Although the literature on purchasing power parity (PPP) is rich in controversy, the relative contribution of prices and nominal exchange rates to real exchange rate movements which restore PPP disequilibria has rarely been put under any close scrutiny. Using monthly data from 1973:01 to 2009:12...

This paper investigates the PPP and UIP conditions by taking into account possible nonlinearities as well as the role of Taylor rule deviations under alternative monetary policy frameworks. The analysis is conducted using monthly data from January 1993 to December 2020 for five...

Recent studies on real exchange rates advocate the use of long samples in order to reveal the low frequency properties of the processes. The present paper contributes to this strand of the literature by exploiting recently released time series for the drachma/sterling rate for the period...

This paper documents the evidence in support of fiscal and monetary exchange rates for the Canadian dollar, Deutschemark, Yen, and Pound over the 1974-1993 period. Cointegrating relationships between the real exchange rate and (i) fiscal impulses and (ii) productivity and government spending are...

This paper investigates purchasing power parity (PPP) between the G7 member countries after the advent of the Euro currency. A dynamic joint model of PPP and uncovered interest parity (UIP) is introduced to decompose the real exchange rate (RER) into two components. Interest rate differential...

This paper attempts to identify the sources of U.K. exchange rate and relative consumer price fluctuations between 1973 and 1994. We follow Clarida and Gali (1994) in using the Blanchard and Quah (1989) structural VAR (SVAR) method to identify the effects of three structural shocks within a...

This paper analyses the role of the real exchange rate in a structural vector autoregression framework for the United Kingdom, euro area, Japan and Canada versus the United States. A new identification strategy is proposed building on sign restrictions. The results are compared to the benchmark...