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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

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 PPP hypothesis using data for the G7 countries. This method is robust in several important dimensions relative to previous methods, including the well-known issue of...

Persistent link: https://www.econbiz.de/10014401245

Long-Run Exchange Rate Dynamics : A Panel Data Study

Habermeier, Karl Friedrich - 1999

power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full …

Persistent link: https://www.econbiz.de/10014403431

Time-Varying Thresholds : An Application to Purchasing Power Parity

Leon, H. L. - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10014403888

Real Exchange Rates and Commodity Prices

Dupont, Dominique Yves - 1996

multi-country model, with world market clearing, which incorporates speculative and non-speculative demands for inventories … matters, and that supply and demand elasticities are important in determining the commodity price in world markets above and … beyond the size of the share of those commodities in world trade …

Persistent link: https://www.econbiz.de/10014398636

Real Exchange Rate Levels, Productivity and Demand Shocks : Evidence From a Panel of 14 Countries

Johnston, Louis Dorrance - 1997

implied by a naive version of purchasing power parity …

Persistent link: https://www.econbiz.de/10014401799

Macroeconomic consequences of tariffs

Furceri, Davide; Ahmed Hannan, Swarnali; Ostry, … - 2019

We study the macroeconomic consequences of tariffs. We estimate impulse response functions from local projections using a panel of annual data that spans 151 countries over 1963-2014. We find that tariff increases lead, in the medium term, to economically and statistically significant declines...

Persistent link: https://www.econbiz.de/10012001500

Exchange Rates and Economic Fundamentals : A Methodological Comparison of Beers and Feers

MacDonald, Ronald - 1998

This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with...

Persistent link: https://www.econbiz.de/10014400711

IMF Applications of Purchasing Power Parity Estimates

Silver, Mick - 2010

The IMF’s main uses of the International Comparison Program’s (ICP) estimates of purchasing power parity (PPP … World Economic Outlook (WEO). The paper outlines these uses and considers measurement issues particularly salient to IMF …

Persistent link: https://www.econbiz.de/10014402656

Filtering the Beer : A Permanent and Transitory Decomposition

Clark, Peter B. - 2000

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

Persistent link: https://www.econbiz.de/10014403514

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