The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a "synthetic" euro are used. The assumptions underlying the monetary...

This paper examines the implications of menu cost models for the rate of reversion to purchasing power parity. Recent menu cost models (Ball and Mankiw, 1994) imply that higher inflation is correlated with more rapid price adjustment. This means that reversion to PPP may be more rapid, the...

In this paper, the evidence for a relative tradables-nontradables price based explanation for long run movements in East Asian real exchange rates is examined. Using both time series cointegration techniques and panel regression procedures, I find that the real exchange rates are cointegrated...

The theoretical bases for different definitions of the real exchange rate are discussed. Alternative means of calculating "effective" exchange rates are presented. Some of the empirical characteristics of these series are examined in the context of several Pacific Rim countries. The use of real...

This paper documents the evidence in support of fiscal and monetary exchange rates for the Canadian dollar, Deutschemark, Yen, and Pound over the 1974-1993 period. Cointegrating relationships between the real exchange rate and (i) fiscal impulses and (ii) productivity and government spending are...

The concept of purchasing power parity (PPP) is used as an equilibrium exchange rate measure to evaluate whether eight East Asian currencies were overvalued on the eve of the 1997 currency crises: Hong Kong dollar, Indonesian rupiah, Korean won, Malaysian ringgit, Philippine peso. Singapore...

The linkages between the People's Republic of China and the other Chinese economies of Hong Kong and Taiwan are assessed, and compared against those with Japan and the US. We first characterize the time series behavior of three criteria of integration, namely real interest parity, uncovered...

In this paper the evidence for a productivity-based explanation for real exchange rate behavior of East Asian currencies is examined. Using sectoral output and employment data, relative prices and relative productivities are calculated for China, Indonesia, Japan, Korea, Malaysia, the...

The canonical predictions of intertemporal open-economy macro models are tested by a structural VAR analysis of Group of Seven countries. The analysis is distinguished from the previous literature in that it adopts minimal assumptions for identification. Consistent with a large set of...