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Estimation of the Near Unit Root Model of Real Exchange Rates
McDermott, C. John - 1996
The time-series properties of real exchange rates, on a number of definitions, for 22 industrial countries during 1979-95 were used to re-examine whether PPP holds. It is shown that if real exchange rates reverted to a constant mean slowly, say by five percent a month, then at standard levels of...
Persistent link: https://www.econbiz.de/10014398375
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Testing for Cointegration Using the Johansen Methodology When Variables Are Near-Integrated
Österholm, Pär - 2007
We investigate the properties of Johansen''s (1988, 1991) maximum eigenvalue and trace tests for cointegration under …
Persistent link: https://www.econbiz.de/10014401263
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Can international macroeconomic models explain low-frequency movements of real exchange rates?
Rabanal, Pau; Rubio-Ramírez, Juan Francisco - 2012
Persistent link: https://www.econbiz.de/10009423898
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A Dynamic Model of Inflation for Kenya, 1974-1996
Ndung'u, Njuguna S. - 1999
This paper analyses the dynamics of inflation in Kenya during 1974–96, a period characterized by external shocks and internal disequilibria. By developing a parsimonious and empirically constant error correction model the paper finds that the exchange rate, foreign prices, and terms of trade...
Persistent link: https://www.econbiz.de/10014401118
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Testing for Purchasing Power Parity in Cointegrated Panels
Lyhagen, Johan - 2007
This paper applies the maximum likelihood panel cointegration method of Larsson and Lyhagen (2007) to test the strong … contrasted to those from the Pedroni (1995) cointegration tests and fully modified OLS and dynamic OLS esimators of the …
Persistent link: https://www.econbiz.de/10014401245
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Can International Macroeconomic Models Explain Low-Frequency Movements of Real Exchange Rates?
Rabanal, Pau - 2012
Real exchange rates exhibit important low-frequency fluctuations. This makes the analysis of real exchange rates at all frequencies a more sound exercise than the typical business cycle one, which compares actual and simulated data after the Hodrick-Prescott filter is applied to both. A simple...
Persistent link: https://www.econbiz.de/10014396942
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The Equilibrium Real Exchange Rate of the Malagasy Franc : Estimation and Assessment
Cady, John - 2003
Employing cointegration techniques, the long-run determinants of Madagascar''s real exchange rate are examined from a …
Persistent link: https://www.econbiz.de/10014404020
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Real Exchange Rate Misalignment : A Panel Co-Integration and Common Factor Analysis
Yehoue, Etienne B. - 2005
We combine some newly developed panel co-integration techniques and common factor analysis to analyze the behavior of …
Persistent link: https://www.econbiz.de/10014404212
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Cointegrated TFP Processes and International Business Cycles
Tuesta, Vicente - 2009
A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that TFP processes for the U.S. and the ""rest of the world,"" is characterized by a vector error...
Persistent link: https://www.econbiz.de/10014401848
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Current Account Rebalancing and Real Exchange Rate Adjustment Between the U.S. and Emerging Asia
Sandri, Damiano - 2011
A reduction in the U.S. current account deficit vis-à-vis emerging Asia involves a shift in demand from U.S. to … emerging Asia tradable goods and a change in international relative prices. This paper quantifies the required adjustment in … Asia. We compare scenarios where both Chinese and other emerging Asian export prices change by the same proportion to the …
Persistent link: https://www.econbiz.de/10011779741