Disaggregate real exchange rate behaviour

Fazio, G., McAdam, P. and MacDonald, R. (2007) Disaggregate real exchange rate behaviour. Open Economies Review, 18, pp. 389-404. (doi:10.1007/s11079-007-9055-3)

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Abstract

In this paper, we re-examine the “PPP Puzzle” using sectoral disaggregated data. Specifically, we first analyse the mean reversion speeds of real exchange rates for a number of different sectors in 11 industrial economies and then focus on relating these rates to variables identified in the literature as key determinants of CPI-based real exchange rates, namely: the trade balance, productivity and the mark up. In particular, we seek to understand to what extent the relationships existing at the aggregate level are borne out at the disaggregate level. We believe that this analysis can help shed light on the PPP puzzle.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: Fazio, G., McAdam, P., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Open Economies Review
Publisher:Springer
ISSN:0923-7992
ISSN (Online):1573-708X

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