The Deviations Of Exchange Rates From Purchasing Power Parity
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| Author | : Mr.Tamim Bayoumi |
| Publisher | : International Monetary Fund |
| Total Pages | : 18 |
| Release | : 1998-05-01 |
| Genre | : Business & Economics |
| ISBN | : 1451960840 |
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.
| Author | : Tamim Bayoumi |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
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.
| Author | : Chul-Hwan Kim |
| Publisher | : |
| Total Pages | : 122 |
| Release | : 1982 |
| Genre | : Purchasing power parity |
| ISBN | : |
| Author | : Lawrence H. Officer |
| Publisher | : Greenwich, Conn. : JAI Press |
| Total Pages | : 394 |
| Release | : 1982 |
| Genre | : Business & Economics |
| ISBN | : |
Evolution of PPP theory; Modern PPP theory and practice; Selected PPP studies.
| Author | : Kim, Chul-Hwan |
| Publisher | : Ann Arbor, Mich. : University Microfilms International |
| Total Pages | : 122 |
| Release | : 1982 |
| Genre | : |
| ISBN | : |
| Author | : Serineh Najarian |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2003-09-01 |
| Genre | : Business & Economics |
| ISBN | : 145185921X |
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 root in the corridor regime. We calculate magnitudes, frequencies, and durations of the deviations of exchange rates from forecasted changes in exchange rates. A key result is asymmetric adjustment. In developing countries, the average cumulative deviation from forecasts during periods when exchange rates are below forecasts is twice the corresponding measure during periods when exchange rates are above forecasts.
| Author | : Girma Zelleke |
| Publisher | : |
| Total Pages | : 326 |
| Release | : 1984 |
| Genre | : Foreign exchange |
| ISBN | : |
| Author | : Mr.Karl Friedrich Habermeier |
| Publisher | : International Monetary Fund |
| Total Pages | : 26 |
| Release | : 1999-04-01 |
| Genre | : Business & Economics |
| ISBN | : 1451846959 |
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
| Author | : Mr.Paul Cashin |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 0 |
| Release | : 2001-12-01 |
| Genre | : Business & Economics |
| ISBN | : 9781451859966 |
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 follow Andrews (1993) and use median-unbiased estimators of the half-life of deviations from parity as a preferred measure of the persistence of real exchange rate shocks. We study this issue using real effective exchange rate (REER) data for 22 industrial countries in the post-Bretton Woods period. Three methods of bias correction are implemented, which yield cross-country averages of half-lives of deviations from parity ranging between 4 to 15 years, with the REER of several countries displaying permanent deviations from parity.
| Author | : Mark P. Taylor |
| Publisher | : Routledge |
| Total Pages | : 227 |
| Release | : 2013-09-13 |
| Genre | : Business & Economics |
| ISBN | : 1317988205 |
The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
