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Mexico's Integration into NAFTA Markets : A View from Sectoral Real Exchange Rates and Transaction Costs

Juvenal, Luciana - 2008

A self-exciting threshold autoregressive model is used to measure transaction costs that may explain relative price … price threshold bands as transactions costs, we find evidence that Mexico still face higher transaction costs than their … developed counterparts, even though trade liberalization lowers relative price differentials between countries. The distance …

Persistent link: https://www.econbiz.de/10014409023

State-Dependent Exchange Rate Pass-Through

Carrière-Swallow, Yan - 2023

We estimate how the rate of pass-through from the exchange rate to domestic prices varies across states of the economy and depending on the shocks that drive fluctuations in the exchange rate. We confirm several results from the literature and uncover new facts. Drawing on the experience of a...

Persistent link: https://www.econbiz.de/10015059492

Exchange rate and foreign interest rate linkages for Sub-Saharan Africa floaters

Thomas, Alun - 2012

rate regimes. The determinants are based on the law of one price and interest parity conditions. Results indicate that the …

Persistent link: https://www.econbiz.de/10009621648

Real Exchange Rate Volatility and the Price of Nontradables in Sudden-Stop-Prone Economies.

Mendoza, Enrique G. - 2006

Intro -- Contents -- I. INTRODUCTION -- II. VARIANCE ANALYSIS OF THE PESO-DOLLAR REAL EXCHANGE RATE -- III. SUDDEN STOPS AND NONTRADABLES-DRIVEN REAL EXCHANGE RATE VOLATILITY -- IV. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691128

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859

Predictable Movements in Yen/DM Exchange Rates

Kongsamut, Qingying - International Monetary Fund (IMF) - 2000

This paper examines the relevance of PPP, the adjustment channel of real exchange rate and the predictability of the movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support PPP and find that the real exchange rate is...

Persistent link: https://www.econbiz.de/10005604894

Parity Reversion in Real Exchange Rates; Fast, Slow or Not At All?

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2004

Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...

Persistent link: https://www.econbiz.de/10005604970

PPP and the Balassa Samuelson Effect; The Role of the Distribution Sector

MacDonald, Ronald; Ricci, Luca Antonio - International Monetary Fund (IMF) - 2001

This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...

Persistent link: https://www.econbiz.de/10005605202

Purchasing Power Parity and New Trade Theory

Ricci, Luca Antonio; MacDonald, Ronald - International Monetary Fund (IMF) - 2002

substitutability of tradables fit the data better than the standard neoclassical assumption of price equalization. Our new measure of …

Persistent link: https://www.econbiz.de/10005605250