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International Income Inequality : Measuring PPP Bias by Estimating Engel Curves for Food
Almås, Ingvild - 2010
Purchasing power adjusted incomes applied in cross-country comparisons are measured with bias. In this paper, we estimate the purchasing power parity (PPP) bias in Penn World Table incomes and provide corrected incomes. The bias is substantial and systematic: the poorer a country, the more its...
Persistent link: https://www.econbiz.de/10013135914
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Aggregation in Large Dynamic Panels
Pesaran, M. Hashem - 2015
Carlo experiments, where we also study the estimation of the aggregate effects of micro and macro shocks. The paper …
Persistent link: https://www.econbiz.de/10013038262
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A Panel Data Investigation of Real Exchange Rate Misalignment and Growth
MacDonald, Ronald - 2010
using time series data from 1980 to 2004. We first estimate a panel data model (using fixed and random effects) for the real … of real exchange rate misalignment using panel cointegration methods. The variables used in our real exchange rate models …-step System GMM panel growth models indicate that the coefficients for real exchange rate misalignment are positive for different …
Persistent link: https://www.econbiz.de/10013142797
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US Disposable Personal Income and Housing Price Index : A Fractional Integration Analysis
Caporale, Guglielmo Maria - 2013
This paper examines the relationship between US disposable personal income (DPI) and house price index (HPI) during the last twenty years applying fractional integration and long-range dependence techniques to monthly data from January 1991 to July 2010. The empirical findings indicate that the...
Persistent link: https://www.econbiz.de/10013094212
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International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries : Some Panel Evidence
Caporale, Guglielmo Maria - 2009
The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...
Persistent link: https://www.econbiz.de/10013155428
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The European Central Bank's QE : A New Hope
Wieladek, Tomasz - 2016
We examine the impact of the ECB's QE on Euro Area real GDP and core CPI with a Bayesian VAR, estimated on monthly data from 2012M6 to 2016M4. We assess the total impact via a counter-factual exercise, country-by-country and through alternative transmission channels. QE announcement shocks are...
Persistent link: https://www.econbiz.de/10012986934
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Lost in Translation : What Do Engel Curves Tell Us About the Cost of Living?
Almås, Ingvild - 2018
The Hamilton method for estimating CPI bias is simple, intuitive, and has been widely adopted. We show that the method confiates CPI bias with variation in cost-of-living across income levels. Assuming a single price index across the income distribution is inconsistent with the downward sloping...
Persistent link: https://www.econbiz.de/10012922658
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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
maximum likelihood estimation of the parameters in the model, we use an expectation maximization algorithm based on the state …
Persistent link: https://www.econbiz.de/10013317180
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Sources of Real Exchange Rate Volatility and International Financial Integration : A Dynamic GMM Panel Approach
Caporale, Guglielmo Maria - 2011
The aim of this paper is to provide some new empirical evidence on the determinants of volatility of real exchange rates in emerging countries, focusing on the role of international financial integration in particular. A reduced-form model is estimated using the GMM method for dynamic panels...
Persistent link: https://www.econbiz.de/10013117985
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The Impact of Market Regulations on Intra-European Real Exchange Rates
Bénassy-Quéré, Agnès - 2013
and employment protection tend to inflate the real exchange rate. We then carry out an econometric estimation for European …
Persistent link: https://www.econbiz.de/10013087275