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Long-Run Determinants of Inflation Differentials in a Monetary Union
Altissimo, Filippo; Benigno, Pierpaolo; Rodriguez … - C.E.P.R. Discussion Papers - 2005
This paper analyses the long-run determinants of inflation differentials in a monetary union. First, we aim at establishing some stylized facts relating the regional dispersion in headline inflation rates in the euro area as well as in the main components of the consumer price index. We find...
Persistent link: https://www.econbiz.de/10005067362
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Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010
Inflation is a far from homogeneous phenomenon, a fact often neglected in modelling consumer price inflation. This study, the first of its kind for an emerging market country, investigates gains to inflation forecast accuracy by aggregating weighted forecasts of the sub-component price indices,...
Persistent link: https://www.econbiz.de/10008553067
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Some Issues in Modeling and Forecasting Inflation in South Africa
Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2009
Inflation targeting central banks will be hampered without good models to assist them to be forward-looking. Many current inflation models fail to forecast turning points adequately, because they miss key underlying long-run influences. The world is on the cusp of a dramatic turning point in...
Persistent link: https://www.econbiz.de/10005123809
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Terms of Trade Shocks in an Intertemporal Model: Should We Worry about the Dutch Disease or Excessive Borrowing?
Kuralbayeva, Karlygash; Vines, David - C.E.P.R. Discussion Papers - 2006
This paper analyzes the impact of terms of trade and risk-premium shocks on a small open economy in an intertemporal, Dutch disease model, with international capital mobility. It is shown that when the economy experiences a permanent improvement in the terms of trade, the Dutch disease effect...
Persistent link: https://www.econbiz.de/10005504657
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Quantifying the Half-Life of Deviations from PPP: The Role of Economic Priors
Kilian, Lutz; Zha, Tao - C.E.P.R. Discussion Papers - 1999
The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the … this paper is a general framework in which alternative priors for the half-life of deviations from PPP can be examined. We … professional interest in the PPP debate. The other example is a relatively diffuse prior designed to capture a large degree of …
Persistent link: https://www.econbiz.de/10005792458
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Optimal Exchange Rate Policy in a Growing Semi-Open Economy
Bacchetta, Philippe; Benhima, Kenza; Kalantzis, Yannick - C.E.P.R. Discussion Papers - 2013
In this paper, we consider an alternative perspective to China's exchange rate policy. We study a semi-open economy where the private sector has no access to international capital markets but the central bank has full access. Moreover, we assume limited financial development generating a large...
Persistent link: https://www.econbiz.de/10011083998
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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
We propose that analysis of purchasing power parity (PPP) and the law of one price (LOOP) should explicitly take into …, Heckscher stressed the importance of such incomplete arbitrage in the empirical application of PPP. We devise an econometric …
Persistent link: https://www.econbiz.de/10005662194
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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
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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
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The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach
Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1997
The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...
Persistent link: https://www.econbiz.de/10005504540