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Recursive and Sequential Tests of the Unit Root and Trend Break Hypothesis : Theory and International Evidence

Banerjee, Anindya; Lumsdaine, Robin L.; Stock, James H. - 2021

This paper investigates the possibility, raised by Perron (1989, 1990a), that aggregate economic time series can be characterized as being stationary around broken trend lines. Unlike Perron, we treat the break date as unknown a priori. Asymptotic distributions are developed for recursive,...

Persistent link: https://www.econbiz.de/10013248699

Nonrenewable Resource Prices : Deterministic or Stochastic Trends?

Lee, Junsoo; List, John A.; Strazicich, Mark C. - 2021

Lagrangian Multiplier unit root test that allows for two endogenously determined structural breaks with and without a quadratic … support characterizing natural resource prices as stationary around deterministic trends with structural breaks. This result … generally, we show that both pre-testing for unit roots with breaks and allowing for breaks in the forecast model can improve …

Persistent link: https://www.econbiz.de/10013227016

Mussa Redux and Conditional PPP

Bergin, Paul R. - 2012

Long half-lives of real exchange rates are often used as evidence against monetary sticky price models. In this study we show how exchange rate regimes alter the long-run dynamics and half-life of the real exchange rate, and we recast the classic defense of such models by Mussa (1986) from an...

Persistent link: https://www.econbiz.de/10013101514

Monetary Policy and the Predictability of Nominal Exchange Rates

Eichenbaum, Martin - 2017

This paper studies how the monetary policy regime affects the relative importance of nominal exchange rates and inflation rates in shaping the response of real exchange rates to shocks. We document two facts about inflation-targeting countries. First, the current real exchange rate predicts...

Persistent link: https://www.econbiz.de/10012963169

Precaution Versus Mercantilism : Reserve Accumulation, Capital Controls, and the Real Exchange Rate

Choi, Woo Jin - 2017

We document a new international stylized fact describing the relationship between real exchange rates and external asset holdings. Economists have long argued that the real exchange rate is associated with the net international investment position, appreciating as external wealth increases. This...

Persistent link: https://www.econbiz.de/10012957986

Macroeconomic Consequences of Tariffs

Furceri, Davide - 2018

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/10012906271

Purchasing Power Disparity Before 1914

Lindert, Peter H. - 2016

purchasing power before 1914. Northwest Europe was further ahead of Asian countries than earlier measures have shown. The …

Persistent link: https://www.econbiz.de/10012978085

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 period. Although the traditional Balassa-Samuelson...

Persistent link: https://www.econbiz.de/10013051759

Estimating Currency Misalignment Using the Penn Effect : It's Not as Simple as it Looks

Cheung, Yin-Wong - 2016

We investigate the strength of the Penn effect in the most recent version of the Penn World Tables (PWTs). We find that …

Persistent link: https://www.econbiz.de/10012984753

Shining a Light on Purchasing Power Parities

Pinkovskiy, Maxim - 2018

study of PPP-adjusted estimates of GDP around the world between 1992 and 2010. First, we find that while market exchange … optimal. Using data from the Penn World Tables, we find that, indeed, it is optimal to only use the latest price data, and …

Persistent link: https://www.econbiz.de/10012924462

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