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Productivity Shocks, Monetary Shocks, and the Short- and Long-Run Dynamics of Exchange Rates and Relative Prices

Bergman, Michael U.; Cheung, Yin-Wong; Lai, Kon S. - 2002

This study evaluates the individual roles of monetary and productivity shocks in real exchange rate fluctuations under … suggests that common-trend innovations are ascribed mostly to productivity shocks, whereas transitory innovations are governed … by monetary shocks. The allowance for productivity shocks, however, appears insufficient to fully explain the high …

Persistent link: https://www.econbiz.de/10014122594

Truths and Myths About RMB Misalignment : A Meta-Analysis

Cheung, Yin-Wong - 2019

We conduct a meta-regression analysis of 69 studies that generated 937 renminbi (RMB) misalignment estimates. The Bayesian Model Averaging (BMA) approach is adopted to allow for model selection and sampling uncertainties in assessing effects of study characteristics on these RMB misalignment...

Persistent link: https://www.econbiz.de/10012891475

Exchange Rate Misalignment Estimates – Sources of Differences

Cheung, Yin-Wong - 2011

We study the differences in currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10013119692

Exchange Rate Misalignment - The Case of the Chinese Renminbi

Cheung, Yin-Wong - 2013

Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China's currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...

Persistent link: https://www.econbiz.de/10013091077

Exchange Rate Misalignment Estimates - Sources of Differences

Cheung, Yin-Wong - 2013

We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10013092474

Exchange rate misalingment estimates : sources of differences

Cheung, Yin-Wong; Fujii, Eiji - 2011

Persistent link: https://www.econbiz.de/10009272286

Dissecting the PPP puzzle : the unconventional roles of nominal exchange rate and price adjustment

Cheung, Yin-Wong; Lai, Kon S.; Bergman, Michael U. - 2003

The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the...

Persistent link: https://www.econbiz.de/10011507767

Non-Linear Aspects of Goods-Market Arbitrage and Adjustment : Heckscher's Commodity Points Revisited

Obstfeld, Maurice; Taylor, Alan M. - 1998

We propose that analysis of purchasing power parity (PPP) and the law of one price (LOOP) should explicitly take into account the possibility of "commodity points"--thresholds delineating a region of no central tendency among relative prices, possibly due to lack of perfect arbitrage in the...

Persistent link: https://www.econbiz.de/10014062062

A Jackknife Model Averaging Analysis of RMB Misalignment Estimates

Cheung, Yin-Wong - 2019

We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows for non-nested model specifications and...

Persistent link: https://www.econbiz.de/10012861432

A Jackknife Model Averaging analysis of RMB misalignment estimates

Cheung, Yin-Wong; Wang, Wenhao - 2019

Persistent link: https://www.econbiz.de/10012103616