Browsing Department of Economics by Author "Shintani, Mototsugu"

Now showing items 1-17 of 17

    • A Nonparametric Measure of Convergence Toward Purchasing Power Parity 
      Shintani, Mototsugu (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 ...
    • A Simple Cointegrating Rank Test Without Vector Autoregression 
      Shintani, Mototsugu (Vanderbilt University, 2000)
      This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables ...
    • Accounting for Persistence and Volatility of Good-Level Real Exchange Rates: The Role of Sticky Information' 
      Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki (Vanderbilt University, 2008)
      Volatile and persistent real exchange rates are observed not only in aggregate series but also in the individual good level data. Kehoe and Midrigan (2007) recently showed that, under a standard assumption on nominal price ...
    • Bootstrapping GMM Estimators for Time Series 
      Inoue, Atsushi; Shintani, Mototsugu (Vanderbilt University, 2001)
      This paper establishes that the bootstrap provides asymptotic refinements for the generalized method of moments estimator of overidentified linear models when autocorrelation structures of moment functions are unknown. ...
    • Do Sticky Prices Increase Real Exchange Rate Volatility at the Sector Level? 
      Crucini, Mario J.; Shintani, Mototsugu; Tsuruga, Takayuki (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 ...
    • A Dynamic Factor Approach to Nonlinear Stability Analysis 
      Shintani, Mototsugu (Vanderbilt University. Dept. of Economics, 2004-08)
      A method of principal components is employed to investigate nonlinear dynamic factor structure using a large panel data. The evidence suggests the possibility of nonlinearity in the U.S. while it excludes the class of ...
    • Exchange Rate Pass-Through and Inflation:A Nonlinear Time Series Analysis 
      Shintani, Mototsugu; Terada-Hagiwara, Akiko; Yabu, Tomoyoshi (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 ...
    • Is There Chaos in the World Economy?A Nonparametric Test Using Consistent Standard Errors 
      Shintani, Mototsugu; Linton, Oliver (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 ...
    • Measuring the Economic Impact of Monetary Union:The Case of Okinawa 
      Takagi, Shinji; Shintani, Mototsugu; Okamoto, Tetsuro (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 ...
    • Menu Costs and Markov Inflation:A Theoretical Revision with New Evidence 
      Ahlin, Christian; Shintani, Mototsugu (Vanderbilt University, 2006)
      We revisit a foundational theoretical paper in the menu cost literature, Sheshinski and Weiss (1983), one of the few to treat stochastic inflation with persistent deviations from trend. In contrast to the original finding, ...
    • Nonlinear Forecasting Analysis Using Diffusion Indexes: An Application to Japan 
      Shintani, Mototsugu (Vanderbilt University, 2003)
      This paper extends the diffusion index (DI) forecast approach of Stock and Watson (1998, 2002) to the case of possibly nonlinear dynamic factor models. When the number of series is large, a two-step procedure based on the ...
    • Nonparametric Neural Network Estimation of Lyapunov Exponents and a Direct Test for Chaos 
      Shintani, Mototsugu; Linton, Oliver (Vanderbilt University, 2003)
      This paper derives the asymptotic distribution of the nonparametric neural network estimator of the Lyapunov exponent in a noisy system. Positivity of the Lyapunov exponent is an operational definition of chaos. We introduce ...
    • On the Long-Run Variance Ratio Test for a Unit Root 
      Cai, Ye; Shintani, Mototsugu (Vanderbilt University, 2005)
      This paper investigates the effects of consistent and inconsistent long-run variance estimation on a unit root test based on the generalization of the von Neumann ratio. The results from the Monte Carlo experiments suggest ...
    • Persistence in Law-of-One-Price Deviations: Evidence from Micro-data 
      Crucini, Mario J.; Shintani, Mototsugu (Vanderbilt University, 2006)
      We study the dynamics of good-by-good real exchange rates using a micro-panel of 270 goods prices drawn from major cities in 63 countries and 258 goods prices drawn from 13 major U.S. cities. We find the half-life of ...
    • Persistence in Law-of-One-Price Deviations: Evidence from Micro-data 
      Crucini, Mario J.; Shintani, Mototsugu (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 ...
    • Quantifying Inflation Pressure and Monetary Policy Response in the United States 
      Weymark, Diana N.; Shintani, Mototsugu (Vanderbilt University, 2004)
      We propose a methodology for constructing operational indices of inflation pressure, the monetary authority's effort to reduce this pressure, and the degree to which inflation pressure is alleviated. We begin with model ...
    • Testing for a Unit Root against Transitional Autoregressive Models 
      Park, Joon Y.; Shintani, Mototsugu (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 ...