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Effects of Speculation and Interest Rates in a "Carry Trade" Model of Commodity Prices

Frankel, Jeffrey A. - 2013

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants'...

Persistent link: https://www.econbiz.de/10012459199

Newer Need Not be Better : Evaluating the Penn World Tables and the World Development Indicators Using Nighttime Lights

Pinkovskiy, Maxim - 2016

Penn World Tables and of the World Development Indicators better estimate true income per capita. We find that revisions of …-price series in both PWT 8.0 and PWT 8.1, the two most recent vintages of the PWT. We additionally find that the World Development … Indicators are as good, and often better, measures of unobserved true income as are any recent vintages of the Penn World Tables …

Persistent link: https://www.econbiz.de/10012456459

Is the Price Level Determined by the Needs of Fiscal Solvency?

Canzoneri, Matthew B. - 1998

A new theory of price determination suggests that if primary surpluses are independent of the level of debt, the price …

Persistent link: https://www.econbiz.de/10012472334

Life Cycle Schooling and Dynamic Selection Bias : Models and Evidence for Five Cohorts

Cameron, Stephen V. - 1998

This paper examines an empirical regularity found in many societies: that family influences on the probability of transiting from one grade level to the next diminish at higher levels of education. We examine the statistical model used to establish the empirical regularity and the intuitive...

Persistent link: https://www.econbiz.de/10012472433

Speculative Attacks : Fundamentals and Self-Fulfilling Prophecies

Flood, Robert P. - 1996

We develop a modified understand better the 1994 Mexican peso crisis as well as aspects of the European currency crises in 1992-93. We introduce the assumption that the speculative attack is sterilized by the domestic monetary authority, we incorporate a stochastic risk premium, and we allow for...

Persistent link: https://www.econbiz.de/10012473044

Relative Labor Productivity and the Real Exchange Rate in the Long Run : Evidence for a Panel of OECD Countries

Canzoneri, Matthew B. - 1996

The Balassa-Samuelson model, which explains real exchange rate movements in terms of sectoral productivities, rests on two components. First, for a class of technologies including Cobb-Douglas, the model implies that the relative price of nontraded goods in each country should reflect the...

Persistent link: https://www.econbiz.de/10012473166

Forecasting Exchange Rates and Relative Prices with the Hamburger Standard : Is What You Want What You Get With McParity?

Cumby, Robert E. - 1996

A decade ago the Economist began an annual survey of Big Mac prices as a guide to whether currencies are trading at the right exchange rates. This paper asks how well the hamburger standard has performed. Although average deviations from absolute Big Mac parity are large for several currencies,...

Persistent link: https://www.econbiz.de/10012473167

Currency Crashes in Emerging Markets : Empirical Indicators

Frankel, Jeffrey A. - 1996

We use a panel of annual data for over one hundred developing countries from 1971 through 1992 to characterize currency crashes. We define a currency crash as a large change of the nominal exchange rate that is also a substantial increase in the rate of change of nominal depreciation. We examine...

Persistent link: https://www.econbiz.de/10012473427

Collapsing Exchange Rate Regimes : Another Linear Example

Flood, Robert P. - 1995

In the literature on speculative attacks on a fixed exchange rate, it is usually assumed that the monetary authority responsible for fixing the exchange rate reacts passively to the monetary disruption caused by the attack. This assumption is grossly at odds with actual experience where...

Persistent link: https://www.econbiz.de/10012473552

Fixes : Of The Forward Discount Puzzle

Flood, Robert P. - 1994

Regressions of ex post changes in floating exchange rates on appropriate interest differentials typically imply that the high- interest rate currency tends to appreciate, the `forward discount puzzle.' Using data from the European Monetary System, we find that a large part of the forward...

Persistent link: https://www.econbiz.de/10012473976