In this paper, we investigate the sources of heterogeneity within the euro area. For this purpose, we build an optimization-based multi-country model (MCM) that allows different sources of heterogeneity across countries, both in terms of behavior of economic agents and in terms of asymmetry of...

This paper deals with the impact of the $/€ exchange rate on German exports in the period from 1995Q1 to 2008Q4. Our main aim is to identify 'pain thresholds' for German exporters. We rely on a non-linear model according to which suddenly strong spurts of exports occur when changes of the EXR...

An estimated Markov-switching DSGE modelling framework that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent credibility of Hong Kong’s linked exchange rate system. The model distinguishes two regimes with respect to the time-series properties...

An important issue for exchange rate pass-through (ERPT) is the extent to which exchange rate changes affect the prices of imported goods and the consumer prices. The objectives of this study are to make a comparative study by exploring the literature relating pass-through for import prices and...

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...

This paper estimates the aggregate demand for gasoline in Senegal from 1970 to 2008. The long-term and short-term elasticities of demand with respect to gasoline prices and income are of paramount interest in this study. In Senegal, rising food prices, unemployment and shortage of electric...

In this paper we use quarterly data from Chile, Mexico and Peru to study the link between terms of trade and Total Factor Productivity (TFP). We estimate TFP using a stylized general equilibrium model for a small open economy model with quarterly data. Then, the TFP is decomposed into a domestic...

This paper investigates the equilibrium real effective exchange rate for the Chinese RMB during the post-reform period, 1982–2010. We extend the NATREX model in several important perspectives and apply it for the first time to China. A wide range of economic fundamentals that are unique to the...

This paper focuses on the impact of China’s export expansion on Malaysian monthly trading with to her 12 major trading partners over the liberalization era. Structural break(s) found mostly coincides with the Asia financial crisis and China’s accession into WTO and, regime shifts are evident...

One of the main implications of the basic target zone model developed by Krugman (1991) is that there is a trade-off between exchange rate volatility and interest rate differential volatility. Using an M-GARCH model we find evidence that such a trade-off existed, prior to the introduction of the...