation dynamics of real effective exchange rates over time. We find that the USD and …

To understand the potential for forming an optimum currency area it is important to
investigate the origins of macroeconomic volatility. We focus on the contribution of real …

Relative real demand shocks are the most important source of real exchange rate
fluctuations for most countries, including China, but prior to 2005 supply shocks were also …