Nominal And Real Exchange Rates And Purchasing Power Parity During The Guatemalan Float, 1897-1922
From around 1897 until 1924 the Guatemalan peso was a fiat currency whose exchange value floated against the U.S. dollar. The behavior of the nominal exchange rate is consistent with purchasing power parity. The hypothesis that the elasticities of the exchange rate with respect to the domestic money supply and foreign price level are plus 1 and minus 1 cannot be rejected. The exchange rate, money supply and foreign price level each appear to follow a random walk with drift but are cointegrated, implying a stationary real exchange rate. The behavior of the real exchange rate is consistent with fundamentals. Terms of trade improvements and years of good coffee harvests are associated with real appreciation. The WWI period, which likely diminished or reversed long term capital inflows, is associated with real depreciation.
Volume (Year): 27 (2002)
Issue (Month): 2 (December)
|Contact details of provider:|| Web page: http://www.jed.or.kr/|
More information through EDIRC
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.:
- Shiller, Robert J. & Perron, Pierre, 1985.
"Testing the random walk hypothesis : Power versus frequency of observation,"
Elsevier, vol. 18(4), pages 381-386.
- Pierre Perron & Robert J. Shiller, 1984. "Testing the Random Walk Hypothesis: Power Versus Frequency of Observation," Cowles Foundation Discussion Papers 732, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller & Pierre Perron, 1985. "Testing the Random Walk Hypothesis: Power versus Frequency of Observation," NBER Technical Working Papers 0045, National Bureau of Economic Research, Inc.
- Stock, James H & Watson, Mark W, 1988. "Variable Trends in Economic Time Series," Journal of Economic Perspectives, American Economic Association, vol. 2(3), pages 147-174, Summer.
- Neary, Peter, 1988.
"Determinants of the Equilibrium Real Exchange Rate,"
American Economic Review,
American Economic Association, vol. 78(1), pages 210-215, March.
- Neary, J Peter, 1987. "Determinants of the Equilibrium Real Exchange Rate," CEPR Discussion Papers 209, C.E.P.R. Discussion Papers.
- J. Peter Neary, 1987. "Determinants of the equilibrium real exchange rate," Working Papers 198748, School of Economics, University College Dublin.
- Bulmer-Thomas,Victor, 1987. "The Political Economy of Central America since 1920," Cambridge Books, Cambridge University Press, number 9780521348393.
- repec:bla:restud:v:57:y:1990:i:1:p:99-125 is not listed on IDEAS
- Grilli, Vittorio & Kaminsky, Graciela, 1991. "Nominal exchange rate regimes and the real exchange rate : Evidence from the United States and Great Britain, 1885-1986," Journal of Monetary Economics, Elsevier, vol. 27(2), pages 191-212, April.
- McNown, Robert & S. Wallace, Myles, 1989. "National price levels, purchasing power parity, and cointegration: a test of four high inflation economies," Journal of International Money and Finance, Elsevier, vol. 8(4), pages 533-545, December.
- Hansen, Bruce E., 1992.
"Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends,"
Journal of Econometrics,
Elsevier, vol. 53(1-3), pages 87-121.
- Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
- Tom Doan, "undated". "POTESTRESIDS: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration on 1st stage residuals," Statistical Software Components RTS00248, Boston College Department of Economics.
- Tom Doan, "undated". "POTEST: RATS procedure to perform Phillips-Ouliaris-Hansen test for Cointegration," Statistical Software Components RTS00247, Boston College Department of Economics.
- Tom Doan, "undated". "FM: RATS procedure to estimate cointegrating vectors using Fully Modified Least Squares," Statistical Software Components RTS00069, Boston College Department of Economics.
- Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
- Cheung, Yin-Wong & Lai, Kon S., 1993. "Long-run purchasing power parity during the recent float," Journal of International Economics, Elsevier, vol. 34(1-2), pages 181-192, February.
- Frenkel, Jacob A., 1978. "Purchasing power parity : Doctrinal perspective and evidence from the 1920s," Journal of International Economics, Elsevier, vol. 8(2), pages 169-191, May.
- Engle, Robert & Granger, Clive, 2015.
"Co-integration and error correction: Representation, estimation, and testing,"
Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
- Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-276, March.
- Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584-584.
- Teitel, Simon & Colman Sercovich, Francisco, 1984. "Latin America," World Development, Elsevier, vol. 12(5-6), pages 645-660.
- Dornbusch, Rudiger, 1975. "Exchange Rates and Fiscal Policy in a Popular Model of International Trade," American Economic Review, American Economic Association, vol. 65(5), pages 859-871, December.
- Ardeni, Pier Giorgio & Lubian, Diego, 1989. "Purchasing power parity during the 1920s," Economics Letters, Elsevier, vol. 30(4), pages 357-362, October.
- Taylor, Mark P. & McMahon, Patrick C., 1988. "Long-run purchasing power parity in the 1920s," European Economic Review, Elsevier, vol. 32(1), pages 179-197, January.
- Stock, James H, 1987. "Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors," Econometrica, Econometric Society, vol. 55(5), pages 1035-1056, September.
- Alston Flynn, N. & Boucher, Janice L., 1993. "Tests of long-run Purchasing Power Parity using alternative methodologies," Journal of Macroeconomics, Elsevier, vol. 15(1), pages 109-122. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:jed:journl:v:27:y:2002:i:2:p:127-142. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sung Y. Park)
If references are entirely missing, you can add them using this form.