Central bank research hub - Papers by Charles Engel
https://www.bis.org/cbhub/list/author/author_80/index.rss
Research hub papers by author Charles EngelenRevisiting exchange rate puzzles
https://www.bis.org/publ/bppdf/bispap96_a_rh.pdf
Bank for International Settlements BIS papers by Charles Engel and Feng ZhuRevisiting exchange rate puzzles2018-03-01T00:00:02ZEngel and Zhu (2017) revisit a number of major exchange rate puzzles and conductempirical tests to compare the behaviour of real exchange rates among pairs ofeconomies that have rigidly fixed nominal exchange rates with their behaviour amongpairs of economies under floating rates. They find that some of these puzzles becomeless puzzling for countries within the euro area, and regions in China and Canada,than for the non-euro-area OECD economies. Their results may have implications forexchange rate modelling.Revisiting exchange rate puzzlesBISFull texthttps://www.bis.org/publ/bppdf/bispap96_a_rh.pdfCharles EngelFeng ZhuCharles Engel and Feng Zhu2018-03Bank for International Settlements BIS PapersReal Exchange Rates and Sectoral Productivity in the Eurozone
http://www.dallasfed.org/assets/documents/institute/wpapers/2014/0196.pdf
Dallas Fed Institute Working Papers by Martin Berka, Michael B. Devereux and Charles EngelReal Exchange Rates and Sectoral Productivity in the Eurozone2014-10-21T06:21:00ZWe investigate the link between real exchange rates and sectoral total factor productivity measures for countries in the Eurozone. Real exchange rate patterns closely accord with an amended Balassa-Samuelson interpretation, both in cross-section and time series. We construct a sticky price dynamic general equilibrium model to generate a cross-section and time series of real exchange rates that can be directly compared to the data. Under the assumption of a common currency, estimates from simulated regressions are very similar to the empirical estimates for the Eurozone. Our findings contrast with previous studies that have found little relationship between productivity levels and the real exchange rate among high-income countries, but those studies have included country pairs which have a floating nominal exchange rate.Real Exchange Rates and Sectoral Productivity in the EurozoneFull texthttp://www.dallasfed.org/assets/documents/institute/wpapers/2014/0196.pdfMichael B. DevereuxCharles EngelMartin BerkaMartin Berka, Michael B. Devereux and Charles Engel2014-09Federal Reserve Bank of Dallas Globalization Institute Working PapersF31F41Can Long-Horizon Forecasts Beat the Random Walk Under the Engel-West Explanation?
http://dallasfed.org/institute/wpapers/2009/0036.pdf
Dallas Fed Institute Working Papers by Charles Engel, Jian Wang and Jason WuCan Long-Horizon Forecasts Beat the Random Walk Under the Engel-West Explanation?2009-09-29T12:43:00ZEngel and West (EW, 2005) argue that as the discount factor gets closer to one, present-value asset pricing models place greater weight on future fundamentals. Consequently, current fundamentals have very weak forecasting power and exchange rates appear to follow approximately a random walk. We connect the Engel-West explanation to the studies of exchange rates with long-horizon regressions. We find that under EW's assumption that fundamentals are I(1) and observable to the econometrician, long-horizon regressions generally do not have significant forecasting power. However, when EW's assumptions are violated in a particular way, our analytical results show that there can be substantial power improvements for long-horizon regressions, even if the power of the corresponding shorthorizon regression is low. We simulate population Rsquared for long-horizon regressions in the latter setting, using Monetary and Taylor Rule models of exchange rates calibrated to the data. Simulations show that long-horizon regression can have substantial forecasting power for exchange rates.Can Long-Horizon Forecasts Beat the Random Walk Under the Engel-West Explanation?Full texthttp://dallasfed.org/institute/wpapers/2009/0036.pdfJian WangJason WuCharles EngelCharles Engel, Jian Wang and Jason Wu2009-09Federal Reserve Bank of Dallas Globalization Institute Working PapersF31F41G12G15Expected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets
http://www.federalreserve.gov/pubs/ifdp/2008/949/ifdp949.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by Charles Engel and John H. RogersExpected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital Markets2008-09-29T10:47:00ZExpected Consumption Growth from Cross-Country Surveys: Implications for Assessing International Capital MarketsAbstracthttp://www.federalreserve.gov/pubs/ifdp/2008/949/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2008/949/ifdp949.pdfJohn H. RogersCharles EngelCharles Engel and John H. Rogers2008-09Board of Governors of the Federal Reserve System International Financial Discussion PapersE21F32F41The U.S. Current Account Deficit and the Expected Share of World Output
http://www.frbsf.org/publications/economics/papers/2006/wp06-38bk.pdf
San Francisco Fed Working Papers by Engel, RogersThe U.S. Current Account Deficit and the Expected Share of World Output2006-11-02T07:12:00ZThe U.S. Current Account Deficit and the Expected Share of World OutputFull texthttp://www.frbsf.org/publications/economics/papers/2006/wp06-38bk.pdfJohn H. RogersCharles EngelEngel, Rogers2006-03Federal Reserve Bank of San Francisco Working PapersF32F41The U.S. Current Account Deficit and the Expected Share of World Output
http://www.federalreserve.gov/pubs/ifdp/2006/856/ifdp856.pdf
Board of Governors of the Federal Reserve System International Financial Discussion Papers by Charles Engel; John H. RogersThe U.S. Current Account Deficit and the Expected Share of World Output2006-05-12T07:14:59ZThe U.S. Current Account Deficit and the Expected Share of World OutputAbstracthttp://www.federalreserve.gov/pubs/ifdp/2006/856/default.htmFull texthttp://www.federalreserve.gov/pubs/ifdp/2006/856/ifdp856.pdfJohn H. RogersCharles EngelCharles Engel; John H. Rogers856-06Board of Governors of the Federal Reserve System International Financial Discussion PapersF32F41Expenditure switching vs. real exchange rate stabilization: competing objectives for exchange rate policy
http://www.ecb.int/pub/pdf/scpwps/ecbwp614.pdf
European Central Bank Working papers by Michael B. Devereux and Charles EngelExpenditure switching vs. real exchange rate stabilization: competing objectives for exchange rate policy2006-05-02T08:38:00ZExpenditure switching vs. real exchange rate stabilization: competing objectives for exchange rate policyECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp614.pdfMichael B. DevereuxCharles EngelMichael B. Devereux and Charles Engel2006-04European Central Bank Working PapersEndogenous Exchange Rate Pass-through when Nominal Prices are Set in Advance
http://www.nationalbanken.dk/en/publications/Documents/2002/11/WP_7_2002.pdf
National Bank of Denmark (Danmarks Nationalbank) Working papers by Devereux, Michael B.; Engel, Charles; Storgaard, Peter EjlerEndogenous Exchange Rate Pass-through when Nominal Prices are Set in Advance2004-04-08T18:58:00ZEndogenous Exchange Rate Pass-through when Nominal Prices are Set in AdvanceAbstracthttp://www.nationalbanken.dk/en/publications/Pages/2002/11/Endogenous-Exchange-Rate-Pass-through-when-Nominal-Prices-are-Set-in-Advance.aspxFull texthttp://www.nationalbanken.dk/en/publications/Documents/2002/11/WP_7_2002.pdfMichael B. DevereuxPeter Ejler StorgaardCharles EngelDevereux, Michael B.; Engel, Charles; Storgaard, Peter Ejler2002-11-05Danmarks Nationalbank Working PapersExchange rates and fundamentals
http://www.ecb.int/pub/pdf/scpwps/ecbwp248.pdf
European Central Bank Working papers by Charles Engel and Kenneth D. WestExchange rates and fundamentals2003-08-15T07:06:59ZExchange rates and fundamentalsECBFull texthttp://www.ecb.int/pub/pdf/scpwps/ecbwp248.pdfKenneth D. WestCharles EngelCharles Engel and Kenneth D. West2003-08European Central Bank Working PapersF31F37G12G15