This paper examines the determinants of the real effective exchange rate (REER) in Brazil, from 1994 to 2003. Building on a standard theoretical model and based on the Johansen cointegration estimation, the main finding is that much of the long-run behavior of the REER can be explained by...

Utilizing formal nonlinear unit root test (Sarno, The behavior of US public debt: a nonlinear perspective. Economics Letters 2001: 119 – 125), this study provides robust evidence of nonlinear mean reversion in the real exchange rates of 4 major ASEAN countries. We conclude that the bulk of the...

In this paper, I analyze recent findings by Coe and Helpman (1995) of trade-related international R&D spillovers. I show generally that randomly created bilateral trade shares also give rise to large estimated international R&D spillovers; often, in fact, to larger estimated spillover effects...

This paper calculates a unit labor-cost based real effective exchange rate for China for the period 1987-2002. It examines carefully which data sources can be used given the known limitations of Chinese data and constructs to them together with internationally available unit labor cost...

This paper examines the exchange rate pass-through to yen based manufactured import prices of Japan using asymmetric unit root and cointegration tests and asymmetric models. Due to sticky prices, for example, there are reasons to believe that the degree of pass-through depends on whether the...

We apply Purchasing Power Parity (PPP) theory to the analysis of long- run equilibrium in the foreign exchange market. We study the case of Portugal vis-à-vis Germany and Spain, and the case of Spain vis-à-vis Germany, in the period 1960-1990. The empirical analysis was based on unit-root...

This paper examines the empirical validity of purchasing power parity (PPP) hypothesis in a Sri Lankan context using exchange rates for six foreign currencies during the period January 1986 to November 2000. Both graphical and econometric methods are used in the analysis. Graphical analysis...

We use the well known USDA dataset of real exchange rates to address the question of whether PPP holds for agricultural commodities. Both unit root tests and the recently proposed more powerful class of panel unit root tests, which take into account cross-section correlation across the units in...

The article analyzes production and marketing lags in agri-food supply chains that force competitive producers and processors to commit to output targets before prices and exchange rates are realized. We show that export markets act as put options for exporters and an increase in the volatility...

This paper examines the validity of the efficient market hypothesis (EMH) for the foreign exchange market of Papua New Guinea (PNG) using data on spot exchange rates for four major foreign currencies during the recent float. The unit root test results indicate that all the four exchange rates...