Disaggregate Real Exchange Rate Behaviour

Giorgio Fazio, Ronald MacDonald and Peter McAdam ()

Working Papers from Business School - 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: C33 F31 F41 (search for similar items in EconPapers)
Date: 2007-07
New Economics Papers: this item is included in nep-cba
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Disaggregate Real Exchange Rate Behaviour (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2007_19

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