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Sunday, May 10, 2020 | History

2 edition of On cross-country differences in the persistence of real exchange rates found in the catalog.

On cross-country differences in the persistence of real exchange rates

Yin-Wong Cheung

On cross-country differences in the persistence of real exchange rates

by Yin-Wong Cheung

  • 103 Want to read
  • 18 Currently reading

Published by City University of Hong Kong, Department of Economics and Finance in Kowloon, Hong Kong .
Written in English

    Subjects:
  • Econometrics.,
  • Purchasing power parity.,
  • Foreign exchange.

  • Edition Notes

    Includes bibliographical references (p20-22).

    StatementYin-Wong Cheung, Kon S. Lai.
    SeriesWorking paper series (City University of Hong Kong. Department of Economics and Finance) -- no.106
    ContributionsLai, Kon S., City University of Hong Kong. Department of Economics and Finance.
    The Physical Object
    Pagination44p. :
    Number of Pages44
    ID Numbers
    Open LibraryOL17493531M

      International Accounting Standard 21 (IAS 21) defines exchange difference as “the difference resulting from translating a given number of units of one currency into another currency at different exchange rates”.. An entity may carry out transactions in foreign currency. The foreign currency is defined as a currency other than the functional currency of the entity. The High Cross-Country Correlations of Prices and Interest Rates⁄ Espen Henrikseny, Finn E. Kydlandz, and Roman Sustek• x Janu Abstract We document that, at business cycle frequencies, °uctuations in nominal variables, such as aggregate price levels and nominal interest rates, are substantially more synchronizedCited by:

    Grilli, V. and G. Kaminsky () ‘Nominal Exchange Rate Regimes and the Real Exchange Rate: Evidence for the United States and Great Britain, –86’, Journal of Monetary Economics, vol. 27, pp. – CrossRef Google ScholarCited by: 6.   Movements in real exchange rates are large, persistent, and closely track movements in nominal rates, while cross-country differences in inflation rates are small and stable. Since at least the work of Mussa (), economists have often interpreted these observations as direct evidence for nominal price rigidities.

    The analysis shows that real exchange rate persistence could be attributed to the persistence of real shocks and interest rate smoothing behaviour of central banks. However, the observed cross-country asymmetry in systematic monetary policy behaviour elevates real exchange rate persistence to realistic levels, whereas changes in asymmetric. The next equation reflects this concept: Here, RER, P E, and P US indicate the real exchange rate, the price of the Euro-zone’s consumption basket, and the price of the U.S. consumption basket, respectively. Consider a numerical example for the RER. Assume that the dollar–euro exchange rate is $ per euro, P E (the price of the Euro-zone’s consumption basket) is €, and P US (the.


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On cross-country differences in the persistence of real exchange rates by Yin-Wong Cheung Download PDF EPUB FB2

If the cross-country differences are substantial, empirical modeling of real exchange rate dynamics should take such cross-sectional heterogeneity into account and consider countries individually.

Three different forms of parity-reverting dynamics are allowed for in this study; they include persistent autoregressive (AR) dynamics, persistent Cited by: This study uncovers substantial cross-country heterogeneity in the persistence of deviations from parity.

The results show that it is more likely, rather than less likely, to find parity reversion for developing countries than industrial by: to cross-country differences in the inflation experience, productivity growth, trade openness and government spending.

The authors are unaware of any such systematic investigation of real exchange rate persistence using similar techniques, considering so many different factors, and over such a. Although some cross-country persistence variations may partly reflect country differences in structural characteristics such as inflation experience and government spending, a considerable portion of those variations appears unaccounted for.

possible differences in the behavior of real exchange rates among countries or groups of countries. If the cross-country differences are substantial, empirical modeling of real exchange rate dynamics should take such cross-sectional heterogeneity into account and consider countries Cited by: On cross-country differences in the persistence of real exchange rates () Cached.

{Yin-wong Cheung and Kon S. Lai}, title = { On cross-country differences in the persistence of real exchange rates}, year = {}} Share. OpenURL. Abstract. Keyphrases. real exchange rate cross-country difference Powered by.

REAL EXCHANGE RATE PERSISTENCE AND COUNTRY CHARACTERISTICS 1 1 Introduction Our paper contributes to the literature on the persistence of real exchange rate parity devi-ations.

Indeed, this is a topic that has often featured at the heart of exchange rate policy debates since the rate at which the real exchange rate converges can determine the. Real Exchange Rates and Fundamentals: A Cross-Country Perspective Prepared by Luca Antonio Ricci, Gian Maria Milesi-Ferretti, and Jaewoo Lee 1 Authorized for distribution by Gian Maria Milesi-Ferretti January Abstract This Working Paper should not.

This paper employs newly constructed measures for productivity differentials, external imbalances, and commodity terms of trade to estimate a panel cointegrating relationship between real exchange rates and a set of fundamentals for a sample of 48 industrial countries and emerging by: real exchange rates are stationary, but very persistent with estimated half-lives in the range of years" (see Choi et al.

(), Murray and Papell (), Frankel and Rose ()). This slow convergence, or high persistence in real exchange rates, has at-tracted a lot Cited by: 7. This study uncovers substantial cross-country heterogeneity in the persistence of deviations from parity.

The results show that it is more likely, rather than less likely, to find parity reversion for developing countries than industrial countries. Downloadable (with restrictions). Previous findings of long-run purchasing power parity come mainly from data for industrial countries, raising the issue of whether the results suffer sample-selection bias and exaggerate the general relevance of parity reversion.

This study uncovers substantial cross-country heterogeneity in the persistence of deviations from parity. Cheung, Y-W & Lai, KS' On cross-country differences in the persistence of real exchange rates ', Journal of International Economics, vol.

50, no. 2, pp. (98) Cheung, Y-W., & Lai, K. On cross-country differences in the persistence of real exchange by: various country groupings under different nominal exchange rate regimes; it then the compares persistence of REERs within the euro area to that of other, and explores the role of countries regulation and institutional quality.

Section 5 draws up some conclusions. 2 Exchange rate regimes and real exchange rate misalignments. Cheung, Y.-W., & Lai, K. On cross-country differences in the persistence of real exchange rates. Journal of International Economics, 50(2), – Find this resource: Google Preview; WorldCat; Chinn, M.

The usual suspects. Productivity and demand shocks and Asia-Pacific real exchange rates. Review of International Author: Menzie D. Chinn. The PPP puzzle refers to the wide swings of nominal exchange rates around their long‐run equilibrium values whereas the excess return puzzle represents the persistent deviation of the domestic‐foreign interest rate differential from the expected change in the nominal exchange by: 7.

series analysis of the persistence of shocks to the real effective exchange rates of 90 developed and developing countries in the post–Bretton Woods period. The theory of PPP, in its most rudimentary form, states that there is an equi. the persistence of real exchange rates close to the observed level in the data.

When we introduce both e⁄ects simultaneously however, the persistence generated by the model rises signi–cantly with the –rst-order autoregression coe¢ cient of the real exchange rate in the model being REAL EXCHANGE RATE PERSISTENCE AND COUNTRY CHARACTERISTICS 3 Figure S2: In ation Rate vs.

Trade Openness Notes: * signi cant at 10%; ** signi cant at 5%; *** signi cant at 1%. BRER denotes bilateral real exchange rate. REER denotes real e ective exchange rate.

nis the country sample size. Time period: CPI-based in ation (%) is used. On Cross-Country Differences in the Persistence of Real Exchange Rates. [EBSCO Publishing (Firm);] Home. WorldCat Home About WorldCat Help. Search. Search for Library Items Search for Lists Search for Contacts Search for a Library.

Create. Elasticity of Substitution and the Persistence of the Deviation of the Real Exchange Rates Article in Review of Development Economics 10(3) February with 36 Reads How we measure.of scrutiny, the consensus is that aggregate real exchange rates are stationary, but very persistent with estimated half-lives in the range of years" (see Choi et al.

(), Murray and Papell (), Frankel and Rose ()). This slow convergence, or high persistence in real exchange rates, has attracted.Deconstructing Shocks and Persistence in OECD Real Exchange Rates Article in The B E Journal of Macroeconomics 13(1) June with 43 Reads How we measure 'reads'.