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Author: Mr.Jean Imbs
Publisher: International Monetary Fund
ISBN: 145184901X
Category : Business & Economics
Languages : en
Pages : 43
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Book Description
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.
Author: Mr.Jean Imbs
Publisher: International Monetary Fund
ISBN: 145184901X
Category : Business & Economics
Languages : en
Pages : 43
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Book Description
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.
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Publisher:
ISBN:
Category :
Languages : en
Pages : 41
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Book Description
Author: Jean Imbs
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 48
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Book Description
"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.
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Languages : en
Pages :
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Author: Mark P. Taylor
Publisher: Routledge
ISBN: 1317988205
Category : Business & Economics
Languages : en
Pages : 227
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Book Description
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.
Author: Jessica James
Publisher: John Wiley & Sons
ISBN: 1118445775
Category : Business & Economics
Languages : en
Pages : 674
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Book Description
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.
Author: Athena Roumboutsos
Publisher: Routledge
ISBN: 1317483731
Category : Business & Economics
Languages : en
Pages : 393
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Book Description
Over the last thirty years Public Private Partnerships (PPPs) have been used to deliver transport capital projects and services. PPPs are complex arrangements that require a multi-disciplinary approach in order to assure their success, though research on the subject has been fragmented. This book fills the gap in existing literature by providing insight into these complex arrangements at their various stages of development. Public Private Partnerships in Transport: trends and theory is structured to follow the life-cycle of a PPP project and strikes a balance between theory and practice. Divided into four parts, each section highlights major concerns and offers and array of views and policy recommendations. Parts include context for national implementation, decision models, performance measures and efficiency standards. This book includes an expanded discussion on the findings presented, discussed and analysed at the closing event of the COST Action TU1001 network on the topic of PPPs in transport. The result will be of significant interest to the academic community, policy makers and practitioners.
Author: Alan M. Taylor
Publisher:
ISBN:
Category : Purchasing power parity
Languages : en
Pages : 52
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Book Description
"Originally propounded by the sixteenth-century scholars of the University of Salamanca, the concept of purchasing power parity (PPP) was revived in the interwar period in the context of the debate concerning the appropriate level at which to re-establish international exchange rate parities. Broadly accepted as a long-run equilibrium condition in the post-war period, it was first advocated as a short-run equilibrium by many international economists in the first few years following the breakdown of the Bretton Woods system in the early 1970s and then increasingly came under attack on both theoretical and empirical grounds from the late 1970s to the mid 1990s. Accordingly, over the last three decades, a large literature has built up that examines how much the data deviated from theory, and the fruits of this research have provided a deeper understanding of how well PPP applies in both the short run and the long run. Since the mid 1990s, larger datasets and nonlinear econometric methods, in particular, have improved estimation. As deviations narrowed between real exchange rates and PPP, so did the gap narrow between theory and data, and some degree of confidence in long-run PPP began to emerge again. In this respect, the idea of long-run PPP now enjoys perhaps its strongest support in more than thirty years, a distinct reversion in economic thought"--NBER website
Author: Ronald MacDonald
Publisher: Psychology Press
ISBN: 0415125510
Category : Foreign exchange
Languages : en
Pages : 465
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Book Description
This book examines the influence of fiscal policy on exchange rates, recent development in the econometric modelling of exchange rates, and exchange rate modelling for developing countries.
Author: Mr.Ashoka Mody
Publisher: International Monetary Fund
ISBN: 1616354240
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
Germany has been a central player in discussions on the future architecture of Europe, and has been called on to play a larger role in supporting global and, especially, European recovery from the financial crisis that triggered the Great Recession. This book focuses on the possible economic role of Germany and shows that the quantitative effects of a German fiscal stimulus would be small on the heavily indebted euro area periphery countries that most need the boost. The book finds that Germany itself faces a growth challenge and that efforts to raise its own growth potential are important for Germany, and that more rapid growth of domestic demand will more powerfully stimulate European economic growth through its expanded demand for imports.
