Cross Country Relative Price Volatility
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Cross Country Relative Price Volatility
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Author : Yin-Wong Cheung
language : en
Publisher:
Release Date : 2005
Cross Country Relative Price Volatility written by Yin-Wong Cheung 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.
Cross Country Relative Price Volatility
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Author : Yin-Wong Cheung
language : en
Publisher:
Release Date : 2005
Cross Country Relative Price Volatility written by Yin-Wong Cheung 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.
The Stock Market And Cross Country Differences In Relative Prices
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Author : Borja Larrain
language : en
Publisher:
Release Date : 2005
The Stock Market And Cross Country Differences In Relative Prices written by Borja Larrain 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.
This paper studies the impact of stock market development on cross country relative prices (the real exchange rate). A nonlinear relationship is uncovered in the cross section: prices and the stock market increase together in the beginning; then prices fall as the stock market continues to develop. In fact, among rich countries the relationship between prices and the stock market is negative. This result obtains after controlling for per capita income and for endogeneity issues by using legal origins. A small open economy model is presented to explain the connection between stock market development and relative prices: better investment opportunities increase consumption levels and the price of nontradable goods (income effect); but if stock market assets are less labor intensive than previous entrepreneurial technologies, prices can fall as the stock market grows because more labor is available for producing nontradables (substitution effect). This paper illustrates the connection of the stock market with goods and labor markets; it also has potential implications for the political economy of financial development. In a sideline contribution, it provides prices for entrepreneurial assets.
A Reappraisal Of The Border Effect On Relative Price Volatility
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Author : Yin-Wong Cheung
language : en
Publisher:
Release Date : 2013
A Reappraisal Of The Border Effect On Relative Price Volatility written by Yin-Wong Cheung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Engel and Rogers (1996) find that crossing the US-Canada border can considerably raise relative price volatility and that exchange rate fluctuations explain about one-third of the volatility increase. In re-evaluating the border effect, this study shows that cross-country heterogeneity in price volatility can lead to significant bias in measuring the border effect unless proper adjustment is made to correct it. The analysis explores the implication of symmetric sampling for border effect estimation. Moreover, using a direct decomposition method, two conditions governing the strength of the border effect are identified. In particular, the more dissimilar the price shocks are across countries, the greater the border effect will be. Decomposition estimates also suggest that exchange rate fluctuations actually account for a large majority of the border effect.
The Volatility Of The Relative Price Of Commodities In Terms Of Manufactures Across Exchange Regimes
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Author : Ms.Hong Liang
language : en
Publisher: International Monetary Fund
Release Date : 1998-12-01
The Volatility Of The Relative Price Of Commodities In Terms Of Manufactures Across Exchange Regimes written by Ms.Hong Liang 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 1998-12-01 with Business & Economics categories.
This paper investigates the relationship between the nominal exchange rate regime and the volatility of relative commodity prices. The analysis shows that the relationship depends upon both the market structure and the economic agent’s perception about future exchange rate movements. When the markets for manufactured goods are less competitive than the markets for primary commodities, the volatility of relative commodity prices rises when exchange rate uncertainty increases. If demand for manufactured goods is intertemporally dependent, even a small increase in exchange rate uncertainty can result in potentially large costs in terms of increased relative commodity price instability.
Comparative Advantage And The Cross Section Of Business Cycles
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Author : Aart Kraay
language : en
Publisher:
Release Date : 2001
Comparative Advantage And The Cross Section Of Business Cycles written by Aart Kraay and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Business cycles categories.
Business cycles are both less volatile and more synchronized with the world cycle in rich countries than in poor ones. We develop two alternative explanations based on the idea that comparative advantage causes rich countries to specialize in industries that use new technologies operated by skilled workers, while poor countries specialize in industries that use traditional technologies operated by unskilled workers. Since new technologies are difficult to imitate, the industries of rich countries enjoy more market power and face more inelastic product demands than those of poor countries. Since skilled workers are less likely to exit employment as a result of changes in economic conditions, industries in rich countries face more inelastic labour supplies than those of poor countries. We show that either asymmetry in industry characteristics can generate cross-country differences in business cycles that resemble those we observe in the data.
Business Cycle Volatility And Openness
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Author : Assaf Razin
language : en
Publisher:
Release Date : 1992
Business Cycle Volatility And Openness written by Assaf Razin and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with Business cycles categories.
This paper links business cycle volatility to barriers on international mobility of goods and capital. Theory predicts that capital market integration should lower consumption volatility while raising investment volatility, if most shocks are country-specific and transitory. The removal of barriers to trade in goods should enhance specialization and hence output volatility. We test these ideas using a unique panel data set which includes indicators of barriers to trade in both goods and capital flows. However, our empirical results indicate that neither the degree of capital mobility, nor the degree of goods mobility is strongly correlated with the volatility of consumption, investment or output. This may reflect the fact that many business cycle shocks are both persistent and common to many countries.
Trade Costs And Real Exchange Rate Volatility
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Author : Claudio Bravo-Ortega
language : en
Publisher: International Monetary Fund
Release Date : 2005
Trade Costs And Real Exchange Rate Volatility written by Claudio Bravo-Ortega 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 2005 with Business & Economics categories.
This paper examines the impact of trade costs on real exchange rate volatility. We incorporate a multi-country Ricardian model of trade, based on the work of Eaton and Kortum (2002), into a macroeconomic model to show how bilateral real exchange rate volatility depends on relative technological differences and trade costs. These differences highlight a new channel, in which the similarity of a pair of countries' set of suppliers of traded goods affects bilateral exchange rate volatility. We then test the importance of this channel using a large panel of cross-country data over 1970-97, and find strong evidence supporting the channel.
Exchange Rate Volatility Pricing To Market And Trade Smoothing
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Author : Peter B. Clark
language : en
Publisher: International Monetary Fund
Release Date : 1997-10
Exchange Rate Volatility Pricing To Market And Trade Smoothing written by Peter B. Clark 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 1997-10 with Business & Economics categories.
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities in the presence of market segmentation and pricing to market. Firms stabilize destination prices through systematic price discrimination, limiting the degree of exchange rate pass-through. Consequently, the variability of exchange rates is not fully translated into prices and quantities at the point of destination. Empirical estimates using aggregate price data for the G-7 industrial countries show incomplete pass-through in variances, with considerable variation among these countries. U.S. industry specific data also indicate incomplete pass-through in most cases, with considerable variation across industries.
Explaining The Border Effect
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Author : David C. Parsley
language : en
Publisher:
Release Date : 2000
Explaining The Border Effect written by David C. Parsley and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with Market segmentation categories.
This paper exploits a three-dimensional panel data set of prices on 27 traded goods, over 88 quarters, across 96 cities in the U.S. and Japan. We show that a simple average of good-level real exchange rates tracks the nominal exchange rate well, suggesting strong evidence of sticky prices. Focusing on dispersion in prices between city-pairs, we find that crossing the U.S.-Japan Border' is equivalent to adding as much as 43,000 trillion miles to the cross-country volatility of relative prices. We turn next to economic explanations for this so-called border effect and to its dynamics. Distance, unit-shipping costs, and exchange rate variability, collectively, explain a substantial portion of the observed international market segmentation. Relative wage variability, on the other hand, has little independent impact on segmentation
