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Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory
dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64
This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900 … theory is not verified in Argentina, since its RER appears as a non-stationary variable, and there is no evidence of … cointegration between the nominal exchange rate and the relative prices. In particular, the Argentinean RER appears to be trend …
Persistent link: https://www.econbiz.de/10010289485
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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
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Cointegrated TFP processes and international business cycles
Rabanal, Pau; Rubio-Ramirez, Juan Francisco; Tuesta, Vicente - 2009
A puzzle in international macroeconomics is that observed real exchange rates are highly volatile. Standard international real business cycle (IRBC) models cannot reproduce this fact. We show that total factor productivity processes for the United States and the rest of the world are...
Persistent link: https://www.econbiz.de/10010292354
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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 … error terms. The findings using this new method are contrasted to those from the Pedroni (1995) cointegration tests and …
Persistent link: https://www.econbiz.de/10010321519
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Purchasing power parity for developing and developed countries: what can we learn from non-stationary panel data models?
Drine, Imed; Rault, Christophe - 2008
The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004 …
Persistent link: https://www.econbiz.de/10010264327
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What Determines Real Exchange Rates? The Nordic Countries
Bergvall, Anders - 2002
This paper presents a model yielding testable implications concerning the long-run co-movements of real exchange rates, relative productivity, the trade balance and terms of trade. Countries with higher productivity, trade deficits or improved terms of trade are found to have more appreciated...
Persistent link: https://www.econbiz.de/10010321757
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Terms of trade, catch-up, and home market effect: the example of Japan
Urban, Dieter M. - 2007
. These two effects are tested against each other in a cointegration analysis for Japan and the US from 1957 until 1997 …
Persistent link: https://www.econbiz.de/10010264264
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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
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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
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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