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(PPP) is embedded in latent disequilibrium factors, being extracted from a large set of bilateral price disparities; the … five OECD countries using monthly data show promising results, which reverse the common belief that PPP is at best a very …
Persistent link: https://www.econbiz.de/10005083384
We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation...
Persistent link: https://www.econbiz.de/10010905561
This paper examines the presence of asymmetric behavior in exchange rate pass-through (ERPT) to CPI inflation in 12 euro area (EA) countries. Using a class of nonlinear smooth transition models, we test for asymmetry with respect to the direction and the magnitude of exchange rate changes. On...
Persistent link: https://www.econbiz.de/10010956023
We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and...
Persistent link: https://www.econbiz.de/10010886827
In this paper we empirically investigate the relationship between capital flows and exchange rates in India based on a new index of real effective exchange rates for the Indian Rupiah. Instead of using consumer price indices we deflate exchange rates by MSCI asset price indices. The...
Persistent link: https://www.econbiz.de/10010886833
Available evidence supports the view that growth is faster in more open economies. In order to analyze the implications of openness and growth on determinacy and learnability of worldwide rational expectations equilibria we develop a two-country New Keynesian model with growth. We analyze these...
Persistent link: https://www.econbiz.de/10010886862
The coordination channel has recently been established as an additional means by which foreign exchange market intervention may be effective. It is conjectured that strong and persistent misalignments of the exchange rate are caused by a coordination failure among fundamentals-based traders. In...
Persistent link: https://www.econbiz.de/10010886895
Foreign exchange rates, asset prices and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. This paper provides new empirical evidence from an index of exchange-rate adjusted cross-country asset price ratios, which...
Persistent link: https://www.econbiz.de/10010886943
Though unambiguously outperforming all other financial markets in terms of liquidity, foreign exchange trading is still performed in opaque and decentralized markets. In particular, the two-tier market structure consisting of a customer segment and an interdealer segment to which only market...
Persistent link: https://www.econbiz.de/10010886958
This paper uses a microstructure approach to analyze the effectiveness of capital controls introduced in Brazil to counter an appreciation of the Real. Based on a rich data set from the Brazilian foreign exchange market, we estimate a reduced-form VAR to characterize the interaction of the...
Persistent link: https://www.econbiz.de/10010886994