purchasing-power-parity-and-real-exchange-rates

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Purchasing Power Parity The Real Exchange Rate And The Theory Of Flexible Exchange Rates

Author : Bruce A. Smith
ISBN : OCLC:36607414
Genre :
File Size : 66. 55 MB
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Purchasing Power Parity And Real Exchange Rates

Author : Mark P. Taylor
ISBN : OCLC:878587674
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Generalized Purchasing Power Parity Real Exchange Rates And Structural Changes In The Indonesian Economy

Author : Sahala Lumban Gaol
ISBN : UCSD:31822018899237
Genre : Foreign exchange rates
File Size : 22. 56 MB
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Special Issue Purchasing Power Parity And Real Exchange Rates

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ISBN : OCLC:255444266
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File Size : 38. 46 MB
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The Principle Practise And Problems Of Purchasing Power Parity Theory

Author : Alina Ignatiuk
ISBN : 9783640305889
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Seminar paper from the year 2008 in the subject Business economics - Miscellaneous, grade: A, University of Applied Sciences in Schmalkalden (Schmalkalden University), language: English, abstract: "Under the skin of any international economist lies a deep-seated belief in some variant of the PPP theory of the exchange rate." The purpose of this paper is to consider one of the most controversial theory in international economics - Purchasing Power Parity theory - its main idea, empirical evidence, limitations and practical application. The main idea of PPP is price levels changes determine the exchange rate change between two countries. There are two versions of PPP theory absolute and relative. Stricter absolute version of PPP did not find confirmation in reality and relative version of PPP theory was proposed. Despite theoretical and practical inconformity, PPP is present in many models of international economics as an explanation of exchange rate changes. The main apologist of PPP theory and its father was Gustav Cassel. He indicated that the exchange rate determined by price levels is not necessarily the actual exchange rate but the equilibrium one. Also Cassel mentioned that there is a tendency for the actual exchange rate to return to its equilibrium exchange rate. The original idea of PPP theory is described below: "Our willingness to pay a certain price for foreign money must ultimately and essentially be due to the fact that this money possesses a purchasing power as against commodities and services in that foreign country." In this paper we considered the principle and two versions of PPP theory, discussed its empirical evidence and econometrical tests, and also tried to find possible reasons why PPP theory fails in reality and answered the question is this theory still useful for explaining exchange rates movements.

Japanese Effective Exchange Rates And Determinants

Author : Mr.Jun Nagayasu
ISBN : 9781451850857
Genre : Business & Economics
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This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.

Purchasing Power Parity And The Real Exchange Rate

Author : Lucio Sarno
ISBN : UVA:X006132693
Genre : Foreign exchange rates
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The Adjustment Of Prices And The Adjustment Of The Exchange Rate

Author : Charles Engel
ISBN : UCSD:31822031320401
Genre : Convergence (Economics).
File Size : 27. 1 MB
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The purchasing power parity puzzle relates to the adjustment of real exchange rates. Real exchange rates are extremely volatile, suggesting that temporary shocks emanate from the monetary sector. But the half-life of real exchange rate deviations is extremely large -- 2.5 to 5 years. This half-life seems too large to be explained by the slow adjustment of nominal prices. We offer a different interpretation. We maintain that nominal exchange rates and prices need not converge at the same rate, as is implicit in rational-expectations sticky-price models of the exchange rate. Evidence from an unobserved components model for nominal prices and nominal exchange rates that imposes relative purchasing power parity in the long run indicates that nominal exchange rates converge much more slowly than nominal prices. The real puzzle is why nominal exchange rates converge so slowly.

Non Linear Mean Reversion In Real Exchange Rates

Author : Mark P. Taylor
ISBN : UVA:X006120428
Genre : Economics
File Size : 76. 32 MB
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Japanese Effective Exchange Rates And Determinants

Author : Mr. Jun Nagayasu
ISBN : 9781451896923
Genre : Business & Economics
File Size : 65. 12 MB
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This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.

Relative Labor Productivity And The Real Exchange Rate In The Long Run

Author : Matthew B. Canzoneri
ISBN : UCSD:31822023658875
Genre : Foreign exchange
File Size : 37. 6 MB
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The Balassa-Samuelson model, which explains real exchange rate movements in terms of sectoral productivities, rests on two components. First, for a class of technologies including Cobb-Douglas, the model implies that the relative price of nontraded goods in each country should reflect the relative productivity of labor in the traded and nontraded goods sectors. Second, the model assumes that purchasing power parity holds for traded goods in the long-run. We test each of these implications using data from a panel of OECD countries. Our results suggest that the first of these two fits the data quite well. In the long run, relative prices generally reflect relative labor productivities. The evidence on purchasing power parity in traded goods is considerably less favorable. When we look at US dollar exchange rates, PPP does not appear to hold for traded goods, even in the long run. On the other hand, when we look at DM exchange rates purchasing power parity appears to be a somewhat better characterization of traded goods prices.

A Panel Project On Purchasing Power Parity

Author : Jeffrey A. Frankel
ISBN : UCSD:31822021119433
Genre : Economics
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Abstract: Previous time-series studies have shown evidence of mean- reversion in real exchange rates. Deviations from purchasing power parity (PPP) appear to have half-lives of approximately four years. However, the long samples required for statistical significance are unavailable for most currencies, and may be inappropriate because of regime changes. In this study, we re-examine deviations from PPP using a panel of 150 countries and 45 annual observations. Our panel shows strong evidence of mean-reversion that is similar to that from long time-series. PPP deviations are eroded at a rate of approximately 15% annually, i.e., their half-life is around four years. Such findings can be masked in time-series data, but are relatively easy to find in cross-sections.

Real Exchange Rates As Indicators Of Purchasing Power Parity

Author : Morten Jonassen
ISBN : OCLC:57781700
Genre :
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On The Deviations From Purchasing Power Parity

Author : Wee Beng Gan
ISBN : UCSD:31822007626856
Genre : Foreign exchange
File Size : 20. 53 MB
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The Economics Of Exchange Rates

Author : Lucio Sarno
ISBN : 9781139435048
Genre : Business & Economics
File Size : 75. 2 MB
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In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination. Important developments in econometrics and the increasingly large availability of high-quality data have also been responsible for stimulating the large amount of empirical work on exchange rates in this period. Nonetheless, while our understanding of exchange rates has significantly improved, a number of challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises. This volume provides a selective coverage of the literature on exchange rates, focusing on developments from within the last fifteen years. Clear explanations of theories are offered, alongside an appraisal of the literature and suggestions for further research and analysis.

Purchasing Power Parity The Real Exchange Rate And The Theory Of Flexible Exchange Rates

Author : Bruce Alan Smith
ISBN : OCLC:36607414
Genre :
File Size : 45. 27 MB
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Determinants Of Angola S Parallel Market Real Exchange Rate

Author : Mr.Enrique Gelbard
ISBN : 9781451851373
Genre : Business & Economics
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The paper estimates Angola’s equilibrium parallel market real exchange rate during the 1992–98 period. Using standard integration/co-integration techniques, the results fail to support the purchasing power parity hypothesis and indicate that two exogenous variables—the price of oil and the foreign interest rate—are able to explain most of the variation in the real exchange rate during the last seven years. These results contrast with the tenet that the parallel market exchange rate in Angola is solely influenced by monetary developments.

Essays In International Money And Finance

Author : James R Lothian
ISBN : 9789813148314
Genre : Business & Economics
File Size : 38. 56 MB
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The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.

Market Structure And The Persistence Of Sectoral Real Exchange Rates

Author : Yin-Wong Cheung
ISBN : UCSD:31822028166395
Genre : Foreign exchange rates
File Size : 48. 36 MB
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We examine the relationship between market structure and the persistence of U.S. dollar-based sectoral real exchange rates for fourteen OECD countries. Our empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Specifically, industries with a larger price-cost margin are found to exhibit slower parity reversion of their sectoral real exchange rates. Further, as the degree of intra-industry trade activity increases, sectoral real exchange rate persistence becomes more pronounced. These findings imply that an imperfectly competitive market structure contributes to the well-documented persistence in real exchange rates.

Deviations Of Exchange Rates From Purchasing Power Parity

Author : Mr.Tamim Bayoumi
ISBN : 9781451960846
Genre : Business & Economics
File Size : 31. 72 MB
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We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean-reverting, the intra-national rates are not. This is consistent with the view that while monetary shocks may be mean-reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates.

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