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1.
In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion
speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these
rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the
disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.
相似文献
Ronald MacDonaldEmail: |
2.
Foreign Transfers and Real Exchange Rate Adjustments in a Financially Constrained Dependent Economy 总被引:2,自引:2,他引:0
This paper investigates the role of the real exchange rate in determining the effects of foreign transfers. If capital is
perfectly mobile between sectors, a pure transfer has no long-run impact on the real exchange rate. A decline in the traded
sector occurs because the transfer, being denominated in traded output, substitutes for exports in financing imports. While
a pure transfer causes short-run real exchange appreciation, this response is temporary and negligibly small. Transfers allocated
to productivity enhancement do generate permanent real exchange rate adjustments in response to the sectoral reallocation
of productive factors. The analysis, which employs extensive numerical simulations, emphasizes the tradeoffs between real
exchange adjustments, long-run capital accumulation, and economic welfare, associated with alternative forms of transfers.
相似文献
Stephen J. TurnovskyEmail: |
3.
Michael Bleaney 《Open Economies Review》2008,19(2):135-146
The puzzle that real exchange rates are less volatile in open economies is an important challenge to exchange rate theory.
Adjustment of domestic prices to nominal exchange rate movements can account for only a small proportion of this effect. Real
and nominal shocks display no obvious correlation with openness. It is shown here that real effective exchange rates are more
strongly mean-reverting in more open economies, even after controlling for exchange rate regime effects. This is predicted
by the theory of current account sustainability, because of its emphasis on ratios to GDP rather than to trade flows.
相似文献
Michael BleaneyEmail: |
4.
This paper provides some of the first empirical evidence on labour market adjustments to exchange rate movements in Canadian
manufacturing industries. Controlling for endogeneity using generalized method of moments estimation, it is found that during
the 1981–1997 period, exchange movements have a substantial impact on labour input and that this impact has grown over time
as the manufacturing industries have become more exposed to trade. In contrast, the exchange rate effect on real wages is
estimated to be virtually zero for all manufacturing industries.
相似文献
Terence YuenEmail: |
5.
An updated version of Krugman’s 1993 MMF framework is used to consider the implications of buoyant domestic demand for the
real exchange rate and debt dynamics. The updating includes a Taylor rule for monetary policy and explicit treatment of external
assets and liabilities. In response to an exogenous rise in the aggregate demand, short-run appreciation of the real exchange
rate is followed by a prolonged decline as external debt accumulates and net wealth deteriorates. Whether in equilibrium the
real exchange rate is stronger or weaker depends crucially on a comparison of real interest rates and the growth rate. If
the domestic growth rate is higher than global real interest rates, the currency may strengthen in the long run despite the
deterioration of net external assets. To see whether the strength of sterling is sustainable, the analysis is briefly calibrated
to UK data over the last decade. Blanchard et al. (The US current account and the dollar. CEPR DP no 4888, 2005) suggest that international liabilities to be treated as imperfect substitutes: so we check to see how this would affect
our results.
相似文献
Eleni IliopulosEmail: |
6.
The paper investigates the link between monetary policy and structural reforms in open economies. We test three hypotheses:
(a) the Calmfors hypothesis that the degree of reforms is higher in the case of autonomous policy and lower in the case of
commitment, (b) the TINA hypothesis which implies a positive impact of a monetary policy rule on the extent of reforms, and
(c) a third factors hypothesis. In our empirical analysis on panel data of 23 OECD countries from 1980–2000 we find little
evidence for the Calmfors hypothesis, but evidence in favor of the TINA argument for labor market and regulatory reform.
相似文献
Ansgar BelkeEmail: |
7.
Pitfalls in Measuring Exchange Rate Misalignment 总被引:1,自引:1,他引:0
We evaluate whether the Renminbi (RMB) is misaligned, relying upon conventional statistical methods of inference. A framework
built around the relationship between relative price and relative output levels is used. We find that, once sampling uncertainty
and serial correlation are accounted for, there is little statistical evidence that the RMB is undervalued, even though the
usual regression point estimates indicate substantial misalignment. The result is robust to various choices of country samples
and sample periods, as well as to the inclusion of control variables. We then update the results using the latest vintage
of the data to demonstrate how fragile the results are. We find that whatever misalignment we detected in our previous work
disappears in this data set.
相似文献
Eiji FujiiEmail: |
8.
Theoretical durable-goods models suggest that a monopolist will prefer to lease rather than sell units of output due to the
seller’s commitment problem with potential buyers. However, many monopolistic durable-goods manufactures are commonly observed
simultaneously leasing and selling output. We provide a theoretical rationale for this observed behavior in firms engaged
in trade with a foreign country. In a simple two-period setting we show that a foreign durable-goods monopolist will concurrently
lease and sell output if the expected future exchange rate is lower than the current rate. With this concurrent strategy the
firm earns higher profit than a pure rental or sales regime. Additionally, our model provides additional theoretical underpinnings
for the empirical finding that increases in expected future exchange rates increase the current sales price of durable products.
Finally, our analysis examines the role of product durability in determining exchange rate pass-though to domestic prices.
相似文献
Michael K. Pippenger (Corresponding author)Email: |
9.
Two impediments to effective monetary policy operation include illiquidity in bond markets and the zero bound of interest
rates. Under these conditions alternative means of enacting monetary policy may be required. This paper empirically explores
policy options implemented through equity and currency markets that will generate similar inflation responses at different
time horizons. In terms of GDP loss the least costly means of achieving a particular long run inflation outcome is via the
current monetary policy arrangements. Currency market alternatives are volatile but less expensive than the equity market
in terms of output loss for short term inflation horizons.
相似文献
Renée FryEmail: |
10.
Shocks to Terms of Trade and Risk-premium in an Intertemporal Model: The Dutch Disease and a Dutch Party 总被引:1,自引:1,他引:0
In this paper, we analyze the impact of terms of trade and risk-premium shocks on a small open economy in an intertemporal
Dutch disease model, with international capital mobility. Given that an improvement in the terms of trade is associated with
a decrease in the risk-premium on lending to this economy, we find that this can lead to a Dutch party (rather than Dutch
disease) in which real exchange rate appreciation is associated with an expansion of the capital-intensive traded sector,
hence, pro-industrialization. The economy also accumulates more debt in the long-run in response to the lower borrowing costs.
相似文献
David Vines (Corresponding author)Email: |
11.
Caroline Schmidt 《Open Economies Review》2007,18(3):347-367
In this paper, it is argued that the observed high positive correlation between national savings and investment which is found
in the data can in part be explained by shocks to monetary policy. This hypothesis, which is established by reviewing some
empirical findings, is tested in a two-country DSGE-model framework in the tradition of the New Open Economy Macroeconomics.
The simulation results obtained support the idea that shocks to monetary policy might contribute to the explanation of the
Feldstein-Horioka puzzle.
相似文献
Caroline SchmidtEmail: |
12.
The recent rash of international currency crises has generated considerable interest in the role that exchange rate regimes
have played in contributing to these crises. Many economists have argued that efforts to operate adjustably pegged exchange
rate regimes have been a major contributor to “the unstable middle” hypothesis and some have argued that this unstable middle
is so broad that only the two corners of hard fixes or floating rates will be stable in a world of high capital mobility—the
two corners or bipolar hypothesis. Two recent empirical studies by researchers at the International Monetary Fund reach opposing
conclusions on these issues. We examine the issue further and show that conclusions can be quite sensitive to how exchange
rate regimes are grouped into categories and the measures of currency crises that are used. In general we find that the dead
center of the adjustable peg is by far the most crisis prone broad type of exchange rate regimes, but that countries need
not go all the way to freely floating rates or hard fixes to substantially reduce the risks of currency crises.
相似文献
Thomas D. WillettEmail: |
13.
Kenneth Rogoff 《Review of World Economics》2009,145(1):1-12
Forecasting nominal exchange rates remains a remarkably difficult task, despite the proliferation of new floating currencies,
the maturation of the floating rate period, the deepening of financial markets, and the development of more sophisticated
econometric tests that make use of today’s more powerful computing possibilities. Despite these advances, the basic results
of Meese and Rogoff in the 1980s stand up remarkably well—it is still extremely difficult to forecast exchange rates. To the
extent that there is any forecasting power, the most promising models are those based on purchasing power parity or the current
account, although it must be noted that these mainly predict the real exchange rate, rather than the nominal exchange rate.
Thus, some of the adjustment takes place in prices. Finally, it should be noted that panel methods help in exchange rate forecasting,
albeit mainly by allowing better estimation of nonstructural factors such as shift parameters.
相似文献
Kenneth RogoffEmail: |
14.
Divergent business cycles as an effect of a monetary union 总被引:1,自引:1,他引:0
Adam Koronowski 《International Economics and Economic Policy》2009,6(2):103-113
15.
Policy coordination in East Asia and across the Pacific 总被引:1,自引:1,他引:0
In this paper, we construct a macro-econometric model that describes the economic activity in the Asia-Pacific area and provide
quantitative insights into the recent policy debates on monetary and currency coordination among the East Asian economies.
The model includes a wide variety of monetary and currency policy rules that the East Asian economies adopt and allows for
one country's policymaking to have substantial effects on foreign countries. We apply the model to three current policy issues:
(1) the desirability of currency basket pegs in East Asia, (2) the anticipated effects of China's currency policy reform,
and (3) the non-negativity constraint on Japanese nominal interest rates. The simulation analyses show the external economy
effects of policy rules quantitatively and suggest the difficulty of monetary and currency policy coordination among the East
Asian economies.
相似文献
Koichiro Kamada (Corresponding author)Email: |
Izumi TakagawaEmail: |
16.
Disability Insurance Denial Rates and the Labor Force Participation of Older Men and Women in Canada
We examine the effect of denial rates from the Canada/Quebec Pension Plan (C/QPP) disability program on the labor force participation
of older men and women in Canada. Our study uses data from a period in which there was a change in CPP disability adjudication
requirements, which also varied by province, but no change in the QPP disability program requirements. This created variation
in the CPP disability program’s denial rates. The estimates from our preferred specifications indicate that denial rates do
not have the expected statistically significant negative effect on the participation decisions of older men or women. These
findings may be the result of a change in the applicant pool for disability benefits.
相似文献
Michele CampolietiEmail: |
17.
Exchange Rate Economics 总被引:1,自引:0,他引:1
John Williamson 《Open Economies Review》2009,20(1):123-146
The paper summarizes the current theory of how a floating exchange rate is determined, dividing the subject into what determines
the steady state and what determines the transition to steady state. The inadequacies of this model are examined, and an alternative
“behavioral” model, which recognizes that the foreign exchange market is populated by both fundamentalists and chartists is
presented. It is argued that the main importance of understanding the foreign exchange market for development strategy is
to permit a correct appraisal of the dangers of Dutch disease. Empirically it seems that from the standpoint of promoting
development it is preferable to have a mildly undervalued rate. The paper concludes by examining implications for exchange
rate regimes.
相似文献
John WilliamsonEmail: |
18.
Fidel Ezeala-Harrison Glenda B. Glover Jane Shaw-Jackson 《The Review of Black Political Economy》2008,35(1):43-54
We apply a cross-regional probit analysis to examine the existence or otherwise of the discriminatory practice of “redlining”
in housing loan lending practices of banks in Mississippi. Data on loan denial rates across three Mississippi regions of Tri-County
Metro-Jackson, Southern Mississippi Corridor, and the Northern district are studied to determine the pattern of bank lending
activities regarding owner-occupied housing loan extensions to minority members of Mississippi's population. The purpose is
to determine the degree to which the banks have or have not observed fair and equitable lending practices toward minority
borrowers, relative to the members of the majority population. The results suggest that there is a consistently high denial
rates against minorities. The results indicate strong evidence of redlining practices in housing loan decisions, which contribute
to the growth of racial segregation in the state.
相似文献
Fidel Ezeala-HarrisonEmail: |
19.
Kanybek Nur-tegin 《Atlantic Economic Journal》2007,35(3):327-342
This paper evaluates the potential of transition economies for achieving sustainable improvements in living standards vis-à-vis
developing countries based on their productivity performance. The comparison is made using a bootstrapped Malmquist productivity
index and its technological and efficiency change components. The results of estimation indicate that transition economies
enjoy significantly higher increases in technical efficiency than developing countries with comparable rates of real GDP growth.
Therefore, these results suggest that the former group of countries may have better growth prospects than the latter group,
giving empirical support to Stern and Fries’ (Foreign Policy 111:164–165, 1998) optimism that transition economies are the “tiger” economies of tomorrow.
相似文献
Kanybek Nur-teginEmail: |
20.
Balazs Egert 《Open Economies Review》2008,19(2):147-165
In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh
economy. Assessing the mechanism by which fluctuations in the price of oil can damage non-oil manufacturing—and thus long-term
growth prospects in an economy that relies heavily on oil production—we find that non-oil manufacturing has so far been spared
the perverse effects of oil price increases from 1996 to 2005. The real exchange rate in the open sector has appreciated over
the last couple of years, largely due to the appreciation of the nominal exchange rate. We analyze to what extent this appreciation
is linked to movements in oil prices and oil revenues. Econometric evidence from the monetary model of the exchange rate and
a variety of real exchange rate models show that the rise in the price of oil and in oil revenues might be linked to an appreciation
of the U.S. dollar exchange rate of the oil and non-oil sectors. But appreciation is mainly limited to the real effective
exchange rate for oil sector and is statistically insignificant for non-oil manufacturing.
相似文献
Balazs EgertEmail: Email: |