<p>Syftet med denna uppsats är att undersöka två monetära modellers prognosförmåga för den svenska kronan. Detta är den första studie som utvärderar prognoser på den svenska kronan under rörlig växelkurs. Modellerna som används är ”flexible price monetary model” samt ”sticky price monetary model”. Modellerna jämförs dels med en random walk-modell, men även mot varandra för att kunna påvisa eventuella skillnader modellerna emellan. För att utreda om det finns olika förklaringsvärde i modellerna beroende på referensvalutan har jag använt mig av två olika växelkurspar, nämligen SEK/EUR och SEK/GBP. Resultaten tyder på att en trögrörlig monetär modell för växelkursparet SEK/EUR lyckas slå en random walk på lite längre sikt, även om resultatet bör tolkas med viss försiktighet. Det verkar även som att det har stor betydelse vilken referensvaluta man använder sig av då resultaten växelkursparen emellan skiljer sig åt ganska kraftigt.</p>

Syftet med denna uppsats är att undersöka två monetära modellers prognosförmåga för den svenska kronan. Detta är den första studie som utvärderar prognoser på den svenska kronan under rörlig växelkurs. Modellerna som används är ”flexible price monetary model” samt ”sticky price monetary model”. Modellerna jämförs dels med en random walk-modell, men även mot varandra för att kunna påvisa eventuella skillnader modellerna emellan. För att utreda om det finns olika förklaringsvärde i modellerna beroende på referensvalutan har jag använt mig av två olika växelkurspar, nämligen SEK/EUR och SEK/GBP. Resultaten tyder på att en trögrörlig monetär modell för växelkursparet SEK/EUR lyckas slå en random walk på lite längre sikt, även om resultatet bör tolkas med viss försiktighet. Det verkar även som att det har stor betydelse vilken referensvaluta man använder sig av då resultaten växelkursparen emellan skiljer sig åt ganska kraftigt.

<p>I den här uppsatsen har jag undersökt hur pass-through effekten har förändrats i svenska importpriser på aggregerad nivå och i sju olika industrier. Pass-through effekten definieras som den procentuella förändringen i ett pris som kan härledas till en enprocentig växelkursförändring. Jag har använt rullande regressioner på två olika modeller för att estimera förändringar över tidsperioden 1980 – 2003. Resultaten visar en nedgång i pass-through effekten i flertalet industrier både på kort och lång sikt. Men på aggregerad nivå visar resultaten att effekten inte har förändrats nämnvärt över tiden. På kort sikt visar de båda metoderna liknande resultat, men på lång sikt finns det en skillnad dem emellan. En av modellerna visar en fördröjning i den långsiktiga pass-through effekten, vilket kan förklaras med att prissättningen inte är effektiv och att det finns störningar på marknaden.</p>

I den här uppsatsen har jag undersökt hur pass-through effekten har förändrats i svenska importpriser på aggregerad nivå och i sju olika industrier. Pass-through effekten definieras som den procentuella förändringen i ett pris som kan härledas till en enprocentig växelkursförändring. Jag har använt rullande regressioner på två olika modeller för att estimera förändringar över tidsperioden 1980 – 2003. Resultaten visar en nedgång i pass-through effekten i flertalet industrier både på kort och lång sikt. Men på aggregerad nivå visar resultaten att effekten inte har förändrats nämnvärt över tiden. På kort sikt visar de båda metoderna liknande resultat, men på lång sikt finns det en skillnad dem emellan. En av modellerna visar en fördröjning i den långsiktiga pass-through effekten, vilket kan förklaras med att prissättningen inte är effektiv och att det finns störningar på marknaden.

<p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006 [6], xiii, [1] s.: sammanfattning, s. 1-259, [5] s.: 4 uppsatser. Spikblad saknas</p>

This thesis consists of five separate papers, broadly within the field of International Finance. The first paper, An Empirical Analysis of the Currency Denomination in International Trade, investigates the choice of currency in international trade transactions by Swedish exporting firms. It uses an extensive dataset on payment transactions between foreign importers and Swedish exporting firms. It is the first paper to examine currency invoicing at such a disaggregated level. The main findings are that high exchange rate volatility reduces the likelihood of using the importers currency while high GDP and GDP per capita in the importing country increases the likelihood. A large market share of a third country increases the likelihood of using the third country's currency. A further finding is a decreased use of Swedish krona and a rise in the use of the euro as a vehicle currency. State Dependent Pricing, Invoicing Currency and Exchange Rate Pass-Through, written jointly with Martin Flodén, analyzes exchange rate pass-through in a dynamic model with menu costs. In the paper, we provide a link between the fixed and flexible price analyses by specifying a dynamic framework with exogenous choice of exporting currency, but with endogenous pricing decisions. We consider the pricing strategies of firms that produce in a home country, sell on a foreign market, and can change the price in response to exchange rate fluctuations, while being subject to menu costs. Our main finding is that when the exporter prefers to set price in the importer’s currency, the exporter also changes prices less frequently than if price was set in the exporter’s home currency. The intuition is that in this setting, the optimal currency choice is the one that on average minimizes the difference between fixed and flexible price profits, and thereby the frequency of price updates. When the importer’s currency is preferred it leads to limited pass-through and a low correlation between exchange rate movements and import prices. The third paper, Demand and Distance: Evidence of Cross Border Shopping , written jointly with Marcus Asplund and Richard Friberg, uses data from 287 Swedish municipalities to estimate how responsive alcohol sales are to foreign prices, and relate the sensitivity to the location's distance to the border. Typical results suggest that the elasticity with respect to the foreign price is around 0.4 in the border region; moving 200 (400) kilometers inland reduces it to 0.2 (0.1).  For example, a 10 percent reduction in the Danish price of spirits causes a fall in per capita sales of roughly 4 percent at the border (Malmö). This large cross price elasticity is almost half the own price elasticity. The effect diminishes gradually as one moves further from the border, but fall in sales is estimated to drop below 1 percent only at 460 kilometer from the border. Not until we reach 1000 kilometers can we reject that the effect is zero. Common Currencies and Equity Prices: Evidence from a Political Event, uses a political event, the Swedish referendum on whether or not to join the European Monetary Union (EMU), as a natural experiment to examine the relationship between common currencies and the market value of exporting firms. If Sweden would have voted to join the EMU, exchange rate uncertainty as well as transaction costs would have been greatly reduced for many exporting companies. Prior to the referendum, these potential gains (adjusted for the probability of joining) should have been included in equity prices. The day after the referendum that probability of was zero and one would expect a decline in equity prices of exporting firms. We find evidence of statistically significant negative abnormal returns on the trading day after the election for only two out of fifteen examined industry indices. The small effects found in this study are in line with earlier research that finds a weak relationship between exchange rates and equity prices. The fifth paper, When is a Lower Exchange Rate Pass-Through Associated with Greater Exchange Rate Exposure?, written jointly with Martin Flodén and Witness Simbanegavi, we study the relationship between exchange rate pass-through and exchange rate exposure (the relation between profits and exchange rates) under flexible prices. We introduce a convex cost function and study the effects of changing the elasticity of costs with respect to output. We do this both in a model of monopolistic competition as well as in the oligopoly models used by Bodnar et al (2002). We find that increasing the convexity of costs reduces both exchange rate pass-through and exposure, both under monopolistic competition and in duopoly settings. The conclusion is thus that if industries differ mainly on the supply side, this would imply a positive correlation between pass-through and exposure. However, our extension does not affect the result in Bodnar et al. that exchange rate pass-through and exposure should be negatively correlated across industries if industries differ mainly on the demand side, more specifically in the substitutability between domestically produced and imported goods. / <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006, S. 3-12: sammanfattning, s. 15-120: 5 uppsatser</p>

How should central banks react to movements in the exchange rate? Can social welfare be improved if the policy maker is giving explicit or implicit consideration to fluctuations in the exchange rate? These are some of the principal questions addressed in this thesis, which analyzes the influence of exchange rates on prices and monetary policy, from an empirical as well as a theoretical perspective. The thesis consists of four self-contained papers, and sets off by providing some empirical evidence for incomplete exchange rate pass-through. Incomplete exchange rate pass-through is subsequently incorporated into a theoretical model of a small open economy, to study how exchange rate fluctuations affect monetary policy. The first chapter is an empirical paper studying the relation between exchange rates and prices, using data on Swedish exports of automobiles and kraft paper. A price determining error correction model indicates results consistent with price discrimination and incomplete exchange rate pass-through. In the second chapter, a small open economy aggregate supply-aggregate demand model, allowing for incomplete exchange rate pass-through, is developed to analyze the effects of limited pass-through on monetary policy. The results suggest that the optimal policy reaction, both to foreign and domestic shocks, is dependent on the degree of exchange rate pass-through. The third chapter studies what the delegated monetary policy should be in an open economy with limited pass-through. In particular, the question of whether to delegate an exchange rate-stabilization objective to the policy maker is investigated. The results show that incorporation of an explicit nominal, or real, exchange-rate term in the (optimized) objective function only improves social welfare marginally. The fourth chapter assumes, in contrast, that monetary policy is implemented through a simple instrument rule. It is examined whether the policy maker’s performance, in terms of social welfare, can be improved by also responding to the exchange rate. The results indicate that the exchange rate-augmented policy rules do not outperform an optimized rule without the exchange rate, irrespective of the degree of pass-through. Social welfare is, however, improved by an indirect exchange rate response, which is reached using a policy rule based on Consumer Price Index (CPI) inflation, rather than on domestic inflation. / Diss. Stockholm : Handelshögsk., 2001