کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
964728 930593 2011 23 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Real exchange rates and time-varying trade costs
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Real exchange rates and time-varying trade costs
چکیده انگلیسی

This paper re-examines the empirical modeling of Purchasing Power Parity (PPP) deviations in the presence of commodity market frictions. First, we show that a specific type of smooth transition models can closely approximate the functional form of the theoretical adjustment mechanism derived by Dumas (1992) [Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World, Review of Financial Studies,5:2153–180] for the case of constant as well as changing trade costs. Second, we develop, for the first time, an empirical model of the real exchange rate which allows for changes in the degree of market integration. By employing a long span of data on the Dollar-Sterling real exchange rate and a micro-founded proxy for trade frictions, we provide novel evidence of a significant relationship between the persistence of the real exchange rate and the level of trade costs. This finding suggests that both the difficulty of detecting PPP and the extend of Rogoff’s puzzle vary over time with the degree of trade restrictiveness. Finally, we highlight policy repercussions of our results.


► We establish a link between theoretical and econometric models of PPP deviations.
► The analysis is extended to the case of time-varying market frictions.
► We use the US/UK real exchange rate and a micro-founded trade costs index.
► The persistence of PPP deviations is positively related to trade costs.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Money and Finance - Volume 30, Issue 6, October 2011, Pages 1157–1179
نویسندگان
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