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Now showing items 11-17 of 17
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 ...
Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level?
(Vanderbilt University, 2011)
We introduce the real exchange rate volatility curve as a useful device to understand the relationship between price stickiness and the fluctuations in Law of One Price deviations. In the presence of both nominal and real ...
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 ...