کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963617 | 930374 | 2011 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A re-examination on dissecting the purchasing power parity puzzle
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
The purpose of this paper is to examine the source of a real exchange-rate adjustment based on the impulse-response function constructed from local projections when the true data-generating process (DGP) is unknown. This work extends the local-projection method proposed by Jordà [2005. Estimation and inference of impulse responses by local projections. American Economic Review 95, 161-182] to allow for variables that are I(1) and exhibit cointegration. Our paper shows that nominal exchange-rate adjustments dominate in the reversion toward PPP regardless of a nominal exchange-rate shock or a price shock. It is also shown that the half-life of real exchange rates is close to that of nominal exchange rates. Since these results are consistent with those of Cheung et al. [Cheung, Y.W., Lai, K.S., Bergman, M., 2004. Dissecting the PPP puzzle: the unconventional roles of nominal exchange rate and price adjustments. Journal of International Economics 64, 135-150], we therefore conclude that their main findings are robust to possible misspecifications in the true DGP.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 30, Issue 3, April 2011, Pages 572-586
Journal: Journal of International Money and Finance - Volume 30, Issue 3, April 2011, Pages 572-586
نویسندگان
Jyh-Lin Wu, Chingnun Lee, Tzu-Wei Wang,