Deviations of Exchange Rates from Purchasing Power Parity
Title | Deviations of Exchange Rates from Purchasing Power Parity PDF eBook |
Author | Mr.Tamim Bayoumi |
Publisher | International Monetary Fund |
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.
Deviations of Exchange Rates from Purchasing Power Parity
Title | Deviations of Exchange Rates from Purchasing Power Parity PDF eBook |
Author | Tamim Bayoumi |
Publisher | |
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.
The Deviations of Exchange Rates from Purchasing Power Parity
Title | The Deviations of Exchange Rates from Purchasing Power Parity PDF eBook |
Author | Chul-Hwan Kim |
Publisher | |
Pages | 122 |
Release | 1982 |
Genre | Purchasing power parity |
ISBN |
Purchasing Power Parity and Exchange Rates
Title | Purchasing Power Parity and Exchange Rates PDF eBook |
Author | Lawrence H. Officer |
Publisher | Greenwich, Conn. : JAI Press |
Pages | 394 |
Release | 1982 |
Genre | Business & Economics |
ISBN |
Evolution of PPP theory; Modern PPP theory and practice; Selected PPP studies.
Long-Run Exchange Rate Dynamics
Title | Long-Run Exchange Rate Dynamics PDF eBook |
Author | Mr.Karl Friedrich Habermeier |
Publisher | International Monetary Fund |
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.
Effects of Deviations of Foreign Exchange Rate from Purchasing Power Parity on Currency Substitution [microform]
Title | Effects of Deviations of Foreign Exchange Rate from Purchasing Power Parity on Currency Substitution [microform] PDF eBook |
Author | Byung Woo Jeong |
Publisher | Ann Arbor, Mich. : University Microfilms International |
Pages | 214 |
Release | 1992 |
Genre | Foreign exchange rates |
ISBN |
Time-Varying Thresholds
Title | Time-Varying Thresholds PDF eBook |
Author | Serineh Najarian |
Publisher | International Monetary Fund |
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.