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Modeling Equilibrium Real Exchange Rates

Soto, Raimundo; Elbadawi, Ibrahim - Econometric Society - 2004

how to quantify the likely impact of misalignment on exports and long-run economic growth. Despite the substantial number … methodology to modeling the misalignment of the RER to overcome the problem of scaling arising for estimated cointegration models … and compute confidence intervals for the misalignment, allowing for flexible (as opposed to the standard fixed) speed of …

Persistent link: https://www.econbiz.de/10005129778

Asymmetric Effects of Government Spending: Does the Level of Real Interest Rates Matter?

Devereux, Michael B.; Choi, Woon Gyu - Econometric Society - 2004

This paper examines empirical issues on asymmetric effects of government spending. Increases in government spending under low real interest rates are not associated with the same increases in future tax liabilities as those under high real interest rates. Consequently, the negative impact from...

Persistent link: https://www.econbiz.de/10005342311

Sources and Propagation Mechanims of Foreign Disturbances in Small Open Economies: A Dynamic Factor Analysis

Justiniano, Alejandro - Econometric Society - 2004

This paper uses dynamic factor analysis to investigate the sources of foreign shocks and the propagation mechanism of these disturbances into two small open economies, Australia and Canada. Panels including a variety of foreign and domestic series for each country are used to estimate the...

Persistent link: https://www.econbiz.de/10005328892

Forecasting Industry-Level CPI and PPI Inflation: Does Exchange Rate Pass-Through Matter?

Thomakos, Dimitrios D.; Bhattacharya, Prasad S. - Econometric Society - 2004

In this paper, we examine whether industry-level forecasts of CPI and PPI inflation can be improved using the ``exchange rate pass-through" effect, that is, when one accounts for the variability of the exchange rate and import prices. An exchange rate depreciation leading to a higher level of...

Persistent link: https://www.econbiz.de/10005702549

Trade Costs and Real Exchange Rate Volatility

Giovanni, Claudio Bravo-Ortega AND Julian di - Econometric Society - 2004

This paper examines the impact of trade costs on real exchange rate volatil- ity. We model two channels endogenously in a Ricardian framework: (i) non- tradability and (ii) heterogeneous suppliers of traded goods. The Â¯rst channel is examined by constructing a two-country Ricardian model of...

Persistent link: https://www.econbiz.de/10005328910

Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach

Ogaki, Masao; Kim, Jaebeom - Econometric Society - 2004

When univariate methods are applied to real exchange rates, point estimates of autoregressive coefficients typically imply very slow rates of mean reversion. Rogoff (1996) discusses that the remarkable consensus of 3-5 year half-lives of purchasing power parity (PPP) deviations is found among...

Persistent link: https://www.econbiz.de/10005086417

Twin Deficit or Twin Divergence? Fiscal Policy, Current Account, and Real Exchange Rate in the US

Kim, Soyoung; Roubini, Nouriel - Econometric Society - 2004

In spite of the concerns about "twin deficits" (fiscal and current account deficits) for the U.S., empirical evidence suggests that “twin divergence” is a more regular feature of the data: when the fiscal accounts worsen, the current account improves and vice versa. We thus study empirically...

Persistent link: https://www.econbiz.de/10005063596

Purchasing Power Parity: the Choice of Price Index

Terra, Maria Cristina T.; Abreu, Ana Lucia Vahia de - Econometric Society - 2004

Looking closely at the PPP argument, it states that the currencies purchasing power should not change when comparing the same basket goods across countries, and these goods should all be tradable. Hence, if PPP is valid at all, it should be captured by the relative price indices that best fits...

Persistent link: https://www.econbiz.de/10005699577

Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China

Guangzhong, Li; Voon, Jan P - Econometric Society - 2004

aggregate exports. An important and related variable, the RER misalignment, has been hitherto omitted from the analysis. Yet … first attempt, using both the theoretical and the empirical models, to examine the impacts of the RER misalignment on China … a reduction in the RER misalignment. Using the SUR methodology coupled with the disaggregate panel data, we able to …

Persistent link: https://www.econbiz.de/10005342171

Market Discipline under Systemic Risk: Evidence from Bank Runs in Emerging Economies

Schmukler, Sergio L.; Levy-Yeyati, Eduardo; Peria, … - Econometric Society - 2004

This paper shows that systemic risk exerts a significant impact on the behavior of depositors, sometimes overshadowing their responses to standard bank fundamentals. Systemic risk can affect market discipline both regardless of and through bank fundamentals. First, worsening systemic conditions...

Persistent link: https://www.econbiz.de/10005328877

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