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Purchasing power parity: three stakes through the heart of the unit root null

Higgins, Matthew; Zakrajsek, Egon - Federal Reserve Board (Board of Governors of the … - 2000

We provide a comprehensive analysis of the purchasing power parity hypothesis, relying on a linear panel data framework. First, we consider two panel unit root tests, based on transformations of country-specific statistics, which allow for parameter heterogeneity across countries. Using GLS...

Persistent link: https://www.econbiz.de/10005394052

Deviations from purchasing power parity: causes and welfare costs

Engel, Charles; Rogers, John H. - Federal Reserve Board (Board of Governors of the … - 2000

We explore deviations from short-run purchasing power parity across European cities, attempting to move beyond a "first-generation" of papers that document very large border effects. We document two very distinct types of border effects embedded in relative prices. The first is a "real barriers...

Persistent link: https://www.econbiz.de/10005712681

PPP rules, macroeconomic (In)stability and learning

Zanna, Luis-Felipe - Federal Reserve Board (Board of Governors of the … - 2004

Governments in emerging economies have pursued real exchange rate targeting through Purchasing Power Parity (PPP) rules that link the nominal depreciation rate to either the deviation of the real exchange rate from its long run level or to the difference between the domestic and the foreign...

Persistent link: https://www.econbiz.de/10005712711

Exchange rate dynamics and the welfare effects of monetary policy in a two-country model with home-product bias

Warnock, Francis E. - Federal Reserve Board (Board of Governors of the … - 2000

International spillovers and exchange rate dynamics are examined in a two-country dynamic optimizing model that allows for home-product bias in consumption patterns: at given relative prices the ratio of home goods consumed to foreign goods consumed is higher in the home country. The setup nests...

Persistent link: https://www.econbiz.de/10005368334

The equity premium and time-varying risk behavior

Nason, James M. - Federal Reserve Board (Board of Governors of the … - 1988

Persistent link: https://www.econbiz.de/10005512974

The pre-commitment approach: using incentives to set market risk capital requirements

Kupiec, Paul H.; O'Brien, James M. - Federal Reserve Board (Board of Governors of the … - 1997

analyze the consequences of the Federal Reserve Board's proposed pre-commitment approach (PCA) for setting market risk capital … requirements for bank trading portfolios. Under the PCA, a bank determines its own market risk capital requirement and is subject … to a known regulatory penalty should its trading activities generate subsequent losses that exceed its market risk …

Persistent link: https://www.econbiz.de/10005512975