WEKO3
アイテム
Adjustment Speeds of Nominal Exchange Rates and Prices toward Purchasing Power Parity
http://hdl.handle.net/10086/13508
http://hdl.handle.net/10086/13508d573be41-40fc-40f3-8296-f772045d476c
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
wp2005-11a.pdf (415408 bytes)
|
|
| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 公開日 | 2017-05-20 | |||||||||||
| タイトル | ||||||||||||
| タイトル | Adjustment Speeds of Nominal Exchange Rates and Prices toward Purchasing Power Parity | |||||||||||
| 言語 | en | |||||||||||
| 作成者 |
岩壷, 健太郎
× 岩壷, 健太郎
|
|||||||||||
| 寄与者 | ||||||||||||
| 寄与者タイプ | Editor | |||||||||||
| 姓名 | Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University | |||||||||||
| 言語 | en | |||||||||||
| アクセス権 | ||||||||||||
| アクセス権 | open access | |||||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Purchasing power parity | |||||||||||
| 主題 | ||||||||||||
| 主題Scheme | Other | |||||||||||
| 主題 | Exchange rate regimes | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Other | |||||||||||
| 内容記述 | First draft: September 28, 2005 | |||||||||||
| 言語 | en | |||||||||||
| 内容記述 | ||||||||||||
| 内容記述タイプ | Abstract | |||||||||||
| 内容記述 | The conventional view, as expounded by sticky-price models, is that price adjustment determines the PPP reversion rate. Contrary to this, recent studies indicate that nominal exchange rates converge much more slowly to PPP than nominal prices. This paper investigates how adjustment speeds of nominal exchange rates and prices toward PPP are affected by exchange rate regimes by employing a vector error correction model (VECM). We find evidence from 22 OECD countries that the adjustment speed of nominal exchange rates toward PPP is faster than that of prices as nominal exchange rates are relatively stable. This suggests that nominal exchange rate volatility has significant bearings on the variables primarily driving adjustment toward the long-run equilibrium level defined by PPP. We also show that the real exchange rates converge faster to the long-run PPP level for the relatively stable exchange rates, consistent with the evidence to support the significant mean reversion of real exchange rates for the gold standard period. | |||||||||||
| 出版者 | ||||||||||||
| 出版者 | Institute of Economic Research, Hitotsubashi University | |||||||||||
| 日付 | ||||||||||||
| 日付 | 2006-01 | |||||||||||
| 日付タイプ | Issued | |||||||||||
| 言語 | ||||||||||||
| 言語 | eng | |||||||||||
| 資源タイプ | ||||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||||
| 資源タイプ | technical report | |||||||||||
| 出版タイプ | ||||||||||||
| 出版タイプ | VoR | |||||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||||
| 関連情報 | ||||||||||||
| 関連タイプ | isPartOf | |||||||||||
| 関連名称 | CEI Working Paper Series ; No. 2005-11 | |||||||||||
| 関連情報 | ||||||||||||
| 識別子タイプ | URI | |||||||||||
| 関連識別子 | http://cei.ier.hit-u.ac.jp/index.html | |||||||||||
| 収録物識別子 | ||||||||||||
| 収録物識別子タイプ | NCID | |||||||||||
| 収録物識別子 | AA11590659 | |||||||||||
| ページ数 | ||||||||||||
| ページ数 | 22 | |||||||||||
| JEL | ||||||||||||
| 値 | F31 | |||||||||||
