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Some exchange rates are more stable than others: short-run evidence from transition countries
Bulíř, Aleš
The paper investigates empirically the endogenous liquidity nexus of exchange rate determination on a sample of four transition economies. It finds evidence in favor of the hypothesis of a nonlinear error correction process vis-à-vis longer-term trend deviations. The results suggest that early and successful exchange-rate market and financial-account liberalization pays off in terms of depth of the market and, hence, faster adjustment of national currencies to short-term shocks to the exchange rate.
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Microfoundations of the Wage Inflation in the Czech republic
Galuščák, Kamil ; Münich, Daniel
The study investigates whether microfoundations might increase the predictive power of macroeconomic models of wage inflation. By comparing past predictions to observed values, the study finds that the Phillips curve with the average unemployment rate in districts with prevalently low unemployment rates delivers more accurate predictions of aggregated wage inflation than the Phillips curve with the overall unemployment rate.
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Estimating market probabilities of future interest rate changes
Hlušek, Martin
The goal of this paper is to estimate the market consensus forecast of future monetary policy development and to quantify the priced-in probability of interest rate changes for different future time horizons. The proposed model uses the current spot money market yield curve and available money market derivative instruments (forward rate agreements, FRAs) and estimates the market probability of interest rate changes up to a 12-month horizon.
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