Similar Search Results

Accounting for Persistence and Volatility of Good-Level Real Exchange Rates : The Role of Sticky Information

Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki - 2022

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/10013324029

Measurement of International Price Conditions

Mushin, Jerry D. - 2010

The expansion and diversification of international trade has meant, for many countries, that changes in the relationship between domestic and foreign prices have greatly increased importance. This article identifies the weaknesses of the terms of trade, the usual measure of price conditions in...

Persistent link: https://www.econbiz.de/10013149239

Industry Characteristics and the Law of One Price

Warren, Paul - 2009

LOP. In industries with higher degree of market competition and integration, the correlation between Canadian and U …

Persistent link: https://www.econbiz.de/10013155396

Real Exchange Rates and Switching Regimes

Bergman, Michael U.; Hansson, Jesper - 2001

We suggest that the real exchange rate between the major currencies in the post-Bretton Woods period can be described by a stationary, two state Markov switching AR(1) model. Based on the forecast performance, both in-sample and out-of-sample, we find that this model out-performs two competing...

Persistent link: https://www.econbiz.de/10014122593

Non-Linear Aspects of Goods-Market Arbitrage and Adjustment : Heckscher's Commodity Points Revisited

Obstfeld, Maurice; Taylor, Alan M. - 1998

We propose that analysis of purchasing power parity (PPP) and the law of one price (LOOP) should explicitly take into account the possibility of "commodity points"--thresholds delineating a region of no central tendency among relative prices, possibly due to lack of perfect arbitrage in the...

Persistent link: https://www.econbiz.de/10014062062

Consumer Search, Price Dispersion, and International Relative Price Volatility

Alessandria, George - 2019

price discriminate across markets based on the local wage of consumers. With price dispersion, the market price of a good …

Persistent link: https://www.econbiz.de/10014064106

U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations

Betts, Caroline M.; Kehoe, Timothy Jerome - 2005

This paper studies the relation between the United States' bilateral real exchange rate and the associated bilateral relative price of nontraded goods for five of its most important trade relationships. Traditional theory attributes fluctuations in real exchange rates to changes in the relative...

Persistent link: https://www.econbiz.de/10014066534

Violating Purchasing Power Parity

Alessandria, George; Kaboski, Joseph P. - 2019

discrimination based on the local wage of consumers in the destination market. We show that most violations from absolute PPP can … in income per capita. Developing and calibrating a model of pricing-to-market based on search frictions and international … productivity differences, we show that pricing-to-market accounts for 62 percent of the relationship between national price levels …

Persistent link: https://www.econbiz.de/10014069053

Accounting for Real Exchange Rate Changes in East Asia

Parsley, David C. - 2022

This study measures the proportion of real exchange rate movements that can be accounted for by movements in the relative price of non-traded goods using the framework employed by Engel (1999). Among the twenty-one bilateral Asian-Pacific real exchange rates considered here, that proportion is...

Persistent link: https://www.econbiz.de/10013291928

Smooth Transition Models and Arbitrage Consistency

Peel, David; Venetis, Ioannis A. - 2005

Slow adjustment of real exchange rate towards equilibrium in linear models has long puzzled researchers, stimulating the adoption of nonlinear models. The exponential smooth transition model has been particularly successful, providing faster adjustment speeds. This paper discusses some of its...

Persistent link: https://www.econbiz.de/10014063527