Download or read book A re examination of the Purchasing Power Parity using non stationary dynamic panel methods a comparative approach for developing and developed countries written by Imed Drine and Christophe Rault and published by . This book was released on 2003 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Purchasing Power Parity for Developing and Developed Countries written by Imed Drine and published by . This book was released on 2008 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong PPP is verified for OECD countries and weak PPP for MENA countries. However in African, Asian, Latin American and Central and Eastern European countries, PPP does not seem relevant to characterize the long-run behavior of the real exchange rate. Further investigations indicate that the nature of the exchange rate regime doesn't condition the validity of PPP which is more easily accepted in countries with high than low inflation.
Download or read book PRIVATE SAVINGS IN TRANSITION ECONOMICS ARE THERE TERMS OF TRADE SHOCKS written by Abdur R. Chowdhury and published by . This book was released on 2003 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Purchasing Power Parity written by Georgios Loukopoulos and published by . This book was released on 2014 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP) of a sample of four advanced and four emerging countries covering the period from 1993 to 2014. To examine the existence of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is consistent with impressions from the statistics of stationarity tests. We also employ the variance decomposition method to analyze the movements in the exchange rates and the price indices that are caused by their own shocks, and shocks caused by other variables. With respect to half-life estimates, the results from a shock to the real exchange rate range from 9,76 to 77,39 months. Overall, unit root tests show that absolute PPP may hold, but this depends on the country and the selected method. In contrast, the Johansen approach does not support the existence of PPP in any country.
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Download or read book The Hedonic Country Product Dummy Method and Quality Adjustments for Purchasing Power Parity Calculations written by Mick Silver and published by International Monetary Fund. This book was released on 2009-12-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 2005 International Comparison Program's (ICP) estimates of economy-wide purchasing power parity (PPP) are based on parity estimates for 155 basic expenditure headings, mainly estimated using country product dummy (CPD) regressions. The estimates are potentially inefficient and open to omitted variable bias for two reasons. First, they use average prices across outlets as the left-hand-side variable. Second, quality-adjusted prices of non-comparable replacements, required when products in outlets do not match the required specifications, cannot be effectively included. This paper provides an analytical framework based on panel data and hedonic CPD regressions for ameliorating these sources of bias and inefficiency.
Download or read book International Parity Conditions written by Razzaque H. Bhatti and published by Springer. This book was released on 2016-07-27 with total page 389 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents an extensive survey of the theory and empirics of international parity conditions which are critical to our understanding of the linkages between world markets and the movement of interest and exchange rates across countries. The book falls into three parts dealing with the theory, methods of econometric testing and existing empirical evidence. Although it is intended to provide a consensus view on the subject, the authors also make some controversial propositions, particularly on the purchasing power parity conditions.
Download or read book PPP Strikes Back written by Mr. Haroon Mumtaz and published by International Monetary Fund. This book was released on 2003-04-01 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show the importance of a dynamic aggregation bias in accounting for the PPP puzzle. We prove that established time-series and panel methods substantially exaggerate the persistence of real exchange rates because of heterogeneity in the dynamics of disaggregated relative prices. When heterogeneity is properly taken into account, estimates of the real exchange rate half-life fall dramatically, to little more than one year, or significantly below Rogoff''s "consensus view" of three to five years. We show that corrected estimates are consistent with plausible nominal rigidities, thus, arguably, solving the PPP puzzle.
Download or read book Purchasing Power Parity and Real Exchange Rates written by Mark P. Taylor and published by Routledge. This book was released on 2013-09-13 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Purchasing Power Parity in Asian Developing Countries written by Min Tang and published by . This book was released on 1994 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Reexamination of Purchasing Power Parity written by Craig Stephan Hakkio and published by . This book was released on 1984 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Re examination of the Purchasing Power Parity Theory written by Jamal Nahavandi and published by . This book was released on 1990 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Time Varying Thresholds written by Serineh Najarian and published by International Monetary Fund. This book was released on 2003-09-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Purchasing Power Parity in OECD Countries written by Huseyin Kalyoncu and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the validity of purchasing power parity (PPP) for 25 OECD countries by using a panel unit-root methodology. The procedure used here is to examine stationarity of real exchange rate. Using ADF unit-root test on single time-series, it is found that real exchange rate of all OECD countries have unit root. This outcome, however, might be due to the generally low power of this test. The aim of this paper is to reconsider this issue by exploiting the extra information provided by the combination of the time-series and cross-sectional data and the subsequent power advantages of panel data unit-root tests. We apply the test advocated by Im et al. [Im, K.S., Pesaran, M.H., Shin, Y., 1997. Testing for unit roots in heterogenous panels. University of Cambridge, Department of Applied Economics]. According to estimation results real exchange rate in OECD countries are stationary and support long-run purchasing power parity.
Download or read book Constructing Purchasing Power Parities Using a Reduced Information Approach written by Asian Development Bank and published by Asian Development Bank. This book was released on 2021-01-01 with total page 158 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication presents the methodology and results of research on a cost-effective approach for estimating purchasing power parities (PPPs). The study drew on price and national accounts data from 20 economies in Asia and the Pacific. It used a “reduced information” approach to generate more firmly based estimates of PPPs, price level indexes, and measures of real (PPP-based) expenditures than conventional extrapolation methods would obtain. The results include PPP-based gross domestic product and its major aggregates of individual consumption expenditure by households and nonprofit institutions serving households, government final consumption expenditure, gross fixed capital formation, changes in inventories and acquisitions less disposals of valuables, and balance of exports and imports.
Download or read book Long Run Purchasing Power Parity and the Dollar Sterling Exchange Rate in the 1920 s written by Mr.Mark P. Taylor and published by International Monetary Fund. This book was released on 1990-12-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper replies to Ahking’s (1990) re-examination of Taylor and McMahon’s (1988) analysis of long-run purchasing power parity in the 1920s. We demonstrate that Ahking’s conclusions are only partially correct and reestablish our conclusion that, a form of long-run purchasing-power parity did in fact hold for dollar-sterling during this period. The new results are also employed to gauge the degree of overvaluation of sterling relative to the imposed prewar parity of $4.86 upon its return to gold and for 12 months afterwards.
Download or read book A Panel Project on Purchasing Power Parity written by Jeffrey A. Frankel and published by . This book was released on 1995 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
