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Cointegration Analysis with Mixed-Frequency Data
Seong, Byeongchan; Ahn, Sung K.; Zadrozny, Peter A. - 2021
We develop a method for directly modeling cointegrated multivariate time series that are observed in mixed frequencies. We regard lower-frequency data as regularly (or irregularly) missing and treat them with higher-frequency data by adopting a state-space model. This utilizes the structure of...
Persistent link: https://www.econbiz.de/10013317180
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Modeling Institutions, Start-Ups and Productivity during Transition
Brixiova, Zuzana; Egert, Balazs - CESifo - 2010
, rapidly narrowed the productivity gap with advanced economies. In contrast, in countries of the Commonwealth of Independent … States, which embarked on reforms later and contented with less depth, the productivity gap remains substantial. While the …
Persistent link: https://www.econbiz.de/10008572571
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Modeling Institutions, Start-Ups and Productivity during Transition
Brixiova, Zuzana - 2010
, rapidly narrowed the productivity gap with advanced economies. In contrast, in countries of the Commonwealth of Independent … States, which embarked on reforms later and contented with less depth, the productivity gap remains substantial. While the …
Persistent link: https://www.econbiz.de/10013147452
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Are the Baltic Countries Ready to Adopt the Euro? A Generalised Purchasing Power Parity Approach
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021
This paper focuses on macroeconomic interdependencies between the Euro area and three transition economies (Estonia, Lithuania and Latvia), with the aim of establishing whether the latter are ready to adopt the Euro. The theoretical framework is based on the Generalised Purchasing Power Parity...
Persistent link: https://www.econbiz.de/10013316490
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Fiscal Shocks and Real Exchange Rate Dynamics : Some Evidence for Latin America
Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021
This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...
Persistent link: https://www.econbiz.de/10013316574
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Sources of Real Exchange Rate Fluctuations in Central and Eastern Europe - Temporary Or Permanent?
Stazka-Gawrysiak, Agnieszka - 2021
This paper investigates, using the SVAR model of Clarida and Gali (1994), the sources of real exchange rate fluctuations in eight Central and East European new EU member states. Theoretically, one should expect the real exchange rates of Exchange Rate Mechanism II participants to be primarily...
Persistent link: https://www.econbiz.de/10013317271
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Does China Still Have a Labor Cost Advantage?
Ceglowski, Janet; Golub, Stephen - CESifo - 2011
In recent years wages in China have been rising and the yuan has appreciated, potentially eroding China’s cost advantage in manufactures. This paper explores the evolution of China’s relative unit labor costs in manufacturing over 1998-2009. Between 1998 and 2003 China’s unit labor costs...
Persistent link: https://www.econbiz.de/10009323303
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Nominal and Real Exchange Rate Models in South Africa: How Robust are they?
Egert, Balazs - CESifo - 2012
This paper addresses difficulties in modelling exchange rates in South Africa. Real exchange rate models of earlier research seem to be sensitive to the sample period considered, alternative variable definition, data frequency and estimation methods. Alternative exchange rate models proposed in...
Persistent link: https://www.econbiz.de/10010554826
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Real Exchange Rates in Small Open OECD and Transition Economies: Comparing Apples with Oranges?
Egert, Balazs; Lommatzsch, Kirsten; Lahrèche-Révil, Amina - CESifo - 2007
We find that productivity gains in tradables cause an appreciation of the real exchange rate via both tradable and …
Persistent link: https://www.econbiz.de/10005405897
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The Real Exchange Rate in the Long Run : Balassa-Samuelson Effects Reconsidered
Bordo, Michael D. - 2014
Historical data for over hundred years and 14 countries is used to estimate the long-run effect of productivity on the … real exchange rate. We find large variations in the productivity effect across four distinct monetary regimes in the sample … argue that changes in trade costs over time may affect the impact of productivity on the real exchange rate over time. We …
Persistent link: https://www.econbiz.de/10013050476