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on International Finance |
| By: | Mototsugu Shintani (Department of Economics, Vanderbilt University) |
| Abstract: | 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 models, nonlinear adjustment has been widely employed in recent empirical studies. This paper proposes a simple nonparametric procedure for evaluating the speed of adjustment in the presence of nonlinearity, using the largest Lyapunov exponent of the time series. The empirical result suggests that the speed of convergence to a long-run price level is indeed faster than what was found in previous studies with linear restrictions. |
| Keywords: | Mean reversion, nonlinear time series, nonparametric regression, purchasing power parity puzzle; Real exchange rates |
| JEL: | C14 C22 F31 |
| Date: | 2002–08 |
| URL: | http://d.repec.org/n?u=RePEc:van:wpaper:0219&r=ifn |
| By: | Christian Bauer; Bernhard Herz |
| Abstract: | Stabilizing the exchange rate is a major monetary policy goal in a number of Mediterranean countries.We present a microstructure model of the foreign exchange market based on technical trading that allows us to categorize de facto exchange rate regimes and to derive a market based measure of the credibility of these exchange rate regimes. In our empirical analysis we compare the exchange rate policies of seven non European Mediterranean countries, Algeria, Egypt, Israel, Libya, Morocco, Turkey and Tunisia, with the benchmark of four European non EU countries namely Albania, Bulgaria, Croatia, and Romania. Our results indicate that the fundamental volatility of the market based ex- change rates is quite moderate and that markets assign a moderate degree of credibility to the exchange rate management of most of the countries. |
| Keywords: | monetary policy, exchange rate policy, credibility, Mediterranean, Eastern Europe, technical trading |
| JEL: | D84 E42 F31 |
| Date: | 2004–12 |
| URL: | http://d.repec.org/n?u=RePEc:uba:hadfwe:mediterranean-bauer-herz_2004-12&r=ifn |
| By: | Kyoji Fukao and Toshihiro Okubo (IUHEI, The Graduate Institute of International Studies, Geneva) |
| Abstract: | This paper analyzes the causes of the decline in Japan’s border effect by estimating gravity equations for Japan’s international and interregional trade in four machinery industries (electrical, general, precision, and transportation machinery). In the estimation, we explicitly take account of firms’ networks. We find that ownership relations usually enhance trade between two regions (countries), and also find that we can explain 35% of the decline in Japan’s border effect from 1980 to 1995 in the electrical machinery industry by the increase of international networks. JEL Classification numbers: F14; F17; F21;L14 |
| Keywords: | Gravity Model; Border Effect; Networks |
| URL: | http://d.repec.org/n?u=RePEc:gii:giihei:heiwp12-2004&r=ifn |