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Real Exchange Rate Movements and the Relative Price of Non-Traded Goods

Betts, Caroline - 2017

We show that the quarterly bilateral real exchange rate for 1275 country pairs over 1980–2015 is positively correlated with the relative price of non-traded to traded goods, but that movements in the relative price measure are smaller than those in the real exchange rate. Variance...

Persistent link: https://www.econbiz.de/10012945763

Testing the validity of purchasing power parity in alternative markets : evidence from the fourier quantile unit root test

Dŏganlar, Murat; Mike, Faruk; Kızılkaya, Oktay - In: Borsa Istanbul Review 21 (2021) 4, pp. 375-383

This study analyzes the long-run validity of purchasing power parity (PPP) in three types of market economies-developed, emerging, and frontier markets-using the Fourier quantile unit root test. The analyses are conducted on 45 countries, including 10 developed, 20 developing, and 15 frontier...

Persistent link: https://www.econbiz.de/10012816988

Exchange Rate Policy and the Role of Non-Traded Goods Prices in Real Exchange Rate Fluctuations

Azcona, Nestor - 2017

This paper uses a DSGE model of two small open economies to explain certain features of real exchange rate cyclical fluctuations in countries with fixed and flexible exchange rates, focusing on the role of traded and non-traded goods prices. In particular, the model illustrates why the relative...

Persistent link: https://www.econbiz.de/10012967819

Quantitative Assessment of the Role of Incomplete Asset Markets on the Dynamics of the Real Exchange Rate

Martínez-García, Enrique - 2017

I develop a two-country New Keynesian model with capital accumulation and incomplete international asset markets that provides novel insights on the effect that imperfect international risk-sharing has on international business cycles and RER dynamics. I find that business cycles appear similar...

Persistent link: https://www.econbiz.de/10012970176

Addressing Econometric Issues on How to Construct Theoretical Based Exchange Rate Misalignment Estimates : Searching for a Comprehensive Approach

Marçal, Emerson Fernandes - 2017

following points are addressed in the paper: i) explore and test over identifying restrictions implied by economic theory to …

Persistent link: https://www.econbiz.de/10012972106

A Quantitative Assessment of the Role of Incomplete Asset Markets on the Dynamics of the Real Exchange Rate

Martínez-García, Enrique - 2016

Persistent link: https://www.econbiz.de/10013002096

Supply Shocks and Real Exchange Rate Volatility in a Small Open Economy

Azcona, Nestor - 2016

This paper examines the effect of overall and sector-specific productivity shocks on the real exchange rate in small open economies. A dynamic stochastic small open economy model shows that productivity shocks impact the real exchange rate mostly through changes in the relative price of...

Persistent link: https://www.econbiz.de/10013005242

Non-Traded Goods and Real Exchange Rate Volatility in a Two-Country DSGE Model

Azcona, Nestor - 2016

This paper uses a two-country dynamic stochastic general equilibrium model (DSGE) to study how different characteristics of an economy, such as openness or price stickiness, affect the contribution of the relative price of non-traded goods to real exchange rate fluctuations. The model shows that...

Persistent link: https://www.econbiz.de/10013006501

Real Exchange Rate Dynamics in Sticky-Price Models with Capital

Carvalho, Carlos - 2016

The standard argument for abstracting from capital accumulation in sticky-price macro models is based on their short-run focus: over this horizon, capital does not move much. This argument is more problematic in the context of real exchange rate (RER) dynamics, which are very persistent. In this...

Persistent link: https://www.econbiz.de/10013008048

Different Measures in Testing Absolute Purchasing Power Parity

Zhang, Zhibai - 2015

In popular studies, the theory of purchasing power parity (PPP) is tested for the real exchange rate (RER) that is … constructed by price indexes and all variables are logarithmic. In this paper, we test the absolute PPP theory for the RER that is … stationary and a cointegration relationship exists between nominal exchange rate and PPP rate, which supports the PPP theory. But …

Persistent link: https://www.econbiz.de/10013014222