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Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited

Obstfeld, Maurice; Taylor, Alan M. - C.E.P.R. Discussion Papers - 1997

, possibly due to lack of perfect arbitrage in the presence of transaction costs and uncertainty. More than 80 years ago … to be positively related to objective measures of market segmentation, notably nominal exchange rate volatility. …

Persistent link: https://www.econbiz.de/10005662194

The Purchasing Power Parity Debate

Taylor, Alan M.; Taylor, Mark P - C.E.P.R. Discussion Papers - 2004

Originally propounded by the 16th-century scholars of the University of Salamanca, the concept of purchasing power parity (PPP) was revived in the interwar period in the context of the debate concerning the appropriate level at which to re-establish international exchange rate parities. Broadly...

Persistent link: https://www.econbiz.de/10005662378

Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles

Peel, David; Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

We fit nonlinearly mean-reverting models to real dollar exchange rates over the post-Bretton Woods period, consistent with a theoretical literature on transaction costs in international arbitrage. The half lives of real exchange rate shocks, calculated through Monte Carlo integration, imply...

Persistent link: https://www.econbiz.de/10005666576

Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?

Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

In this Paper we assess the progress made by the profession in understanding whether and how exchange rate intervention works. To this end, we review the theory and evidence on official intervention, concentrating primarily on work published within the last decade or so. Our reading of the...

Persistent link: https://www.econbiz.de/10005666659

Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors

Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999

uncertainty about the half-life. Our methodology allows us to make explicit probability statements about the half-life and to …

Persistent link: https://www.econbiz.de/10005792458

Dollar Illiquidity and Central Bank Swap Arrangements During the Global Financial Crisis

Rose, Andrew K; Spiegel, Mark - C.E.P.R. Discussion Papers - 2011

While the global financial crisis was centered in the United States, it led to a surprising appreciation in the dollar, suggesting global dollar illiquidity. In response, the Federal Reserve partnered with other central banks to inject dollars into the international financial system. Empirical...

Persistent link: https://www.econbiz.de/10009293988

Exchange Rate Policies for the EFTA Countries in the 1990s

Branson, William H - C.E.P.R. Discussion Papers - 1991

As the European Community (EC) unifies its financial markets and fixes its exchange rates, the EFTA countries are liberalizing capital movements to the same extent. The EFTA countries thus face a decision on financial markets and exchange rate policy: should they essentially join the European...

Persistent link: https://www.econbiz.de/10005504364

Exchange Rates Dynamics with Long-Run Risk and Recursive Preferences

Kollmann, Robert - C.E.P.R. Discussion Papers - 2014

, then long-run risk generates insufficient exchange rate volatility. A longrun risk model with recursive-preferences in … which all agents trade in complete global financial markets can generate realistic exchange rate volatility; however, I show … the remaining households lead hand-to-mouth lives, generates realistic exchange rate and external balance volatility …

Persistent link: https://www.econbiz.de/10011084256

Macroeconomic Policy in Central Europe

Braga de Macedo, Jorge; Branson, William H - C.E.P.R. Discussion Papers - 1995

Our focus in this paper is macroeconomic policy in the countries of Central Europe: The Czech Republic, Hungary, Poland and Slovakia. All four are committed to joining the European Union. Accordingly, their macroeconomic policies need to put them on a credible path towards meeting the entry...

Persistent link: https://www.econbiz.de/10005136687

Migration, the Quality of the Labour Force and Economic Inequality

Kahanec, Martin; Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 2008

Mobility of workers involves flows of labour, human capital and other production factors and thus contributes to a more efficient allocation of resources. Besides these effects on allocative efficiency, migrant flows affect relative wages and also change the international and national...

Persistent link: https://www.econbiz.de/10005791628

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