Aggregation Bias Does Explain The Ppp Puzzle
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Aggregation Bis Does Explain The Ppp Puzzle
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Author :
language : en
Publisher:
Release Date : 2005
Aggregation Bis Does Explain The Ppp Puzzle written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Ppp Strikes Back
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Author : Mr. Haroon Mumtaz
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01
Ppp Strikes Back written by Mr. Haroon Mumtaz and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-04-01 with Business & Economics categories.
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.
Ppp Strikes Back
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Author : Jean M. Imbs
language : en
Publisher:
Release Date : 2006
Ppp Strikes Back written by Jean M. Imbs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
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.
Aggregation Bias Does Explain The Ppp Puzzle
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Author : Jean Imbs
language : en
Publisher:
Release Date : 2005
Aggregation Bias Does Explain The Ppp Puzzle written by Jean Imbs and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with Foreign exchange rates categories.
"This article summarizes our views on the role of an "aggregation bias" in explaining the PPP (i.e. purchasing power parity) Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and Engel (2005). We show that their contentions are based on: (i) analytical counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of "aggregation bias"; (iii) unfounded claims on the impact of measurement errors on our results; and (iv) problematic implementation of small-sample bias corrections. We conclude, as in our original paper, that "aggregation bias" goes a long way towards explaining the PPP puzzle"--National Bureau of Economic Research web site.
Does Aggregation Bias Explain The Ppp Puzzle
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Author : Shiu-Sheng Chen
language : en
Publisher:
Release Date : 2004
Does Aggregation Bias Explain The Ppp Puzzle written by Shiu-Sheng Chen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Purchasing power parity categories.
"Recently, Imbs et. al. (2002) have claimed that much of the purchasing power parity puzzle can be explained by 'aggregation bias'. This paper re-examines aggregation bias. First, it clarifies the meaning of aggregation bias and its applicability to the PPP puzzle. Second, the size of the 'bias' is shown to be much smaller than the simulations in Imbs et. al. (2002) suggest, if we rule out explosive roots in the simulations. Third, we show that the presence of non-persistent measurement error especially in the Imbs et. al. (2002) data can make price series appear less persistent than they really are. Finally, it is now standard to recognize that small-sample bias plagues estimates of speeds of convergence of PPP. After correcting small sample bias by methods proposed by Kilian (1998) and by So and Shin (1999), the half-life estimates indicate that heterogeneity and aggregation bias do not help to solve the PPP puzzle"--NBER website
Exchange Rates And Macroeconomic Dynamics
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Author : P. Karadeloglou
language : en
Publisher: Springer
Release Date : 2008-02-13
Exchange Rates And Macroeconomic Dynamics written by P. Karadeloglou and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-02-13 with Business & Economics categories.
This book looks at the PPP persistence puzzle, and econometric aspects of exchange rate dynamics and their implications. It also explores the importance of exchange rate dynamics in the pass-through effects (PTE) and the econometric aspects of the exchange rates dynamics linked to structural shocks on different economies.
Exchange Rate Economics
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Author : Ronald MacDonald
language : en
Publisher: Taylor & Francis
Release Date : 2007-03-12
Exchange Rate Economics written by Ronald MacDonald and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-03-12 with Business & Economics categories.
First published in 2007. Exchange Rate Economics: Theories and Evidence is the second edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful content and structure of the previous edition, but has been comprehensively updated and expanded to include additional literature on the determination of both fixed and floating exchange rates. Core topics covered include: • the purchasing power parity hypothesis and the PPP puzzle; • the monetary and portfolio-balance approaches to exchange rates; • the new open economy macroeconomics approach to exchange rates; and • the determination of exchange rates in target zone models and speculative attack models. Exchange Rate Economics: Theories and Evidence also includes extensive discussion of recent econometric work on exchange rates with a particular focus on equilibrium exchange rates and measuring exchange rate misalignment, as well as discussion on the non-fundamentals-based approaches to exchange rate behaviour, such as the market microstructure approach. The book will appeal to academics and postgraduate students with an interest in all aspects of international finance and will also be of interest to practitioners concerned with issues relating to equilibrium exchange rates and the forecastability of currencies in terms of macroeconomic fundamentals.
Forecasting And Hedging In The Foreign Exchange Markets
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Author : Christian Ullrich
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-05-30
Forecasting And Hedging In The Foreign Exchange Markets written by Christian Ullrich and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-05-30 with Business & Economics categories.
Historical and recent developments at international ?nancial markets show that it is easy to loose money, while it is dif?cult to predict future developments and op- mize decision-making towards maximizing returns and minimizing risk. One of the reasons of our inability to make reliable predictions and to make optimal decisions is the growing complexity of the global economy. This is especially true for the f- eign exchange market (FX market) which is considered as one of the largest and most liquid ?nancial markets. Its grade of ef?ciencyand its complexityis one of the starting points of this volume. From the high complexity of the FX market, Christian Ullrich deduces the - cessity to use tools from machine learning and arti?cial intelligence, e.g., support vector machines, and to combine such methods with sophisticated ?nancial mod- ing techniques. The suitability of this combination of ideas is demonstrated by an empirical study and by simulation. I am pleased to introduce this book to its - dience, hoping that it will provide the reader with interesting ideas to support the understanding of FX markets and to help to improve risk management in dif?cult times. Moreover, I hope that its publication will stimulate further research to contribute to the solution of the many open questions in this area.
Purchasing Power Parity And Real Exchange Rates
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Author : Mark P. Taylor
language : en
Publisher: Routledge
Release Date : 2013-09-13
Purchasing Power Parity And Real Exchange Rates written by Mark P. Taylor and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-13 with Business & Economics categories.
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.
Handbook Of International Economics
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Author : Gita Gopinath
language : en
Publisher: Elsevier
Release Date : 2014-02-22
Handbook Of International Economics written by Gita Gopinath and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-02-22 with Business & Economics categories.
What conclusions can be drawn from recent advances in international trade and international macroeconomics? New datasets, theoretical models, and empirical studies have resulted in fresh questions about the world trade and payment system. These chapters--six on trade and six on international macroeconomics--reveal the richness that researchers have uncovered in recent years. The chapters on foreign trade present, among other subjects, new integrated multisector analytical frameworks, the use of gravity equations for the estimation of trade flows, the role of domestic institutions in shaping comparative advantage, and international trade agreements. On international macroeconomics, chapters explore the relation between exchange rates and other macroeconomic variables; risk sharing, allocation of capital across countries, and current account dynamics; and sovereign debt and financial crises. By addressing new issues while enabling deeper and sharper analyses of old issues, this volume makes a significant contribution to our understanding of the global economy. Systematically illuminates and interprets recent developments in research on international trade and international macroeconomics Focuses on newly developing questions and opportunities for future research Presents multiple perspectives on ways to understand the global economy