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Have Absolute Price Levels Converged For Developed Economies? The Evidence Since 1870, Lein-Lein Chen, Seungmook Choi, John Devereux
Have Absolute Price Levels Converged For Developed Economies? The Evidence Since 1870, Lein-Lein Chen, Seungmook Choi, John Devereux
CRIF Working Paper series
We compare price level and income convergence since 1870 for eleven developed economies using implicit price deflators derived from the GDP data of Maddison (1995, 2001 and 2003). We find that “sigma” and “beta” convergence for prices occurs later and to a lesser extent than income. Price levels converge after 1950 while income convergence begins in the 1880’s. We find no evidence for stochastic convergence or for “club” price convergence. JEL codes F3, F4.
Fiscal And Current Account Balances In A Model With Sticky Prices And Distortionary Taxes, G.C. Lim, Paul D. Mcnelis
Fiscal And Current Account Balances In A Model With Sticky Prices And Distortionary Taxes, G.C. Lim, Paul D. Mcnelis
CRIF Working Paper series
This paper examines the interaction of fiscal and current account balances in open economies subject to monopolistic competition with sticky price-setting behavior, adjustment costs for investment, and distortionary labor income taxes. We find that the elasticity of exports with respect to the real exchange rate influences the correlation between the balances. In particular, in simulations with recurring shocks to productivity, we find that the balances are positively correlated for a range of export elasticities. However, for simulations with recurring real government expenditure shocks, we find that the balances are positively correlated under high export elasticity but negatively correlated under low …
Renminbi Revaluation, Euro Appreciation And Chinese Markets: What Can We Learn From Data?, Paul D. Mcnelis, Salih N. Neftçi
Renminbi Revaluation, Euro Appreciation And Chinese Markets: What Can We Learn From Data?, Paul D. Mcnelis, Salih N. Neftçi
CRIF Working Paper series
This paper examines financial market data to assess the likelihood of renminbi revaluation and its implications for Chinese share price increases, given the continuing appreciation of the Euro against the U.S. dollar. We find that the 3-month non-deliverable forward premia are key series linking these variables. The forward premia predict series A share-price changes, while Euro/US dollar exchange rates in turn predict foreward-premia. Bayesian models outperform standard linear models for forecasting performance.