This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Nonlinear Adjustment in Law of One Price Deviations and Physical Characteristics of Goods

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Martin Berka

Additional information is available for the following registered author(s):

Abstract

At a level of individual goods, heterogeneity of marginal transaction costs, proxied by price-to-weight ratios and stowage factors, explains a large part of the variation in thresholds of no-adjustment and conditional half-lives of law of one price deviations. Prices of heavier (more voluminous) goods deviate further before becoming mean-reverting. Moreover, after becoming mean-reverting, prices of heavier goods converge more slowly. Together with measures of pricing power, market size, distance, and exchange rate volatility, these factors explain up to 43% of variation in no-adjustment threshold estimates across 52 goods in US-Canada post-Bretton Woods monthly CPI data and are robust in a broader five-country dataset. They open two avenues for the importance of marginal transaction costs in accounting for real exchange rate persistence: through (a) generating persistence in individual real exchange rate components, and (b) accentuating it by the aggregation of heterogeneous components ("aggregation bias" of Imbs et al., 2005a). Copyright © 2009 The Author. Journal compilation © Blackwell Publishing Ltd 2009.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.blackwell-synergy.com/links/doi/10.1111/j.1467-9396.2008.00780.x
File Format: text/html
File Function: link to full text
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Blackwell Publishing in its journal Review of International Economics.

Volume (Year): 17 (2009)
Issue (Month): 1 (02)
Pages: 51-73
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:bla:reviec:v:17:y:2009:i:1:p:51-73

Contact details of provider:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0965-7576

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0965-7576

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Other versions of this item:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Betts, Caroline & Devereux, Michael B., 2000. "Exchange rate dynamics in a model of pricing-to-market," Journal of International Economics, Elsevier, vol. 50(1), pages 215-244, February. [Downloadable!] (restricted)
  2. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2003. "Nonlinearities and Real Exchange Rate Dynamics," Journal of the European Economic Association, MIT Press, vol. 1(2-3), pages 639-649, 04/05. [Downloadable!] (restricted)
  3. Hummels, David, 2001. "Time as a Trade Barrier," GTAP Working Papers 1152, Center for Global Trade Analysis, Department of Agricultural Economics, Purdue University. [Downloadable!]
  4. Obstfeld, Maurice & Taylor, Alan M, 1997. "Nonlinear Aspects of Goods-Market Arbitrage and Adjustment: Heckscher's Commodity Points Revisited," CEPR Discussion Papers 1672, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  5. David E. Lebow & Jeremy B. Rudd, 2001. "Measurement error in the consumer price index: where do we stand?," Finance and Economics Discussion Series 2001-61, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  6. Mario J. Crucini & Chris I. Telmer & Marios Zachariadis, 1998. "Dispersion in Real Exchange Rates," Working Papers 0013, Department of Economics, Vanderbilt University, revised May 2000. [Downloadable!]
  7. David Hummels & Alexandre Skiba, 2004. "Shipping the Good Apples Out? An Empirical Confirmation of the Alchian-Allen Conjecture," Journal of Political Economy, University of Chicago Press, vol. 112(6), pages 1384-1402, December.
    Other versions:
  8. Novy, Dennis, 2006. "Is the Iceberg Melting Less Quickly? International Trade Costs after World War II," The Warwick Economics Research Paper Series (TWERPS) 764, University of Warwick, Department of Economics. [Downloadable!]
  9. Ariel T. Burstein & Joao C. Neves & Sergio Rebelo, 2000. "Distribution Costs and Real Exchange Rate Dynamics During Exchange-Rate-Based Stabilizations," RCER Working Papers 473, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:
  10. Shiu-Sheng Chen & Charles Engel, 2004. "Does "Aggregation Bias" Explain the PPP Puzzle?," NBER Working Papers 10304, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  11. Fabian BORNHORST, 2003. "On the use of panel unit root tests on cross-sectionally dependent data: an application to PPP," Economics Working Papers ECO2003/24, European University Institute. [Downloadable!]
  12. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Some Cautions on the Use of Panel Methods for Integrated Series of Macro-Economic Data," Working Papers 170, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    Other versions:
  13. Mario J. Crucini & Chris I. Telmer & Marios Zachariadis, 2001. "Understanding European Real Exchange Rates," Working Papers 0120, Department of Economics, Vanderbilt University. [Downloadable!]
    Other versions:
  14. Jean Imbs & Haroon Mumtaz & Morten Ravn & Hélène Rey, 2005. "PPP Strikes Back: Aggregation and the Real Exchange Rate," The Quarterly Journal of Economics, MIT Press, vol. 120(1), pages 1-43, January.
    Other versions:
  15. Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Hélène Rey, 2005. ""Aggregation Bias" DOES Explain the PPP Puzzle," NBER Working Papers 11607, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Jonathan Gruber & Anindya Sen & Mark Stabile, 2002. "Estimating Price Elasticities When there is Smuggling: The Sensitivity of Smoking to Price in Canada," NBER Working Papers 8962, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  17. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute. [Downloadable!]
    Other versions:
  18. Lyhagen, Johan, 2000. "Why not use standard panel unit root test for testing PPP," Working Paper Series in Economics and Finance 413, Stockholm School of Economics. [Downloadable!]
    Other versions:
  19. Papell, David H., 1997. "Searching for stationarity: Purchasing power parity under the current float," Journal of International Economics, Elsevier, vol. 43(3-4), pages 313-332, November. [Downloadable!] (restricted)
  20. Michael Grossman & Sara Markowitz, 1999. "Alcohol Regulation and Violence on College Campuses," NBER Working Papers 7129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.

This page was last updated on 2009-11-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.