Disaggregate Real Exchange Rate Behaviour

Giorgio Fazio, Ronald MacDonald () and Peter McAdam ()

Working Papers from Department of Economics, University of Glasgow

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 eleven 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.

Keywords: Real Exchange Rates; Sectoral Prices; Panel Data Methods (search for similar items in EconPapers)
JEL-codes: F31 F41 C33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba
Date: 2007-07
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Related works:
Journal Article: Disaggregate Real Exchange Rate Behaviour (2007)
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Persistent link: http://EconPapers.repec.org/RePEc:gla:glaewp:2007_19

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