Similar Search Results

Exchange rate uncertainty and deviations from purchasing power parity: Evidence from the G7 area

Arghyrou, Michael G.; Gregoriou, Andros; Pourpourides, … - 2009

Arghyrou, Gregoriou and Pourpourides (2009) argue that exchange rate uncertainty causes deviations from the law of one price. We test this hypothesis on aggregate data from the G7-area. We find that exchange rate uncertainty explains to a significant degree deviations from Purchasing Power Parity.

Persistent link: https://www.econbiz.de/10010288807

Exchange Rate Policies: Fact or Fiction in the Rise of High Performance Asian Economies

Subaşat, Turan - 2008

Many economists believe that the nature of exchange rate management was an important reason for rapid economic growth in East Asia. In this view, Asian countries avoided extreme exchange rate appreciations and kept their nominal exchange rates close to market clearing levels. In contrast, the...

Persistent link: https://www.econbiz.de/10011807188

PPP: a Disaggregated View

Fischer, Christoph - 2004

By disaggregating price indices, it becomes apparent that the real exchange rate consists of the real exchange rate for a single good and a weighted sum of relative prices between goods. When applying a battery of panel unit root tests to this sum and its components, it is found that both the...

Persistent link: https://www.econbiz.de/10010295634

Concepts to Calculate Equilibrium Exchange Rates: An Overview

MacDonald, Ronald - 2000

In this paper we present a critical overview of differnt methods of constructing an equilibrium exchange rate. The recent literature on purchasing power parity (PPP) indicates that on its own PPP is not a good vehicle for defining an equilibrium exchange rate. Rather, we argue that the latter...

Persistent link: https://www.econbiz.de/10010295691

The behaviour of the real exchange rate: evidence from regression quantiles

Nikolaou, Kleopatra - 2006

We test for mean reversion in real exchange rates using a recently developed unit root test for non-normal processes based on quantile autoregression inference in semi-parametric and non-parametric settings. The quantile regression approach allows us to directly capture the impact of different...

Persistent link: https://www.econbiz.de/10011604713

Why not use standard panel unit root test for testing PPP

Lyhagen, Johan - 2000

In this paper we show the consequences of applying a panel unit root test when testing for a purchasing power parity relationship. The distribution of the tests investigated, including the IPS test of Im et al (1997), are influenced by a common stochastic trend which is usually not accounted...

Persistent link: https://www.econbiz.de/10010281460

A note on testing for purchasing power parity

Heinen, Florian - 2011

We examine the asymptotic behavior of unit root tests against nonlinear alternatives of the exponential smooth transition type if the data is erroneously nonlinearly transformed. We show analytically and by a Monte Carlo study that the probability of rejecting the correct null of a random walk...

Persistent link: https://www.econbiz.de/10010289013

Währungspolitische Interdependenz der EU-Beitrittskandidaten und die Wahl eines geeigneten Wechselkurssystems

Jochem, Axel - 1999

Der vorliegende Diskussionsbeitrag entstand im Rahmen eines Forschungsprojektes über die monetäre Integration von fünf mittel- und osteuropäischen EU-Beitrittskandidaten (Polen, Tschechische Republik, Ungarn, Slowenien und Estland). Das hier vorgestellte Kapitel geht auf die...

Persistent link: https://www.econbiz.de/10010300396

Die EWWU als Club: Positive und normative Implikationen für den Beitritt mittel- und osteuropäischer Reformstaaten

Sell, Friedrich L. - 1999

sind. Der gewählte Analyseansatz greift auf positive und normative Hinweise der Club Theorie zurück. Es wird zunächst … (Kosten und Nutzen des Beitritts) für eine bestmögliche Strategie der Wechselkurspolitik der Beitrittskandidaten zur … draws on positive and normative hints from club theory. The paper provides an analytical approach to determine ex-ante the …

Persistent link: https://www.econbiz.de/10010300401

A DSGE model for a SOE with systematic interest and foreign exchange policies in wich policymakers exploit the risk premium for stabilization purposes

Escudé, Guillermo - 2013

This paper builds a DSGE model for a SOE in which the central bank systematically intervenes both the domestic currency bond and the FX markets using two policy rules: a Taylor-type rule and a second rule in which the operational target is the rate of nominal currency depreciation. For this, the...

Persistent link: https://www.econbiz.de/10010325096

1
2
3
4
5
6
7
8
9
10
Next
Last