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Berger, David; Faust, Jon; Rogers, John H.; Steverson, Kai - Federal Reserve Board (Board of Governors of the … - 2009

We analyze retail prices and at-the-dock (import) prices of specific items in the Bureau of Labor Statistics' (BLS) CPI …

Persistent link: https://www.econbiz.de/10004967529

Revisiting the Border: an assessment of the law of one price using very disaggregated consumer price data

Engel, Charles; Rogers, John H.; Wang, Shing-Yi B. - Federal Reserve Board (Board of Governors of the … - 2003

We reexamine the evidence for border effects in deviations from the law of one price, using data for consumer prices … rather than price index data. We find evidence of border effects both in the levels of prices and the percentage change in … prices. Even accounting for distance between cities and relative population sizes, we find that the absolute difference …

Persistent link: https://www.econbiz.de/10005368324

Relative price volatility: what role does the border play?

Engle, Charles; Rogers, John - Federal Reserve Board (Board of Governors of the … - 1998

We reexamine the effect of the U.S.-Canadian border on integration of markets. The paper updates work from our earlier paper, Engel and Rogers (1996). We consider alternative measures of deviations from the law of one price. We pay special attention to the effect of the U.S.-Canada free trade...

Persistent link: https://www.econbiz.de/10005372546

How wide is the border?

Engel, Charles; Rogers, John H. - Federal Reserve Board (Board of Governors of the … - 1995

.S. cities and Canadian cities for 14 categories of consumer prices to examine the nature of the deviations from the law of one … price. The distance between cities explains a significant amount of the variation in the prices of similar goods in … prices as adding 2500 miles between cities. …

Persistent link: https://www.econbiz.de/10005712747

Rise of the machines: algorithmic trading in the foreign exchange market

Chaboud, Alain; Chiquoine, Benjamin; Hjalmarsson, Erik; … - Federal Reserve Board (Board of Governors of the … - 2009

We study the impact that algorithmic trading, computers directly interfacing at high frequency with trading platforms, has had on price discovery and volatility in the foreign exchange market. Our dataset represents a majority of global interdealer trading in three major currency pairs in 2006...

Persistent link: https://www.econbiz.de/10008615664

The puzzling peso

Arteta, Carlos; Kamin, Steven B.; Vitanza, Justin - Federal Reserve Board (Board of Governors of the … - 2009

In the past decade, some observers have noted an unusual aspect of the Mexican peso's behavior: During periods when the U.S. dollar has risen (fallen) against other major currencies such as the euro, the peso has risen (fallen) against the dollar. Very few other currencies display this behavior....

Persistent link: https://www.econbiz.de/10008615665

Entry dynamics and the decline in exchange-rate pass-through

Gust, Christopher; Leduc, Sylvain; Vigfusson, Robert - Federal Reserve Board (Board of Governors of the … - 2010

The degree of exchange-rate pass-through to import prices is low. An average pass-through estimate for the 1980s would …

Persistent link: https://www.econbiz.de/10008691001

The impact of macroeconomic announcements on real time foreign exchange rates in emerging markets

Cai, Fang; Joo, Hyunsoo; Zhang, Zhiwei - Federal Reserve Board (Board of Governors of the … - 2009

This paper utilizes a unique high-frequency database to measure how exchange rates in nine emerging markets react to macroeconomic news in the U.S. and domestic economies from 2000 to 2006. We find that major U.S. macroeconomic news have a strong impact on the returns and volatilities of...

Persistent link: https://www.econbiz.de/10004967531

Are Chinese exports sensitive to changes in the exchange rate?

Ahmed, Shaghil - Federal Reserve Board (Board of Governors of the … - 2009

This paper builds a model of two types of Chinese exports, those processed and assembled largely from imported inputs ("processed" exports) and "non-processed" exports. Based on this model, the sensitivity of Chinese exports to exchange rate changes is empirically examined. Unlike previous work,...

Persistent link: https://www.econbiz.de/10008498899

Exchange rate forecasting: the errors we've really made

Faust, Jon; Rogers, John H.; Wright, Jonathan H. - Federal Reserve Board (Board of Governors of the … - 2001

We examine the forecasting performance of standard macro models of exchange rates in real time, using dozens of different vintages of the OECD's Main Economic Indicators database. We calculate out-of-sample forecasts as they would have been made at the time, and compare them to a random walk...

Persistent link: https://www.econbiz.de/10005368126

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