The Exchange Rate in the Presence of Transactions Costs : Implications for Tests of Purchasing Power Parity

With transactions costs for trading goods, the nominal exchange rate moves within a band around the nominal PPP value. We model the behavior of the band and of the exchange rate within the band. The model explains why there are below-unity slope coefficients in regression tests of PPP, and why these increase towards unity under hyperinflation or with low-frequency data. Our results are independent of the presence of non-traded goods in the economy

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Year of publication:	[2001]
Authors:	Sercu, Piet
Other Persons:	Van Hulle, Cynthia (contributor) ; Uppal, Raman (contributor)
Publisher:	[2001]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: JOURNAL OF FINANCE, Vol 50 No 4, September 1995 Volltext nicht verfügbar
Classification:	F30 - International Finance. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012788477