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PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate

Akram, Qaisar Farooq - Department of Economics, Oxford University - 2000

Despite the emerging consensus on the validity of purchasing power parity (PPP) between trading countries in the long … run, empirical evidence in favour of the PPP theory is scarce in data predominantly exposed to real shocks. This paper … tests for PPP between Norway and its trading partners using quarterly observations from the post Bretton Woods period, in …

Persistent link: https://www.econbiz.de/10010605226

PPP Despite Real Shocks: an Empirical Analysis of the Norwegian Real Exchange Rate.

Akram, Q.F. - Department of Economics, Oxford University - 2000

Persistent link: https://www.econbiz.de/10005090616

PPP in the Medium Run Despite Oil Shocks: The Case of Norway

Akram, Q. Farooq - 2002

Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by … large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during … appears remarkably consistent with the PPP theory. Moreover, convergence towards PPP is relatively fast; the half-life of a …

Persistent link: https://www.econbiz.de/10012143592

Explaining inflation with a classical dichotomy model and switching monetary regimes : Mexico 1932-2013

Garcés Díaz, Daniel G. - 2017

This paper applies a novel approach to study the impact of different shocks on the price level. It uses a classical dichotomy model with monetary policy regime shifts at known dates. First, there was a regime dominated by money, afterwards a regime driven by the exchange rate and a third one...

Persistent link: https://www.econbiz.de/10011759587

Nonlinear adjustment effects in the purchasing power parity

Phiri, Andrew - 2017

This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main … nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between …

Persistent link: https://www.econbiz.de/10011785059

Discovering the Signs of Dutch Disease in Russia

Mironov, V. - 2015

This paper examines the problem of Dutch disease in Russia during the oil boom of the 2000s, from both the theoretical and empirical points of view. Our analysis is based on the classical model of Dutch disease by Corden and Neary (1982). We examine the relationship between changes in the...

Persistent link: https://www.econbiz.de/10013029127

Symmetry and separability in two-country cointegrated VAR models : representation and testing

Krolzig, Hans-Martin; Heinlein, Reinhold - 2013

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

Persistent link: https://www.econbiz.de/10010228330

Exchange Rate Pass-Through Effects: A Disaggregate Analysis of Colombian Imports of Manufactured Goods

Rincón, Hernán; Caicedo, Edgar; Rodríguez, Norberto - Banco de la Republica de Colombia

Colombian monthly data covering the period from 1995:01 to 2002:11 and ECM, fixed and time-varying parameters and Kalman filter techniques are used in this paper to quantify the exchange rate pass-through effects on import prices within a sample of manufactured imports. Also, whether the foreign...

Persistent link: https://www.econbiz.de/10005113915

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Exchange Rate Dynamics in Indonesia : 1980-1998

Saxena, Sweta C. - 2004

This paper estimates the equilibirum level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using cointegration approach, unobserved component...

Persistent link: https://www.econbiz.de/10014073319

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