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Eichengreen, Barry; Rose, Andrew K; Wyplosz, Charles - C.E.P.R. Discussion Papers - 1996

theoretical literature, and analyses the contagious nature of currency crises empirically. Using 30 years of panel data from 20 … by international trade linkages than to countries in similar macroeconomic circumstances. …

Persistent link: https://www.econbiz.de/10005791892

Crash Risk in Currency Markets

Farhi, Emmanuel; Fraiberger, Samuel P.; Gabaix, Xavier; … - C.E.P.R. Discussion Papers - 2009

How much of carry trade excess returns can be explained by the presence of disaster risk? To answer this question, we … hedged and unhedged carry trade excess returns by sorting currencies based on their forward discounts. We find that disaster … risk premia account for about 25% of expected carry trade excess returns in advanced countries. …

Persistent link: https://www.econbiz.de/10005016245

Expectations and Exchange Rate Policy

Devereux, Michael B; Engel, Charles M - C.E.P.R. Discussion Papers - 2006

Both empirical evidence and theoretical discussion have long emphasized the impact of `news' on exchange rates. In most exchange rate models, the exchange rate acts as an asset price, and as such responds to news about future returns on assets. But the exchange rate also plays a role in...

Persistent link: https://www.econbiz.de/10005666551

The Behaviour of Relative Prices in the European Union: A Sectoral Analysis

Chen, Natalie - C.E.P.R. Discussion Papers - 2002

Using multivariate unit root test methods, this Paper investigates the Purchasing Power Parity (PPP) hypothesis at the sectoral level across six European countries over the last seventeen years. Evidence of mean reversion toward PPP is found for the relative prices of some sectors and countries....

Persistent link: https://www.econbiz.de/10005504281

'Aggregation Bias' DOES Explain the PPP Puzzle

Imbs, Jean; Mumtaz, Haroon; Ravn, Morten O; Rey, Hélène - C.E.P.R. Discussion Papers - 2005

This article summarizes our views on the role of an 'aggregation bias' in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and...

Persistent link: https://www.econbiz.de/10005497899

Exchange Rate Pass-Through to Consumer Prices in South Africa: Evidence from Micro-Data

Aron, Janine; Creamer, Kenneth; Muellbauer, John; … - C.E.P.R. Discussion Papers - 2013

A sizeable literature examines exchange rate pass-through to disaggregated import prices but very few micro-studies focus on consumer prices. This paper explores exchange rate pass-through to consumer prices in South Africa during 2002-2007, using a unique data set of highly disaggregated data...

Persistent link: https://www.econbiz.de/10011084277

Deviations of Exchange Rates from Purchasing Power Parity: A Story Featuring Two Monetary Unions

Bayoumi, Tamim; MacDonald, Ronald - C.E.P.R. Discussion Papers - 1998

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group are...

Persistent link: https://www.econbiz.de/10005666879

Tariffs, Trains, and Trade: The Role of Institutions versus Technology in the Expansion of Markets

Keller, Wolfgang; Shiue, Carol Hua - C.E.P.R. Discussion Papers - 2008

customs liberalizations and, more so, currency agreements improved trade possibilities. However, the impact of trains was …

Persistent link: https://www.econbiz.de/10005114182

Wage and Mobility Effects of Trade and Migration

Zimmermann, Klaus F - C.E.P.R. Discussion Papers - 1996

The paper investigates the relative importance of trade and immigration for earnings and job mobility of male German … workers. Using panel data, changes of workplace within a firm and between firms are separated from occupational changes … experience. The general finding is that trade matters more than migration, which is contrary to the public attention both …

Persistent link: https://www.econbiz.de/10005114454

Exchange Rate Regimes and Trade Prices: Does the EMS Matter?

Sapir, André; Sekkat, Khalid - C.E.P.R. Discussion Papers - 1993

This paper investigates the role of the exchange rate regime in the process of trade adjustment, by examining the … relationship between trade prices and exchange rate regimes. The theoretical framework is a dynamic one à la Froot-Klemperer (1989 … regime on trade prices. The results suggest that a system of pegged rates like the EMS, although helpful, is not necessary to …

Persistent link: https://www.econbiz.de/10005497720