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Price of recreational products and the exchange rate: an empirical investigation on US data

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Listed author(s):
  • Cellini, Roberto
  • Paolino, Alessandro

Abstract

The paper analyses the cointegration relationships and the causal links between the exchange rate of the US Dollar, on the one side, and different price indices of US products on the other side. Data are of monthly frequency and cover a period of two or three decades. We show that the exchange rate cointegrate with the Consumer Price Index and with the prices indices of several agricultural, manufactured and service goods; moreover a one-direction causal link is present, running from price to exchange rate. On the opposite, cointegrating relationships between exchange rate and price indices do not exist in the case of recreational products with “cultural” content. Tentative theoretical explanations are proposed.

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File URL: https://mpra.ub.uni-muenchen.de/5194/1/MPRA_paper_5194.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 5194.

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Date of creation: Oct 2007
Handle: RePEc:pra:mprapa:5194
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Keywords: Price Index; Exchange Rate; Cointegration; Causality;

Find related papers by JEL classification:

  • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • F13 - International Economics - - Trade - - - Trade Policy; International Trade Organizations

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Cited by:

  1. Hwa-Taek Lee & Gawon Yoon, 2013. "Does purchasing power parity hold sometimes? Regime switching in real exchange rates," Applied Economics, Taylor & Francis Journals, vol. 45(16), pages 2279-2294, June.

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