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Exchange-rate pass-through to import prices: nonlinearities and exchange rate and inflationary regimes
Kılıç, Rehim - 2010
This paper investigates the relationship between exchange rate pass-through and exchange rate appreciations/depreciations and inflation by estimating nonlinear time series models. Motivated by theoretical and empirical results in the literature, the paper proposes new econometric models that can...
Persistent link: https://www.econbiz.de/10010273645
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Sustainability of Public Debt and Budget Deficit: Panel cointegration analysis for the European Union Member countries
Prohl, Silika; Schneider, Friedrich G. - 2006
In this study, we analyse the sustainability of fiscal policy of EU member countries within the panel cointegration and … error-correction frameworks. Unlike the previous empirical papers in this area, we apply the test for panel cointegration … conclude that the fiscal policy is consistent with the intertemporal budget constraint, i.e., it is sustainable in the panel of …
Persistent link: https://www.econbiz.de/10010294496
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Testing for Purchasing Power Parity in Cointegrated Panels
Carlsson, Mikael; Lyhagen, Johan; Österholm, Pär - 2007
This paper applies the recently developed maximum-likelihood-panel cointegration method of Larsson and Lyhagen (2007 …
Persistent link: https://www.econbiz.de/10010321519
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The Dynamics of R&D and Innovation in the Short Run and in the Long Run
Peri, Giovanni; Bottazzi, Laura - 2003
developed tests and panel estimation techniques. We find that the stock of knowledge of a country, its R&D resources and the …
Persistent link: https://www.econbiz.de/10010263236
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Exchange Rate Pass-Through, Domestic Competition, and Inflation: Evidence from the 2005/08 Revaluation of the Renminbi
Auer, Raphael A. - 2014
2005 to 2008 on the prices charged by US domestic producers. In a panel spanning the period from 1994 to 2010 and including …
Persistent link: https://www.econbiz.de/10011430113
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Getting PPP right: Identifying mean-reverting real exchange rates in panels
Chortareas, Georgios; Kapetanios, George - 2008
real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as … a small number of real exchange rates in a given panel may drive the results. In this paper we examine the PPP … when applied to a set of established panel-unit-root tests, allows the identification of the real exchange rates that are …
Persistent link: https://www.econbiz.de/10010280777
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Transmission of Sovereign Risk in the Euro Crisis
Brutti, Filippo; Sauré, Philip - 2012
We assess the role of financial linkages for the transmission of sovereign risk in the Euro Crisis. Building on the narrative approach by Romer and Romer (1989), we use financial news to identify structural shocks in a VAR model of daily sovereign CDS for eleven European countries. To estimate...
Persistent link: https://www.econbiz.de/10011430097
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Fixed and flexible exchange rates and currency sovereignty
Sardoni, Claudio; Wray, L. Randall - 2007
This paper provides an analysis of Keynes's original Bancor proposal as well as more recent proposals for fixed exchange rates. We argue that these schemes fail to pay due attention to the importance of capital movements in today's economy, and that they implicitly adopt an unsatisfactory notion...
Persistent link: https://www.econbiz.de/10010266537
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Market Entries and Exits and the Nonlinear Behaviour of the Exchange Rate Pass-Through into Import Prices
Herger, Nils - 2013
This paper develops an empirical framework giving rise to a nonlinear behaviour of the exchange rate pass-through (ERPT). Rather than shifts between low and high inflation, the nonlinearity arises when large swings in the exchange rate trigger market entries and exits of importing firms....
Persistent link: https://www.econbiz.de/10011430102
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Empirical Modelling of Norwegian Import Prices
Bache, Ida Wolden - 2002
In this paper we investigate the formation of Norwegian import prices of manufactures over the period 1970(1)-1998(3), thereby extending the sample period used in the study by Naug and Nymoen (1996). If international goods markets are perfectly integrated and the law of one price holds, then for...
Persistent link: https://www.econbiz.de/10012143589