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! ]
'Aggregation Bias' DOES Explain the PPP Puzzle Author info | Abstract | Publisher info | Download info | Related research | Statistics Imbs, Jean
Mumtaz, Haroon
Ravn, Morten O.
Rey, Hélène
Additional information is available for the following
registered author(s):
This article summarizes our views on the role of an 'aggregation bias' in explaining the PPP Puzzle, in response to the several papers recently written in reaction to our initial contribution. We discuss in particular the criticisms of Imbs, Mumtaz, Ravn and Rey (2002) presented in Chen and Engel (2005). We show that their contentions are based on: (i) analytical counter-examples which are not empirically relevant; (ii) simulation results minimizing the extent of 'aggregation bias'; (iii) unfounded claims on the impact of measurement errors on our results; and (iv) problematic implementation of small-sample bias corrections. We conclude, as in our original paper, that 'aggregation bias' goes a long way towards explaining the PPP puzzle.
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.
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.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
5237.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Sep 2005Date of revision:
Handle: RePEc:cpr:ceprdp:5237Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: goods market integration ; heterogenous dynamics ; relative prices ; Other versions of this item:
Find related papers by JEL classification: C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data F15 - International Economics - - Trade - - - Economic Integration F31 - International Economics - - International Finance - - - Foreign Exchange
This paper has been announced in the following NEP Reports :
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.: Jean Imbs & Haroon Mumtaz & Morton O. Ravn & Helene Rey, 2002.
"PPP Strikes Back: Aggregation and the Real Exchange Rate ,"
NBER Working Papers
9372, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Helene Rey, 2003.
"PPP Strikes Back: Aggregation and the Real Exchange Rate ,"
IEHAS Discussion Papers
0307, Institute of Economics, Hungarian Academy of Sciences.
[Downloadable!] Imbs, Jean & Mumtaz, Haroon & Ravn, Morten O. & Rey, Hélène, 2003.
"PPP Strikes Back: Aggregation and the Real Exchange Rate ,"
CEPR Discussion Papers
3715, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Jean Imbs & Haroon Mumtaz & Morten O. Ravn & Helene Rey, 2003.
"PPP Strikes Back: Aggregation and the Real Exchange Rate ,"
IMF Working Papers
03/68, International Monetary Fund.
[Downloadable!] 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.
Mario J. Crucini & Mototsugu Shintani, 2006.
"Persistence in Law-of-One-Price Deviations: Evidence from Micro-data ,"
Levine's Bibliography
321307000000000311, UCLA Department of Economics.
[Downloadable!]
Other versions:
Mario J. Crucini & Mototsugu Shintani, 2002.
"Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data ,"
Working Papers
0616, Department of Economics, Vanderbilt University, revised Jul 2006.
[Downloadable!] Mario J. Crucini & Mototsugu Shintani, 2002.
"Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data ,"
Working Papers
0222, Department of Economics, Vanderbilt University, revised Jul 2004.
[Downloadable!] Mario J. Crucini & Mototsugu Shintani & Takayuki Tsuruga, 2008.
"Persistence in Law-Of-One-Price Deviations: Evidence from Micro-Data ,"
Working Papers
0810, Department of Economics, Vanderbilt University.
[Downloadable!] Crucini, Mario J. & Shintani, Mototsugu, 2008.
"Persistence in law of one price deviations: Evidence from micro-data ,"
Journal of Monetary Economics ,
Elsevier, vol. 55(3), pages 629-644, April.
[Downloadable!] (restricted) Carlos Carvalho, 2005.
"Heterogeneity in Price Setting and the Real Effects of Monetary Shocks ,"
Macroeconomics
0509017, EconWPA, revised 12 Sep 2005.
[Downloadable!]
Pesaran, H.M., 2003.
"Estimation and Inference in Large Heterogeneous Panels with Cross Section Dependence ,"
Cambridge Working Papers in Economics
0305, Faculty of Economics, University of Cambridge.
[Downloadable!]
Other versions: Lutz Kilian, 1998.
"Small-Sample Confidence Intervals For Impulse Response Functions ,"
The Review of Economics and Statistics ,
MIT Press, vol. 80(2), pages 218-230, May.
[Downloadable!] (restricted)
Peter C. B. Phillips & Donggyu Sul, 2003.
"Dynamic panel estimation and homogeneity testing under cross section dependence * ,"
Econometrics Journal ,
Royal Economic Society, vol. 6(1), pages 217-259, 06.
[Downloadable!] (restricted)
Boyd, Derick & Smith, Ron, 1999.
"Testing for Purchasing Power Parity: Econometric Issues and an Application to Developing Countries ,"
Manchester School ,
University of Manchester, vol. 67(3), pages 287-303, June.
[Downloadable!] (restricted)
Frankel, Jeffrey A. & Rose, Andrew K., 1996.
"A panel project on purchasing power parity: Mean reversion within and between countries ,"
Journal of International Economics ,
Elsevier, vol. 40(1-2), pages 209-224, February.
[Downloadable!] (restricted)
Other versions:
Jeffrey A. Frankel & Andrew K. Rose, 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
NBER Working Papers
5006, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Jeffrey A. Frankel and Andrew K. Rose., 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
Center for International and Development Economics Research (CIDER) Working Papers
C95-052, University of California at Berkeley.
Frankel, Jeffrey A & Rose, Andrew K, 1995.
"A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries ,"
CEPR Discussion Papers
1128, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Dr. Peter Kenning & Hilke Plassmann, 2004.
"NeuroEconomics ,"
Experimental
0412005, EconWPA.
[Downloadable!]
Full
references Cited by : (explanations , 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.)
Giorgio Fazio & Peter McAdam & Ronald MacDonald, 2007.
"Disaggregate Real Exchange Rate Behaviour ,"
Open Economies Review ,
Springer, vol. 18(4), pages 389-404, September.
[Downloadable!] (restricted)
Other versions: Christian Broda & David E. Weinstein, 2008.
"Understanding International Price Differences Using Barcode Data ,"
NBER Working Papers
14017, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Berka, Martin, 2006.
"Non-linear adjustment in law of one price deviations and physical characteristics of goods ,"
MPRA Paper
8606, University Library of Munich, Germany, revised Dec 2007.
[Downloadable!]
Other versions:
Access and
download statistics Did you know? About 1000 journals are listed on RePEc .
This page was last updated on 2009-11-25.
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 .