Price of recreational products and the exchange rate: an empirical investigation on US data

Roberto Cellini and Alessandro Paolino

MPRA Paper from University Library of Munich, Germany

Abstract: The paper analyses the cointegration relationships and the causal links between the exchange rate of the US Dollar, on the one side, and different price indices of US products on the other side. Data are of monthly frequency and cover a period of two or three decades. We show that the exchange rate cointegrate with the Consumer Price Index and with the prices indices of several agricultural, manufactured and service goods; moreover a one-direction causal link is present, running from price to exchange rate. On the opposite, cointegrating relationships between exchange rate and price indices do not exist in the case of recreational products with “cultural” content. Tentative theoretical explanations are proposed.

Keywords: Price Index; Exchange Rate; Cointegration; Causality (search for similar items in EconPapers)
JEL-codes: C22 F13 Z11 (search for similar items in EconPapers)
Date: 2007-10
New Economics Papers: this item is included in nep-ifn, nep-mkt and nep-tur
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:5194

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