Purchasing Power Parity And Real Exchange Rates
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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.
Purchasing Power Parity And Exchange Rates
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Author : Lawrence H. Officer
language : en
Publisher: Greenwich, Conn. : JAI Press
Release Date : 1982
Purchasing Power Parity And Exchange Rates written by Lawrence H. Officer and has been published by Greenwich, Conn. : JAI Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1982 with Business & Economics categories.
Evolution of PPP theory; Modern PPP theory and practice; Selected PPP studies.
Deviations Of Exchange Rates From Purchasing Power Parity
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Author : Mr.Tamim Bayoumi
language : en
Publisher: International Monetary Fund
Release Date : 1998-05-01
Deviations Of Exchange Rates From Purchasing Power Parity written by Mr.Tamim Bayoumi 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 1998-05-01 with Business & Economics categories.
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear mean-reverting, the intra-national rates are not. This is consistent with the view that while monetary shocks may be mean-reverting over the medium term, underlying real factors do generate long-term trends in real exchange rates.
Ppp Strikes Back
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Author : Mr.Jean Imbs
language : en
Publisher: International Monetary Fund
Release Date : 2003-04-01
Ppp Strikes Back written by Mr.Jean Imbs 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.
Purchasing Power Parity Its Theoretical Perspective And Empirical Evidence
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Author : Marc Munzer
language : en
Publisher: GRIN Verlag
Release Date : 2009-08-19
Purchasing Power Parity Its Theoretical Perspective And Empirical Evidence written by Marc Munzer and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-08-19 with Business & Economics categories.
Seminar paper from the year 2009 in the subject Business economics - Investment and Finance, grade: 1,3, University of Hull, language: English, abstract: The Swedish economist Gustav Cassel developed his theory of Purchasing Power Parity (henceforth PPP) more than 80 years. Ago, and today it is still an essential part of the framework for forecasting exchange rates, which includes parity conditions in international finance. International parity conditions imply purchasing power parity, the Fisher effect, the interest rate parity theory and the expectations theory. “They are the set of equilibrium relationships which should hold between product prices, interest rates, and spot and forward exchange rates assuming a freely floating exchange system.” (Demirag and Goddard, 1994, 70) Unfortunately, these theories do not always work out in reality, especially in times of financial crisis. However, they give us a central understanding of how and why multinational business is related in the world. Sometimes, “the mistake is not always in the theory itself, but in the way it is interpreted or applied in practice” (Eitemann et.al., 2004, 133). This essay will take a detailed look at PPP, its theoretical perspective, and the empirical evidence for it. [...]
The Principle Practise And Problems Of Purchasing Power Parity Theory
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Author : Alina Ignatiuk
language : en
Publisher: GRIN Verlag
Release Date : 2009-04
The Principle Practise And Problems Of Purchasing Power Parity Theory written by Alina Ignatiuk and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04 with Purchasing power parity categories.
Seminar paper from the year 2008 in the subject Business economics - Miscellaneous, grade: A, Schmalkalden University of Applied Sciences (Schmalkalden University), language: English, abstract: "Under the skin of any international economist lies a deep-seated belief in some variant of the PPP theory of the exchange rate." The purpose of this paper is to consider one of the most controversial theory in international economics - Purchasing Power Parity theory - its main idea, empirical evidence, limitations and practical application. The main idea of PPP is price levels changes determine the exchange rate change between two countries. There are two versions of PPP theory absolute and relative. Stricter absolute version of PPP did not find confirmation in reality and relative version of PPP theory was proposed. Despite theoretical and practical inconformity, PPP is present in many models of international economics as an explanation of exchange rate changes. The main apologist of PPP theory and its father was Gustav Cassel. He indicated that the exchange rate determined by price levels is not necessarily the actual exchange rate but the equilibrium one. Also Cassel mentioned that there is a tendency for the actual exchange rate to return to its equilibrium exchange rate. The original idea of PPP theory is described below: "Our willingness to pay a certain price for foreign money must ultimately and essentially be due to the fact that this money possesses a purchasing power as against commodities and services in that foreign country." In this paper we considered the principle and two versions of PPP theory, discussed its empirical evidence and econometrical tests, and also tried to find possible reasons why PPP theory fails in reality and answered the question is this theory still useful for explaining exchange rates movements.
Long Run Exchange Rate Dynamics
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Author : Mr.Karl Friedrich Habermeier
language : en
Publisher: International Monetary Fund
Release Date : 1999-04-01
Long Run Exchange Rate Dynamics written by Mr.Karl Friedrich Habermeier 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 1999-04-01 with Business & Economics categories.
Long-run movements of real exchange rates are studied using a panel data set comprising 51 economies. The purchasing power parity hypothesis (PPP) is examined first using unit root tests. It is found that PPP does not hold for the full sample of countries, but it may hold for the advanced economies, as well as open and high-inflation economies. Using the recently developed mean group and pooled mean group estimators, the paper finds support for the Balassa-Samuelson hypothesis in both advanced and developing economies; and for the influence of shifts in the terms of trade.
Japanese Effective Exchange Rates And Determinants
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Author : Mr.Jun Nagayasu
language : en
Publisher: International Monetary Fund
Release Date : 1998-06-01
Japanese Effective Exchange Rates And Determinants written by Mr.Jun Nagayasu 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 1998-06-01 with Business & Economics categories.
This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the latter models is that the current accounts are introduced as determinants of the exchange rates; one type of hybrid model uses the actual current account, and the other the optimal current account, which is calculated using the present value model suggested by Campbell and Shiller (1988). The paper finds that the long-run specification is sensitive to the specification of the model.
Time Varying Thresholds
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Author : Serineh Najarian
language : en
Publisher: International Monetary Fund
Release Date : 2003-09-01
Time Varying Thresholds written by Serineh Najarian 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 2003-09-01 with Business & Economics categories.
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.
Parity Reversion In Real Exchange Rates
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Author : Mr.Paul Cashin
language : en
Publisher: INTERNATIONAL MONETARY FUND
Release Date : 2004-07-01
Parity Reversion In Real Exchange Rates written by Mr.Paul Cashin 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 2004-07-01 with Business & Economics categories.
Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this study uses median-unbiased estimators of the half-life of deviations from parity, which correct for the downward bias of conventional estimators. The paper tests for PPP using real effective exchange rate data for 90 developed and developing countries in the post-Bretton Woods period. Support for PPP is found, as the majority of countries experience finite deviations of real exchange rates from parity. The speed of parity reversion is found to be typically much faster for developed countries than for developing countries, and to be considerably faster for countries with flexible nominal exchange rate regimes in comparison with countries having fixed nominal exchange rate regimes.