SSRN Author: Gabriel TalmainGabriel Talmain SSRN Content
http://www.ssrn.com/author=329263
http://www.ssrn.com/rss/en-usThu, 21 Sep 2017 03:51:33 GMTeditor@ssrn.com (Editor)Thu, 21 Sep 2017 03:51:33 GMTwebmaster@ssrn.com (WebMaster)SSRN RSS Generator 1.0REVISION: Understanding the PPP Puzzle: The Dynamics of Real Exchange Rates Towards Their Time-Varying EquilibriumWe model the real exchange rates between the US and 18 OECD countries by an innovative dynamic process called integral correction mechanism, and allow a real exchange rate equilibrium determined by Harrod-Balassa-Samuelson effects. The Harrod-Balassa-Samuelson effect works through a direct channel and a terms of trade channel. We find that the terms of trade channel is significant in more countries than the direct channel. Using a popular smooth transition autoregression model as a benchmark, we find that our model often statistically outperforms the benchmark. And the origin of this superiority is that our model captures autocorrelation functions of the real exchange rates very well. Our model features that the real exchange rate reverts to its equilibrium very quickly in the short run but moves back and forth around the equilibrium in the long run. These particular dynamics help us understand Rogoff's PPP puzzle and forecast the real exchange rate.
http://www.ssrn.com/abstract=2672402
http://www.ssrn.com/1627090.htmlWed, 20 Sep 2017 16:12:19 GMTREVISION: Understanding the PPP Puzzle: The Dynamics of Real Exchange Rates Towards Their Time-Varying EquilibriumWe model the real exchange rates between the US and 18 OECD countries by an innovative dynamic process called integral correction mechanism, and allow a real exchange rate equilibrium determined by Harrod-Balassa-Samuelson effects. The Harrod-Balassa-Samuelson effect works through a direct channel and a terms of trade channel. We find that the terms of trade channel is significant in more countries than the direct channel. Using a popular smooth transition autoregression model as a benchmark, we find that our model often statistically outperforms the benchmark. And the origin of this superiority is that our model captures autocorrelation functions of the real exchange rates very well. Our model features that the real exchange rate reverts to its equilibrium very quickly in the short run but moves back and forth around the equilibrium in the long run. These particular dynamics help us understand Rogoff's PPP puzzle and forecast the real exchange rate.
http://www.ssrn.com/abstract=2672402
http://www.ssrn.com/1626576.htmlTue, 19 Sep 2017 11:26:02 GMTUpdate: Understanding the PPP Puzzle: The Dynamics of Real Exchange Rates Towards Their Time-Varying EquilibriumWe model the real exchange rates between the US and 18 OECD countries by an innovative dynamic process called integral correction mechanism, and allow a real exchange rate equilibrium determined by Harrod-Balassa-Samuelson effects. The Harrod-Balassa-Samuelson effect works through a direct channel and a terms of trade channel. We find that the terms of trade channel is significant in more countries than the direct channel. Using a popular smooth transition autoregression model as a benchmark, we find that our model often statistically outperforms the benchmark. And the origin of this superiority is that our model captures autocorrelation functions of the real exchange rates very well. Our model features that the real exchange rate reverts to its equilibrium very quickly in the short run but moves back and forth around the equilibrium in the long run. These particular dynamics help us understand Rogoff's PPP puzzle and forecast the real exchange rate.<br/><i>The Paper was removed</i>
http://www.ssrn.com/abstract=2672402
http://www.ssrn.com/1624738.htmlWed, 13 Sep 2017 01:10:02 GMTREVISION: Understanding the PPP Puzzle: The Dynamics of Real Exchange Rates Towards Their Time-Varying EquilibriumWe model the real exchange rates between the US and 18 OECD countries by an innovative dynamic process called integral correction mechanism, and allow a real exchange rate equilibrium determined by Harrod-Balassa-Samuelson effects. The Harrod-Balassa-Samuelson effect works through a direct channel and a terms of trade channel. We find that the terms of trade channel is significant in more countries than the direct channel. Using a popular smooth transition autoregression model as a benchmark, we find that our model often statistically outperforms the benchmark. And the origin of this superiority is that our model captures autocorrelation functions of the real exchange rates very well. Our model features that the real exchange rate reverts to its equilibrium very quickly in the short run but moves back and forth around the equilibrium in the long run. These particular dynamics help us understand Rogoff's PPP puzzle and forecast the real exchange rate.
http://www.ssrn.com/abstract=2672402
http://www.ssrn.com/1597692.htmlTue, 06 Jun 2017 12:10:22 GMTREVISION: Understanding PPP Puzzle Using a New Dynamics and Time-Varying EquilibriumRogoff asked how could the slow rate of reversal towards PPP be reconciled with the high volatility of the real exchange rate. After this well-known PPP puzzle, literature focuses on econometric models either with new mechanisms of dynamics or time-varying equilibrium to find shorter half-life so that the puzzle can be partially solved. Recent researchers examine the PPP puzzle by combining the two previous approaches into a single framework. This paper follows this strategy. We find that a model with Integral Correction Mechanism (ICM) represents the real exchange rate dynamics very well, significantly better than existing alternatives, such as those based on the popular Smooth Transition Autoregression (STAR). Finally, we investigate the possible origin of the ICM effect and find it could be related to its power in explaining the spectrum and autocorrelation function of real exchange rate, which also implies a new way to understand the PPP puzzle.
http://www.ssrn.com/abstract=2672402
http://www.ssrn.com/1544435.htmlThu, 17 Nov 2016 15:54:43 GMT