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Terms of Trade, Catch-Up, and Home Market Effect : The Example of Japan

Urban, Dieter M. - 2021

. These two effects are tested against each other in a cointegration analysis for Japan and the US from 1957 until 1997 …

Persistent link: https://www.econbiz.de/10013316647

Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?

Caporale, Guglielmo Maria; Hanck, Christoph - 2021

(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …

Persistent link: https://www.econbiz.de/10013317393

A Reappraisal of the Border Effect on Relative Price Volatility

Cheung, Yin-Wong - 2013

Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and … that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect …, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border …

Persistent link: https://www.econbiz.de/10012754392

A Panel Data Investigation of Real Exchange Rate Misalignment and Growth

MacDonald, Ronald - 2010

of real exchange rate misalignment using panel cointegration methods. The variables used in our real exchange rate models …

Persistent link: https://www.econbiz.de/10013142797

Dissecting the PPP Puzzle : The Unconventional Roles of Nominal Exchange Rate and Price Adjustments

Cheung, Yin-Wong; Lai, Kon S.; Bergman, Michael U. - 2021

The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. This study examines the mechanism by which PPP deviations are corrected. Nominal exchange rate adjustment, not price adjustment, is shown to be the key engine governing the...

Persistent link: https://www.econbiz.de/10013319983

Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment : Evidence from Dual Exchange Rates in Developing Countries

Cheung, Yin-Wong; Lai, Kon S. - 2021

This study investigates whether greater nominal exchange rate flexibility aids real exchange rate adjustment based on data from dual exchange rates in developing countries. Specifically, we analyze whether the more flexible parallel market rate produces faster real exchange rate adjustment than...

Persistent link: https://www.econbiz.de/10013318352

Exchange Rate Misalignment - The Case of the Chinese Renminbi

Cheung, Yin-Wong - 2013

Assessing exchange rate misalignment is not an easy task. With reference to the debate on the value of China's currency, the renminbi (RMB), this article highlights a few challenges in properly assessing the extent of currency misalignment. The results derived from the fundamental equilibrium...

Persistent link: https://www.econbiz.de/10013091077

Exchange Rate Misalignment Estimates - Sources of Differences

Cheung, Yin-Wong - 2013

We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision....

Persistent link: https://www.econbiz.de/10013092474

Fiscal Shocks and Real Exchange Rate Dynamics : Some Evidence for Latin America

Caporale, Guglielmo Maria; Ciferri, Davide; Girardi, … - 2021

This paper analyses the effects of fiscal shocks using a two-country macroeconomic model for output, labour input, government spending and relative prices which provides the orthogonality restrictions for obtaining the structural shocks. Dynamic simulation techniques are then applied, in...

Persistent link: https://www.econbiz.de/10013316574

International Financial Integration and Real Exchange Rate Long-Run Dynamics in Emerging Countries : Some Panel Evidence

Caporale, Guglielmo Maria - 2009

The aim of this paper is to provide new empirical evidence on the impact of international financial integration on the long-run Real Exchange Rate (RER) in 39 developing countries belonging to three different geographical regions (Latin America, Asia and MENA). It covers the period 1979-2004,...

Persistent link: https://www.econbiz.de/10013155428