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Now showing items 11-16 of 16
Persistence in Law-of-One-Price Deviations: Evidence from Micro-data
(Vanderbilt University, 2002)
We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 71 countries and 245 goods prices drawn from 13 major U.S. cities. We find half-lives of deviations ...
A Nonparametric Measure of Convergence Toward Purchasing Power Parity
(Vanderbilt University, 2002)
It has been claimed that the deviations from purchasing power parity are highly persistent and have quite long half-lives under the assumption of a linear adjustment of real exchange rates. However, inspired by trade cost ...
Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis
(Vanderbilt University, 2009)
This paper investigates the relationship between the exchange rate pass-through (ERPT) and inflation by estimating a nonlinear time series model. Using a simple theoretical model of ERPT determination, we show that the ...
Measuring the Economic Impact of Monetary Union:The Case of Okinawa
(Vanderbilt University, 2003)
Data from Okinawa's monetary union with the United States in 1958 and with Japan in 1972 are used to obtain a quantitative indication of how monetary union might affect the behavior of nominal and real shocks across two ...
Testing for a Unit Root against Transitional Autoregressive Models
(Vanderbilt University, 2005)
This paper considers the test of a unit root in transitional autoregressive models. In particular, we develop the asymptotic theory of the inf-t test for the null hypothesis of a unit root in a wide class of nonlinear ...
Is There Chaos in the World Economy?A Nonparametric Test Using Consistent Standard Errors
(Vanderbilt University, 2001)
A positive Lyapunov exponent is one practical definition of chaos. We develop a formal test for chaos in a noisy system based on the consistent standard errors of the nonparametric Lyapunov exponent estimators. When our ...