Narrow search
Showing 1 - 10 of 630
Cover Image
Contagious Currency Crises
Eichengreen, Barry; Rose, Andrew K; Wyplosz, Charles - C.E.P.R. Discussion Papers - 1996
theoretical literature, and analyses the contagious nature of currency crises empirically. Using 30 years of panel data from 20 … by international trade linkages than to countries in similar macroeconomic circumstances. …
Persistent link: https://www.econbiz.de/10005791892
Cover Image
Crash Risk in Currency Markets
Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009
How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we … hedged and unhedged carry trade excess returns by sorting currencies based on their forward discounts. We find that disaster … risk premia account for about 25% of expected carry trade excess returns in advanced countries. …
Persistent link: https://www.econbiz.de/10005016245
Cover Image
Expectations and Exchange Rate Policy
Devereux, Michael B; Engel, Charles M - C.E.P.R. Discussion Papers - 2006
Both empirical evidence and theoretical discussion have long emphasized the impact of `news' on exchange rates. In most exchange rate models, the exchange rate acts as an asset price, and as such responds to news about future returns on assets. But the exchange rate also plays a role in...
Persistent link: https://www.econbiz.de/10005666551
Cover Image
'Aggregation Bias' DOES Explain the PPP Puzzle
Imbs, Jean; Mumtaz, Haroon; Ravn, Morten O; Rey, Hélène - C.E.P.R. Discussion Papers - 2005
This article summarizes our views on the role of an 'aggregation bias' in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and...
Persistent link: https://www.econbiz.de/10005497899
Cover Image
The Behaviour of Relative Prices in the European Union: A Sectoral Analysis
Chen, Natalie - C.E.P.R. Discussion Papers - 2002
Using multivariate unit root test methods, this Paper investigates the Purchasing Power Parity (PPP) hypothesis at the sectoral level across six European countries over the last seventeen years. Evidence of mean reversion toward PPP is found for the relative prices of some sectors and countries....
Persistent link: https://www.econbiz.de/10005504281
Cover Image
Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data
Aron, Janine; Creamer, Kenneth; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2013
A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...
Persistent link: https://www.econbiz.de/10011084277
Cover Image
Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions
Bayoumi, Tamim; MacDonald, Ronald - C.E.P.R. Discussion Papers - 1998
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...
Persistent link: https://www.econbiz.de/10005666879
Cover Image
Tariffs, Trains, and Trade: The Role of Institutions versus Technology in the Expansion of Markets
Keller, Wolfgang; Shiue, Carol Hua - C.E.P.R. Discussion Papers - 2008
customs liberalizations and, more so, currency agreements improved trade possibilities. However, the impact of trains was …
Persistent link: https://www.econbiz.de/10005114182
Cover Image
The Impact of Exchange Rate Fluctuations on European Union Trade
Sapir, André; Sekkat, Khalid; Weber, Axel A - C.E.P.R. Discussion Papers - 1994
The impact of exchange rate fluctuations on international trade has long been a major concern for policy-makers. This … is particularly the case in Europe, where countries trade extensively with each other. The crisis that began in the … Summer of 1992 generated increased exchange rate fluctuations and, therefore, renewed concerns about consequences for trade …
Persistent link: https://www.econbiz.de/10005136634
Cover Image
Exchange Rate Regimes and Trade Prices: Does the EMS Matter?
Sapir, André; Sekkat, Khalid - C.E.P.R. Discussion Papers - 1993
This paper investigates the role of the exchange rate regime in the process of trade adjustment, by examining the … relationship between trade prices and exchange rate regimes. The theoretical framework is a dynamic one à la Froot-Klemperer (1989 … regime on trade prices. The results suggest that a system of pegged rates like the EMS, although helpful, is not necessary to …
Persistent link: https://www.econbiz.de/10005497720