212 research outputs found
Optimum Currency Areas Structural Changes and the Endogeneity of the OCA Criteria: Evidence from Six New EU Member States
No full textThe present paper has two aims. The first aim is to test whether six new member states of the European Union (the six Central and Eastern European Countries) form an optimum currency area (OCA) with the eurozone, in an attempt to assess their readiness for euro adoption. The second aim is to examine whether the introduction of the euro in 1999 and the decision of the countries to seek to join the euro area created any forces fostering their convergence, evidence which would be in line with the theory on the endogeneity of the OCA criteria. Our findings indicate that the introduction of the euro did promote integration of the six new member states and that, at present, they are quite well aligned with the eurozone.EU enlargement; OCA; real exchange rates; cointegration; GPPP.
Testing for Long-Run PPP in a System Context: Evidence for the US, Germany and Japan
No full textThe present paper tests for the validity of long-run purchasing power parity (PPP) for the three key currencies of the recent floating exchange rate period, the US dollar, the German mark and the Japanese yen. The novelty of the paper is that the validity of the PPP conditions relating the economies of the US, Germany and Japan is tested in a system framework, which allows for possible interactions in the determination of the exchange rates and the prices of the three economies. Some form of causality among the variables of the system is also assessed empirically with the aid of weak exogeneity tests. The results illustrate the importance of the multilateral testing. Positive evidence for PPP is found: long-run PPP is supported for the US and Germany but also for the US and Japan, in contrast to evidence of earlier empirical studies. In addition, causality is found running from the US prices to the exchange rates and German and Japanese prices.Money demand; PPP, cointegration, causality
Foreign Exchange Intervention and Equilibrium Real Exchange Rates
No full textMonetary authorities intervene in the currency markets in order to pursue a monetary rule and/or to smooth exchange rate volatility caused by speculative attacks. In the present paper we investigate for possible intervention effects on the volatility of nominal exchange rates and the estimated equilibrium behaviour of real exchange rates. The main argument of the paper is that omission of intervention effects -when they are significant- would bias the ability to detect any PPP-based behaviour of the real exchange rates in the long run. Positive evidence for this argument comes from the experience of six Central and Eastern European economies, whose exchange markets are characterised by frequent interventions.Foreign Exchange Market Intervention; Real Exchange Rates; PPP.
The wage-price spiral in Greece : an application of the LSE methodology in systems of nonstationary variables
No full textDigitised version produced by the EUI Library and made available online in 2020
Multilateral versus bilateral testing for long run purchasing power parity : a cointegration analysis for the Greek Drachma
No full textDigitised version produced by the EUI Library and made available online in 2020
Purchasing Power Parity in economies in transition: evidence from Central and East European countries
No full textThe present study tests for the validity of long-run Purchasing Power Parity (PPP) for 17 European economies in transition. Analysis is performed following the methodological suggestions expressed in recent studies for PPP. Long-run PPP is initially tested for each economy vis-a-vis the USA, using the Johansen cointegration methodology and then for the whole set of countries using the Larsson et al. (2001) panel cointegration technique. The analysis provides support for long-run equilibria, but the coefficients of the estimated cointegrating vectors violate the symmetry and proportionality hypotheses suggested by PPP. We provide some arguments for these findings, based on the existing literature on transition and foreign exchange markets.
Real Exchange Rates over a Century: The Case of the Drachma/Sterling Rate, 1833-1939
No full textRecent studies on real exchange rates advocate the use of long samples in order to reveal the low frequency properties of the processes. The present paper contributes to this strand of the literature by exploiting recently released time series for the drachma/sterling rate for the period 1833-1939. This is an interesting period as it covers different exchange rate regimes and the effects of important historical events. In the paper, the mean-reverting behaviour of the real drachma/sterling exchange rate is initially examined applying univariate unit root tests and then the validity of Purchasing Power Parity (PPP) is tested using cointegration analysis. The results provide support for a weak PPP relationship, which turns out to be robust across different sub-periods characterised by different exchange rate regimes. Adjustment to PPP is reached at a relatively high speed and occurs via movements of the nominal exchange rate.real exchange rates; cointegration; PPP
Optimum currency areas, structural changes and the endogeneity of the OCA criteria: evidence from six new EU member states
No full textThis article has two aims. The first aim is to assess the potential for an Optimum Currency Area (OCA) of six New Member States (NMS) of the EU (Bulgaria, the Czech Republic, Hungary, Poland, Romania and Slovakia) with the eurozone, by applying the theory of the Generalized Purchasing Power Parity (G-PPP). The second aim is to examine whether the introduction of the euro in 1999 and the policy decision of the six countries to join the eurozone, have created any forces fostering their convergence - evidence which would be in line with the theory on the endogeneity of the OCA criteria. Our findings indicate that G-PPP holds for the real exchange rates of the six NMS for the post euro period, and that the introduction of the euro and the choice of the six economies to participate in the EU did promote their integration.
The subsumption of administrative disputes under arbitration within the Greek legal order
No full text- …
