Engel, Charles (1996) \Long-run PPP may not hold after all", NBER Working Paper No.5646. Home/Search Document Details and Download
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Monetary Shocks And Real Exchange Rates - Rogers (1998) (1 citation) (Correct)
.... several authors have argued that as an empirical matter it is impossible to distinguish between an I(0) and an I(1) series in any finite sample [Blough (1992) Faust (1995) Although Froot and Rogoff (1995) describe an emerging consensus concerning mean reversion of real exchange rates, Engel (1996) argues that tests on long term real exchange rate data have tended to over reject the unit root null, since there are serious size distortions in tests on a random variable such as this one that may contain a stationary but persistent component and a non stationary component. O Connell (1996) has ....
Engel, C., 1996. Long-Run PPP May Not Hold After All. University of Washington.
Pricing-to-Market, Staggered Contracts, and Real Exchange.. - Bergin, Feenstra (1999) (3 citations) (Correct)
....exchange rate with the U.S. dollar, using quarterly data from International Financial Statistics. # See Froot and Rogoff (1995) for a summary of the time series literature. Several studies suggest real exchange rate deviations have a half life of about four to five years. Some studies, such as Engel (1999), cast doubt on whether the real exchange rate is even mean reverting. 1 First developed in a partial equilibrium setting (see Dornbusch (1987) Krugman (1987) Knetter (1989) and Marston (1990) pricing to market has been adapted to general equilibrium settings by Betts and Devereux (1996, ....
Engel, Charles, 1999, "Long-Run PPP May Not Hold After All," forthcoming in Journal of International Economics.
Intra-National, Intra-Continental, and Intra-Planetary PPP - Engel, Hendrickson, Rogers (1997) Self-citation (Charles) (Correct)
....some groups of countries appear to be stationary, and others appear to have unit roots, even when the panels are the same size and length. It may be that this occurs because those authors have not sufficiently allowed for correlation of innovations, as we have attempted to do in this paper. But, Engel (1996) raises the issue that standard tests of PPP are more likely to falsely reject the presence of a unit root when there is a stationary component that dominates the dynamics of the movement of the real exchange rate in the short run. Within country relative prices across cities are not very ....
Engel, Charles, 1996, Long-run PPP may not hold after all, National Bureau of Economics, working paper no. 5646.
The Uncertain Trend in U.S. GDP - Murray, Nelson (1999) Self-citation (Charles) (Correct)
....and Plosser and emphasized by Christiano and Eichenbaum (1990) among others. As noted above, Cochrane (1991) has identified a corresponding observational equivalence between a trend stationary 14 process and one with a stochastic trend where the variance of the innovations is small enough, and Engel (1997) shows that an economically significant random walk component can be missed. Thus, the range of models that cannot be rejected by any finite data set must always include both unit root and trend stationary alternatives. We would like to know how wide that range is in any given case. To see the ....
Engel, Charles, 1997, "Long-run PPP may not hold after all," University of Washington discussion paper.
The Adjustment of Prices and the Adjustment of the Exchange Rate - Engel, Morley (2000) Self-citation (Charles) (Correct)
....For example, with fixed money demand, nominal prices could follow such a process if money supplies were exogenously generated as unit root processes. Equation (6) imposes long run purchasing power parity. Rogoff (1997) claims there is a growing consensus on this empirical regularity (however, see Engel (2000)) 6 Equation (3) indicates there are transitory deviations from purchasing power parity. It is easy to relate this model to stochastic versions of the RESP model. In section 2 we discuss the relationship in detail. It is useful now to point out the main contrast between this model and the RESP ....
Engel, Charles, 2000, Long-run PPP may not hold after all, Journal of International Economics, forthcoming.
The Behavior of the Real Exchange Rate: A Re-examination Using .. - Kuo, Mikkola (Correct)
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Engel, Charles (1996) \Long-run PPP may not hold after all", NBER Working Paper No.5646.
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