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Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation
Fuji, Eiji; Bailliu, Jeannine - Society for Computational Economics - SCE - 2004
This paper investigates the question of whether a transition to a low-inflation environment, induced by a shift in … previous empirical work in that we pay particular attention to the identification of changes in the inflation environment, we … to 2001, we find evidence in support of the hypothesis that exchange rate pass-through declines with a shift to a low-inflation …
Persistent link: https://www.econbiz.de/10005345312
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Volatility and Pass-through
Berger, David; Vavra, Joseph S. - National Bureau of Economic Research (NBER) - 2013
What drives countercyclical volatility? A large literature has documented that many economic variables are more disperse in recessions, but this could either occur because shocks get bigger or because firms respond more to shocks which are the same size. Existing evidence that the dispersion of...
Persistent link: https://www.econbiz.de/10010950688
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Noisy Information, Distance and Law of One Price Dynamics Across US Cities
Crucini, Mario John; Shintani, Mototsugu; Tsuruga, Takayuki - National Bureau of Economic Research (NBER) - 2012
Using micro price data across US cities, we provide evidence that both the volatility and persistence of deviations from the law of one price (LOP) are positively correlated with the distance between cities. A standard, two-city, equilibrium model with time-varying technology under homogeneous...
Persistent link: https://www.econbiz.de/10009652890
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Testing for Structural Breaks in Covariance: Exchange Rate Pass-Through in Canada
Kichian, Maral; Khalaf, Lynda - Society for Computational Economics - SCE - 2005
context of a changing inflation mean to examine this issue. This paper allows for endogeneity in exchange rate movements and … changes, and a decline over time in pass-through. Nevertheless, we also find that the covariance between Canadian inflation …
Persistent link: https://www.econbiz.de/10005706281
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Economic Growth and Real Exchange Rate: An Overview of the Balassa-Samuelson Hypothesis in Asia
Ito, Takatoshi; Isard, Peter; Symansky, Steven - National Bureau of Economic Research (NBER) - 1997
The paper tests the Balassa-Samuelson hypothesis (rapid economic growth is accompanied by real exchange rate appreciation because of differential productivity growth between tradable and nontradable sectors) using data of the APEC economies. Japan, Korea, Taiwan and, to a lesser extent, Hong...
Persistent link: https://www.econbiz.de/10005714427
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Is Bad News About Inflation Good News for the Exchange Rate?
Clarida, Richard H.; Waldman, Daniel - National Bureau of Economic Research (NBER) - 2007
an inflation surprise and the nominal exchange rate can tell us something about how monetary policy is conducted …. Specifically, we show that 'bad news' about inflation -- that it is higher than expected -- can be 'good news' for the nominal … exchange rate -- that it appreciates on this news -- if the central bank has an inflation target that it implements with a …
Persistent link: https://www.econbiz.de/10005714830
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Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information
Crucini, Mario John; Shintani, Mototsugu; Tsuruga, Takayuki - National Bureau of Economic Research (NBER) - 2008
Volatile and persistent real exchange rates are observed not only in aggregate series but also in the individual good level data. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price stickiness, empirical frequencies of micro price adjustment cannot...
Persistent link: https://www.econbiz.de/10005778645
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Lost in Transit: Product Replacement Bias and Pricing to Market
Nakamura, Emi; Steinsson, Jon - National Bureau of Economic Research (NBER) - 2009
The microdata underlying U.S. import and export price indexes exhibit frequent product turnover and highly rigid prices. As a consequence, 40% of products are replaced before a single price change is observed and 70% are replaced after two price changes or less. An aggregate price index that...
Persistent link: https://www.econbiz.de/10005050107
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The Price Theory of Money, Prospero's Liquidity Trap, and Sudden Stop: Back to Basics and Back
Calvo, Guillermo - National Bureau of Economic Research (NBER) - 2012
Fiat money contains the seeds of its own destruction. It has no intrinsic value and, yet, it can be exchanged for valuable consumption and production goods. As Hahn (1965) shows, this situation puts fiat money's market value or liquidity premium at the brink of collapse. In this paper I will...
Persistent link: https://www.econbiz.de/10010796587
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What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
Hong, Harrison; Yogo, Motohiro - National Bureau of Economic Research (NBER) - 2011
Economists have traditionally viewed futures prices as fully informative about future economic activity and asset prices. We argue that open interest could be more informative than futures prices in the presence of hedging demand and limited risk absorption capacity in futures markets. We find...
Persistent link: https://www.econbiz.de/10008805020