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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

to be positively related to objective measures of market segmentation, notably nominal exchange rate volatility. …

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

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

works. To this end, we review the theory and evidence on official intervention, concentrating primarily on work published …

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

The Behaviour of Real Exchange Rates During the Post-Bretton Woods Period

Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 1997

Tests for long-run purchasing power parity (PPP) may lack power with sample periods corresponding to the span of the recent float, leading researchers to use more powerful multivariate unit root tests. We point out a potential problem with such tests: joint non-stationarity of real exchange...

Persistent link: https://www.econbiz.de/10005791733

Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?

Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001

We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal …

Persistent link: https://www.econbiz.de/10005124271

Non-Linear Dynamics in Deviations from the Law of One Price: A Broad-Based Empirical Study

Chowdhury, Ibrahim; Sarno, Lucio; Taylor, Mark P - C.E.P.R. Discussion Papers - 2002

In this Paper we test empirically the validity of the law of one price using data for five major bilateral US dollar exchange rates and nine goods sectors during the recent floating exchange rate regime since the early 1970s. Using threshold autoregressive models, we find strong evidence of...

Persistent link: https://www.econbiz.de/10005136432

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

Purchasing Power Parity and the Real Exchange Rate

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

We assess the progress made by the profession in understanding real exchange rate behaviour, through a selective and critical but nonetheless expository review of the literature. Our reading of the literature leads us to the main conclusions that purchasing power parity might be viewed as a...

Persistent link: https://www.econbiz.de/10005662032

Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues

Égert, Balázs; Halpern, László; MacDonald, Ronald - C.E.P.R. Discussion Papers - 2004

In this Paper we present an overview of a number of issues relating to the equilibrium exchange rates of the new EU member states from Central and Eastern Europe. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss...

Persistent link: https://www.econbiz.de/10005662370

The Purchasing Power Parity Debate

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

how much the data deviated from theory, and the fruits of this research have provided a deeper understanding of how well …, in particular, have improved estimation. As deviations narrowed between real exchange rates and PPP, so did the gap … narrow between theory and data, and some degree of confidence in long-run PPP began to emerge again. In this respect, the …

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

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