The rate of mean-reversion in a country's real exchange rate (RER) is a key indicator to consider when discussing exchange rate policies in any country. In practice, this rate - known as the half-life - is commonly calculated using price aggregates, such as the consumer price index (CPI). I...

The derivation of the Balassa-Samuelson effect allows for different empirical specifications that may have important economic implications. Problems related to spurious regression could arise from the mixed order of integration of the series used and from the lack of a long run stable...

This study examined the short-run and long-run effects of real exchange rate changes on the Nigeria's trade balance. The paper employed both linear and non-linear ARDL bounds testing approach to cointegration to test for the J-curve phenomenon in Nigeria using quarterly data spanning the period...

The purpose of this paper is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the...

This working paper was written by Yin-wong Cheung (University of California, Santa Cruz) and Kon S. Lai (California State University, Los Angeles).This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates...

The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a threshold vector equilibrium correction model, whose dynamics is consistent...

In this paper we evaluate a set of Colombian exchange rate forecasts during 1995-2005, using a Purchasing Power of Parity Exchange Rate Model (PPPER). Our first finding is that the computed forecasts seem to validate the use of this model under certain conditions given that, theoretically, it...

This paper empirically investigates the impact of exchange rate volatility on the real exports in India using the ARDL bounds testing procedure proposed by Pesaran et al. (2001). Using annual time series data, the empirical analyses has been carried out for the period 1970 to 2011. The study...

The main objective of this study is to use dis aggregate data between Thailand and its major trading partners to examine the validity of the purchasing power parity (PPP). Bilateral exchange rates between domestic currency (Thai baht) and each currency of major trading partners as well as the...