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A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
GOSWAMI, GAUTAM; SHRIKHANDE, MILIND; WU, LIUREN - 2002
We study the behavior of real exchange rates in a two-country dynamic equilibrium model. In this model, consumers can only consume domestic goods but can invest costlessly in capital stocks of both countries. Nevertheless, transporting goods between the two countries is costly and, hence, the...
Persistent link: https://www.econbiz.de/10009440709
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Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?
Lothian, James R.; Taylor, Mark P. - 2003
Using long-span data on the dollar-sterling and dollar-franc real exchange rates over the past two centuries, we apply the findings of various strands of the recent literature in order to examine the statistical and economic significance of the Harrod-Balassa-Samuelson effect (the effect of...
Persistent link: https://www.econbiz.de/10009440727
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Purchasing power parity in developing countries: Evidence from conventional and fractional cointegration tests
Arize, A. C.; Malindretos, John; Grivoyannis, Elias C. - 2004
This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkowski et al. (1992) and Geweke and Porter-Hudak (1983) are employed to detect the...
Persistent link: https://www.econbiz.de/10009441661
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A test of purchasing power parity: Asia Pacific and Latin America
Ho, Catherine S. F.; Ariff, Mohamed - 2009
Finding evidence of the theoretical relationship between exchange rate and inflation has been a difficult proposition in an exchange rate market, despite many studies in developed markets. Three recent papers employing a new research design, Theil’s Divisia index method, found that this...
Persistent link: https://www.econbiz.de/10009441758
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Impact of general purchasing power accounting on Greek accounts
Baralexis, Spyridon K. - 1989
This Study addressed the inflation accountingproblem with respect to Greece. This problem had been unaddressed despite the serious implications it may have on micro- and macro-decision making due to the high andpersistent inflation Greece has sustained from 1973 and afterwards.To accomplish the...
Persistent link: https://www.econbiz.de/10009465869
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Confidence Intervals for Half-Life Deviations From Purchasing Power Parity
Rossi, Barbara - 2005
According to the Purchasing Power Parity {(PPP)} theory, real exchange rate fluctuations are mainly caused by … transitory shocks. The theory fits well one empirical feature of the data, namely the short-run volatility of real exchange rates …, the results show that the data are not inconsistent with the {PPP} theory, although we cannot provide conclusive evidence …
Persistent link: https://www.econbiz.de/10009475495
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Price, Output, and Exchange Rate Movements in the Open Economy
Kimbrough, K. P. - 1983
Since the advent of managed floating it has come to be accepted as a stylized fact that short-run deviations from purchasing power parity are both substantial and persistent. Two explanations of these deviations have been advanced in the literature. One emphasizes the role of changes in...
Persistent link: https://www.econbiz.de/10009475591
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Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Égert, Balázs; Halpern, László; MacDonald, Ronald - 2005
In this paper we present an overview of a number of issues relating to the equilibrium exchange rates of transition economies of the former soviet bloc. In particular, we present a critical overview of the various methods available for calculating equilibrium exchange rates and discuss how...
Persistent link: https://www.econbiz.de/10009477512
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Modelling spatially correlated error structures in the time-space extrapolation of purchasing power parities
Rambaldi, Alicia N.; Rao, D. S. Prasada; Ganegodage, K. … - 2010
This book deals with the currently most relevant topics in price index numbers theory and practice. The problem of the … international comparisons of macroeconomic aggregates, a re-consideration of index numbers theory, the measurement of production in …
Persistent link: https://www.econbiz.de/10009448528
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Testing PPP by means of ZNZ patterned VECM
Brailsford, T. J.; Penm, J.; Terrell, R. D. - 2008
Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may...
Persistent link: https://www.econbiz.de/10009448594