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Citations for "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries"

by Frankel, Jeffrey A & Rose, Andrew K

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  1. Yangru Wu, 1997. "The trend behavior of real exchange rates: Evidence from OECD countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 133(2), pages 282-296, 06.
  2. Efthymios Pavlidis & Ivan Paya & David Peel, 2010. "Further empirical evidence on the consumption-real exchange rate anomaly," Working Papers 447022, Lancaster University Management School, Economics Department.
  3. Cho, Guedae & Sheldon, Ian M. & McCorriston, Steve, 2000. "Exchange Rate Misalignment And Agricultural Trade," 2000 Annual meeting, July 30-August 2, Tampa, FL 21824, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  4. 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.
  5. Claude Lopez, 2004. "Evidence of Purchasing Power Parity for the Floating Regime Period," University of Cincinnati, Economics Working Papers Series 2004-01, University of Cincinnati, Department of Economics, revised Mar 2006.
  6. FitzGerald, John & Honohan, Patrick & FitzGerald, John & Honohan, Patrick, 1996. "Overall Macroeconomic Assessment," Book Chapters, in: Baker, Terence J. (ed.), Economic Implications for Ireland of EMU, chapter 6, pages 143-169 Economic and Social Research Institute (ESRI).
  7. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
  8. Menzie David Chinn, 1998. "The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates," Working Papers 31, Oesterreichische Nationalbank (Austrian Central Bank).
  9. 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, Centre for Economic and Regional Studies, Hungarian Academy of Sciences.
  10. César Calderón & Roberto Duncan, 2003. "Purchasing power parity in an emerging market economy: a long- span study for Chile," Estudios de Economia, University of Chile, Department of Economics, vol. 30(1 Year 20), pages 103-132, June.
  11. Cheung, Yin-Wong & Chinn, Menzie & Fujii, Eiji, 2001. "Market Structure and the Persistence of Sectoral Real Exchange Rates," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(2), pages 95-114, April.
  12. Ivan Paya & David A. Peel, 2005. "A New Analysis Of The Determinants Of The Real Dollar-Sterling Exchange Rate: 1871-1994," Working Papers. Serie AD 2005-16, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  13. Michael Curran & Adnan Velic, 2016. "Real Exchange Rate Persistence and Country Characteristics," Villanova School of Business Department of Economics and Statistics Working Paper Series 31, Villanova School of Business Department of Economics and Statistics.
  14. Yihui Lan, 2001. "The Long-Run Value of Currencies: A Big Mac Perspective," Economics Discussion / Working Papers 01-17, The University of Western Australia, Department of Economics.
  15. Syed A. Basher & Josep Lluís Carrion-i-Silvestre, 2007. "Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence," IREA Working Papers 200710, University of Barcelona, Research Institute of Applied Economics, revised May 2007.
  16. repec:lan:wpaper:2623 is not listed on IDEAS
  17. Papell, David H., 2002. "The great appreciation, the great depreciation, and the purchasing power parity hypothesis," Journal of International Economics, Elsevier, vol. 57(1), pages 51-82, June.
  18. Meier, Carsten-Patrick, 1997. "Assessing convergence to purchasing power parity: a panel study for ten OECD countries," Open Access Publications from Kiel Institute for the World Economy 1719, Kiel Institute for the World Economy (IfW).
  19. M. Ege Yazgan & Hakan Yilmazkuday, 2016. "High versus low inflation: implications for price-level convergence," Empirical Economics, Springer, vol. 50(4), pages 1527-1563, June.
  20. Catherine S. F. Ho & M. Ariff, 2009. "A Test of Purchasing Power Parity: Asia Pacific and Latin America," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 5(2), pages 33-53.
  21. Kempa, Bernd, 2003. "An oversimplified inquiry into the sources of exchange rate variability," IBES Diskussionsbeiträge 129, University of Duisburg-Essen, Institute of Business and Economic Studie (IBES).
  22. Georgios Chortareas & George Kapetanios, 2004. "Getting PPP Right: Identifying Mean Reverting Real Exchange Rates in Panels," Money Macro and Finance (MMF) Research Group Conference 2004 32, Money Macro and Finance Research Group.
  23. Phiri, Andrew, 2014. "Purchasing power parity (PPP) between South Africa and her main currency exchange partners: Evidence from asymmetric unit root tests and threshold co-integration analysis," MPRA Paper 53659, University Library of Munich, Germany.
  24. Phillips, Peter & Sul, Donggyu, 2002. "Dynamic Panel Estimation and Homogenity Testing Under Cross Section Dependence," Working Papers 194, Department of Economics, The University of Auckland.
  25. Goldberg, Pinelopi & Verboven, Frank, 2001. "Market Integration and Convergence to the Law of One Price: Evidence from the European Car Market," CEPR Discussion Papers 2926, C.E.P.R. Discussion Papers.
  26. Chang, Yoosoon, 2002. "Nonlinear IV Unit Root Tests in Panels with Cross-Sectional Dependency," Working Papers 2000-08, Rice University, Department of Economics.
  27. Barry Eichengreen and Charles Wyplosz., 1995. "What Do Currency Crises Tell Us About the Future of the International Monetary System?," Center for International and Development Economics Research (CIDER) Working Papers C95-057, University of California at Berkeley.
  28. Papell, David H. & Theodoridis, Hristos, 1998. "Increasing evidence of purchasing power parity over the current float," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 41-50, February.
  29. Giulietti, Monica & Otero, Jesus & Waterson, Michael, 2007. "Pricing behaviour under competition in the UK electricity supply industry," The Warwick Economics Research Paper Series (TWERPS) 790, University of Warwick, Department of Economics.
  30. Matthias Lutz, 2002. "Beyond Burgernomics and MacParity: Exchange Rate Forecasts Based on the Law of One Price," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 D4-1, International Conferences on Panel Data.
  31. Dias, Daniel & Robalo Marques, Carlos, 2005. "Using mean reversion as a measure of persistence," Working Paper Series 0450, European Central Bank.
  32. Tri WIDODO, 2015. "Purchasing Power Parity And Productivity-Bias Hypothesis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 16, pages 9-38, December.
  33. Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
  34. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages C1-C25, March.
  35. Brissimis, Sophocles N. & Sideris, Dimitris A. & Voumvaki, Fragiska K., 2005. "Testing long-run purchasing power parity under exchange rate targeting," Journal of International Money and Finance, Elsevier, vol. 24(6), pages 959-981, October.
  36. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  37. Balvers, Ronald J. & Bergstrand, Jeffrey H., 2002. "Government expenditure and equilibrium real exchange rates," Journal of International Money and Finance, Elsevier, vol. 21(5), pages 667-692, October.
  38. Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
  39. Ronald MacDonald & Luca Antonio Ricci, 2005. "The Real Exchange Rate And The Balassa-Samuelson Effect: The Role Of The Distribution Sector," Pacific Economic Review, Wiley Blackwell, vol. 10(1), pages 29-48, 02.
  40. Baharumshah, Ahmad Zubaidi & Chan, Tze-Haw & Aggarwal, Raj, 2006. "The Changing Dynamics of the East Asian Real Exchange Rates after the Financial Crisis: Further Evidence on Mean Reversion," MPRA Paper 6090, University Library of Munich, Germany, revised 22 Nov 2007.
  41. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  42. Rod Tyers & Ying Zhang, 2014. "Real exchange rate determination and the China puzzle," Asian-Pacific Economic Literature, Asia Pacific School of Economics and Government, The Australian National University, vol. 28(2), pages 1-32, November.
  43. Ronald MacDonald & Luca Ricci, 2001. "PPP and the Balassa Samuelson Effect: the Role of the Distribution Sector," CESifo Working Paper Series 442, CESifo Group Munich.
  44. Alan M. Taylor, 2002. "A Century Of Purchasing-Power Parity," The Review of Economics and Statistics, MIT Press, vol. 84(1), pages 139-150, February.
  45. Cheung, Yin-Wong & Lai, Kon S., 2001. "Long memory and nonlinear mean reversion in Japanese yen-based real exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 115-132, February.
  46. Alfredo Martín-Oliver & Vicente Salas-Fumás & Jesús Saurina, 2005. "A test of the law of one price in retail banking," Working Papers 0530, Banco de España;Working Papers Homepage.
  47. Alan M. Taylor, 1996. "On the Costs of Inward-Looking Development: Historical Perspectives on Price Distortions, Growth, and Divergence in Latin American from 1930s - 1980s," NBER Working Papers 5432, National Bureau of Economic Research, Inc.
  48. Renato Flôres & Philippe Jorion & Pierre-Yves Preumont & Ariane Szafarz, 1999. "Multivariate Unit root Tests of the PPP Hypothesis," ULB Institutional Repository 2013/711, ULB -- Universite Libre de Bruxelles.
  49. Rossi, Barbara, 2002. "Confidence Intervals for Half-life Deviations from Purchasing Power Parity," Working Papers 02-08, Duke University, Department of Economics.
  50. Jan J.J. Groen, 1998. "The Monetary Exchange Rate Model as a Long-Run Phenomenon," Tinbergen Institute Discussion Papers 98-082/2, Tinbergen Institute.
  51. Peel, David & Sarno, Lucio & Taylor, Mark P, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Towards a Solution to the Purchasing Power Parity Puzzles," CEPR Discussion Papers 2658, C.E.P.R. Discussion Papers.
  52. Vikas Kakkar, 2003. "The Relative Price of Nontraded Goods and Sectoral Total Factor Productivity: An Empirical Investigation," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 444-452, May.
  53. Peter Pedroni, 2001. "Purchasing Power Parity Tests In Cointegrated Panels," The Review of Economics and Statistics, MIT Press, vol. 83(4), pages 727-731, November.
  54. Sarno, Lucio & Taylor, Mark P, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
  55. Bergman, Michael & Cheung, Yin-Wong & Lai, Kon S., 2000. "Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices," Working Papers 2000:4, Lund University, Department of Economics.
  56. Luca Fanelli & Emanuele Bacchiocchi, 2005. "Testing the purchasing power parity through I(2) cointegration techniques," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 749-770.
  57. Herwartz, Helmut & Reimers, Hans-Eggert, 2002. "Testing the purchasing power parity in pooled systems of error correction models," Japan and the World Economy, Elsevier, vol. 14(1), pages 45-62, January.
  58. Gadea, Maria-Dolores & Montanes, Antonio & Reyes, Marcelo, 2004. "The European Union currencies and the US dollar: from post-Bretton-Woods to the Euro," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1109-1136.
  59. Cabolis, Christos & Clerides, Sofronis & Ioannou, Ioannis & Senft, Daniel, 2007. "A textbook example of international price discrimination," Economics Letters, Elsevier, vol. 95(1), pages 91-95, April.
  60. Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
  61. Dilem Yıldırım, 2016. "Empirical Investigation of Purchasing Power Parity for Turkey: Evidence from Recent Nonlinear Unit Root Tests," ERC Working Papers 1604, ERC - Economic Research Center, Middle East Technical University, revised Apr 2016.
  62. Pan Yotopoulos & Yasuyuki Sawada, 2006. "Exchange rate misalignment: a new test of long-run PPP based on cross-country data," Applied Financial Economics, Taylor & Francis Journals, vol. 16(1-2), pages 127-134.
  63. Chien-Fu Chen & Chien-an Andy Wang & Chung-Hua Shen, 2007. "Does PPP hold for Big Mac price or consumer price index? Evidence from panel cointegration," Economics Bulletin, AccessEcon, vol. 6(16), pages 1-15.
  64. Charles Wyplosz, 2001. "A Monetary Union in Asia? Some European Lessons," RBA Annual Conference Volume, in: David Gruen & John Simon (ed.), Future Directions for Monetary Policies in East Asia Reserve Bank of Australia.
  65. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
  66. Simeon Coleman & Juan Carlos Cuestas & Estefanía Mourelle, 2011. "Investigating the oil price-exchange rate nexus: Evidence from Africa," Working Papers 2011015, The University of Sheffield, Department of Economics, revised May 2011.
  67. Husted, Steven & MacDonald, Ronald, 1998. "Monetary-based models of the exchange rate: a panel perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(1), pages 1-19, January.
  68. Moon, H.R. & Perron, P., 2000. "The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purching Power Parity," Cahiers de recherche 2000-03, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  69. David C. Parsley & Shang-Jin Wei, 1996. "Convergence to the Law of One Price Without Trade Barriers or Currency Fluctuations," NBER Working Papers 5654, National Bureau of Economic Research, Inc.
  70. Koedijk, Kees G. & Kool, Clemens J. M. & Schotman, Peter C. & van Dijk, Mathijs A., 2002. "The cost of capital in international financial markets: local or global?," Journal of International Money and Finance, Elsevier, vol. 21(6), pages 905-929, November.
  71. Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999. "Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries," Journal of International Economics, Elsevier, vol. 47(2), pages 245-266, April.
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  73. Jenkins, Michael A. & Snaith, Sean M., 2005. "Tests of Purchasing Power Parity via cointegration analysis of heterogeneous panels with consumer price indices," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 345-362, June.
  74. Astorga, Pablo, 2012. "Mean reversion in long-horizon real exchange rates: Evidence from Latin America," Journal of International Money and Finance, Elsevier, vol. 31(6), pages 1529-1550.
  75. Taylor, Mark P. & Sarno, Lucio, 1998. "The behavior of real exchange rates during the post-Bretton Woods period," Journal of International Economics, Elsevier, vol. 46(2), pages 281-312, December.
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  77. Hali J. Edison & Joseph E. Gagnon & William R. Melick, 1994. "Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era," International Finance Discussion Papers 465, Board of Governors of the Federal Reserve System (U.S.).
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  79. Jin, Hyun Joung & Cho, Guedae & Koo, Won W., 2004. "Third-Country Effects on the Market Shares of U.S. Wheat in Asian Countries," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 36(03), December.
  80. Yoosoon Chang & Wonho Song, 2002. "Panel Unit Root Tests in the Presence of Cross-Sectional Dependency and Heterogeneity," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 B5-2, International Conferences on Panel Data.
  81. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  82. MacDonald, Ronald, 1998. "What determines real exchange rates?: The long and the short of it," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 8(2), pages 117-153, June.
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  87. Bjørnland, Hilde C. & Hungnes, Håvard, 2003. "Fundamental determinants of the long run real exchange rate: The case of Norway," Memorandum 23/2002, Oslo University, Department of Economics.
  88. Jörg Breitung & Bertrand Candelon, 2005. "Purchasing Power Parity during Currency Crises: A Panel Unit Root Test under Structural Breaks," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 141(1), pages 124-140, April.
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