This paper presents a model of exchange rate determination in which the forward premium anomaly emerges as the result of unanticipated central bank interventions in the foreign exchange market. Deviations from uncovered interest parity (UIP) therefore represent neither unexploited profit...

We use local projections to estimate the cross-country distribution of real GDP per capita growth impulse responses to global and idiosyncratic temperature shocks. Negative growth responses to global temperature at longer horizons are found for all Group of Seven countries while positive...

Recent empirical work has shown the importance of nonlinear adjustment in the dynamics of real exchange rates and real interest differentials. This work suggests that the tenuous empirical linkage between the real exchange rate and the real interest differential might be strengthened by...

This study investigates to what extent can an exchange rate model built on uncovered interest parity (UIP) match the empirical features of the exchange rate and the interest differential data. This article presents a continuous-time model of UIP in which the interest differential evolves...

This paper revisits the empirical evidence of purchasing power parity under the current float by recursive mean adjustment (RMA) proposed by So and Shin (1999). We first report superior power of the RMA-based unit root test in finite samples relative to the conventional augmented Dickey–Fuller...

Taylor (2002) claims that Purchasing Power Parity (PPP) has held over the 20th century based on strong evidence of stationary for century-long real exchange rates for 20 countries. Lopez et al. (2005), however, found much weaker evidence of PPP with alternative lag selection methods. We...

This paper reexamines empirical performance of the monetary exchange rate model with nonlinear dynamics of exchange rate deviation from the monetary fundamentals. First, we apply unit root test of Park and Shintani (2005) to post-Bretton Woods exchange rate data and able to reject the null of...

This paper studies the long-run economic effects of severe weather on regional economies. A catastrophic event, such as a hurricane, will have an effect on both the directly impacted region and adjacent regions. With dramatically increasing damage from catastrophic weather events over the past...