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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

Monetary Rules for Emerging Market Economies

Rebucci, Alessandro; Ghironi, Fabio - International Monetary Fund (IMF) - 2002

We compare the performance of a currency board, inflation targeting, and dollarization in a small, open developing economy with a liberalized capital account. We focus on the transmission of shocks to currency and country risk premia and on the role of fluctuations in premia in the propagation...

Persistent link: https://www.econbiz.de/10005826178

Reviving the Competitive Storage Model; A Holistic Approach to Food Commodity Prices

Funke, Norbert; Wu, Weifeng; Miao, Yanliang - International Monetary Fund (IMF) - 2011

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand...

Persistent link: https://www.econbiz.de/10008876584

Purchasing Power Parity: Granger Causality Tests for the Yen- Dollar Exchange Rate

Schnabl, Gunther; Baur, Dirk - EconWPA - 2005

The paper analyses the causality between the Japanese-US relative export prices and the yen-dollar exchange rate. It … explains why the Japanese yen proved strong even during the economic slump of the 1990s. The paper suggests that the … appreciation of the Japanese yen forced the Japanese enterprises into price reductions and productivity increases, which put a …

Persistent link: https://www.econbiz.de/10005119473

Purchasing power parity: Granger causality tests for the yen-dollar exchange rate

Schnabl, Gunther; Baur, Dirk - Wirtschaftswissenschaftlichen Fakultät, … - 2001

Persistent link: https://www.econbiz.de/10009151476

GPM6; The Global Projection Model with 6 Regions

Carabenciov, Ioan; Freedman, Charles; Garcia-Saltos, Roberto - International Monetary Fund (IMF) - 2013

This is the sixth of a series of papers that are being written as part of a project to estimate a small quarterly Global Projection Model (GPM). The GPM project is designed to improve the toolkit to which economists have access for studying both own-country and cross-country linkages. In this...

Persistent link: https://www.econbiz.de/10011242396

Predictable Movements in Yen/DM Exchange Rates

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

movement in nominal exchange rate by studying the behavior of yen/DM exchange rate, using cointegration method. Results support … auto-regressive property. These findings imply that movements in the nominal yen/DM exchange rate is actually predictable …

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

An Unbiased Appraisal of Purchasing Power Parity

McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001

Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...

Persistent link: https://www.econbiz.de/10005825679