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Exchange Rates and Prices: An Empirical Analysis

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  • Papell, David H

Abstract

The effects of exchange rates on domestic prices are investigated in the context of a semistructural model of exchange rate determination in which both exchange rates and prices are determined endogenously. The author assumes, and imposes for the estimation, that the exchange rate is cointegrated with its 'fundamentals.' The central result of the paper is that exchange rates have relatively small effects on national price levels for the G7 countries. The effects are largest for the United Kingdom, followed by the United States and Canada. They are strongest when prices are measured by the producer price index. Copyright 1994 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 35 (1994)
Issue (Month): 2 (May)
Pages: 397-410

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Handle: RePEc:ier:iecrev:v:35:y:1994:i:2:p:397-410

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Cited by:
  1. Sharon Kozicki, 2001. "Why do central banks monitor so many inflation indicators?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 5-42.
  2. Shang-Jin Wei & David C. Parsley, 1995. "Purchasing Power Disparity During the Floating Rate Period: Exchange Rate Volatility, Trade Barriers and Other Culprits," NBER Working Papers 5032, National Bureau of Economic Research, Inc.
  3. Leachman, Lori L. & Francis, Bill, 1995. "Long-run relations among the G-5 and G-7 equity markets: Evidence on the Plaza and Louvre Accords," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 551-577.
  4. Kenneth A. Froot & Kenneth Rogoff, 1994. "Perspectives on PPP and Long-Run Real Exchange Rates," NBER Working Papers 4952, National Bureau of Economic Research, Inc.
  5. Wang, Jian-Xin & Wong, Hoi-In, 1997. "The predictability of Asian exchange rates: evidence from Kalman filter and ARCH estimations," Journal of Multinational Financial Management, Elsevier, vol. 7(3), pages 231-252, October.
  6. Thomas D. Willett, 2001. "The OCA Approach to Exchange Rate Regimes: A Perspective on Recent Developments," Claremont Colleges Working Papers 2001-04, Claremont Colleges.
  7. Maozu Lu & Zhichao Zhang, 2003. "Exchange rate reform and its inflationary consequences: an empirical analysis for China," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 189-199.

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