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A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information

Macchiarelli, Corrado - European Central Bank - 2011

analysis (e.g. Fama, 1987) - and the ex ante PPP. The latter result is new in the literature and stems from testing the PPP in …

Persistent link: https://www.econbiz.de/10009645428

Bond market co-movements, expected inflation and the equilibrium real exchange rate

Macchiarelli, Corrado - European Central Bank - 2011

Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...

Persistent link: https://www.econbiz.de/10009645431

Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria?

Peltonen, Tuomas A.; Popescu, Adina; Sager, Michael - European Central Bank - 2009

exchange rates from levels implied by Purchasing Power Parity (PPP) are very persistent. Empirical efforts to explain this … differentials that drive equilibrium exchange rates away from levels implied by PPP, or the presence of non-linearities in the … adjustment process around PPP. By contrast, we combine these two explanations in the context of an innovative panel estimation …

Persistent link: https://www.econbiz.de/10005002777

Spatial considerations on the PPP debate

Ca' Zorzi, Michele; Chudik, Alexander - European Central Bank - 2013

This paper studies the influence of aggregating across space when (i) testing the PPP theory or more generally pair …-wise cointegration and (ii) evaluating the PPP puzzle. Our contribution is threefold: we show that aggregating foreign data and applying … an ADF test may lead to erroneously reject the PPP hypothesis. We then show, on the basis of theoretical arguments as …

Persistent link: https://www.econbiz.de/10010686870