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Some Further Evidence on Exchange-Rate Volatility and Exports

Hondroyiannis, G.; Swamy, P.A.V.B; Tavlas, G. S.; Ulan, … - 2022

The relationship between exchange-rate volatility and aggregate export volumes for 12 industrial economies is examined … elasticities of demand for industrial-country exports might differ from those of industrial countries. Five estimation techniques … estimation period 1977:1-2003:4 using three measures of volatility. In contrast to recent studies employing panel data, we do not …

Persistent link: https://www.econbiz.de/10014080676

Floating versus fixed : how exchange rate regimes affect business cycles comovement between advanced and emerging economies

Elgahry, Baher Ahmed - In: Cogent economics & finance 10 (2022) 1, pp. 1-18

This article investigates the effects of the different exchange rate regimes on business cycles comovement between advanced and emerging countries. We use the Granger Causality test (VAR model) on panel data to examine the causal relationships. Our findings show the existence of a bidirectional...

Persistent link: https://www.econbiz.de/10013373499

Determinants of the trade balance in industrialized countries

Falk, Martin - 2008

This paper investigates the determinants of the trade balance using panel data for 32 industrialized and emerging economies for the period 1990?2007. The results based on fixed effects models and linear mixed models allowing for random slope coefficients, show that the trade balance as a...

Persistent link: https://www.econbiz.de/10011392201

The micro-foundations of Big Mac real exchange rates

Parsley, David C.; Wei, Shang-jin - 2003

innovation is to match these prices to the prices of individual ingredients (ground beef, bread, lettuce, labor cost, rent, etc …

Persistent link: https://www.econbiz.de/10011560508

Testing the purchasing power parity in pooled systems of error correction models

Herwartz, Helmut; Reimers, Hans-Eggert - 2000

In this paper we test the purchasing power parity for the post Bretton Woods period for 18 main industrial countries. As base currencies we use alternatively the Deutsche mark, the Japanese yen, and the US dollar. We employ error correction models for single countries and on the level of pooled...

Persistent link: https://www.econbiz.de/10009612044

A new solution to the purchasing power parity puzzles : risk-aversion, exchange rate uncertainty and the law of one price

Arghyrou, Michael Georgiou (contributor); … - 2009

We argue that even in perfectly frictionless markets risk aversion driven by exchange rate uncertainty may cause a wedge between the domestic and foreign price of a totally homogeneous good. We test our hypothesis using a natural experiment based on a unique micro-data set from a market with...

Persistent link: https://www.econbiz.de/10003799530

Explaining International Business Cycle Synchronization : Recursive Preferences and the Terms of Trade Channel

Kollmann, Robert - 2017

The business cycles of advanced economies are synchronized. Standard macro models fail to explain that fact. This paper presents a simple model of a two-country, two-traded-good, complete-financial-markets world in which country-specific productivity shocks generate business cycles that are...

Persistent link: https://www.econbiz.de/10012960598

A Reappraisal of the Evidence on PPP : A Systematic Investigation into Ma Roots in Panel Unit Root Tests and Their Implications

Fischer, Christoph A. - 2016

Persistent link: https://www.econbiz.de/10012991177

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and...

Persistent link: https://www.econbiz.de/10013044515

Purchasing Power Parity for Developing and Developed Countries : What can we Learn from Non-Stationary Panel Data Models?

Drine, Imed; Rault, Christophe - 2021

The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong...

Persistent link: https://www.econbiz.de/10013316947

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