Arbeitspapier
PPP in the Medium Run Despite Oil Shocks: The Case of Norway
Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during the post-Bretton Woods period, in which the Norwegian economy has experienced numerous real shocks such as discoveries of large petroleum reserves and oil price shocks. In particular, the behaviour of the Norwegian real and nominal exchange rates appears remarkably consistent with the PPP theory. Moreover, convergence towards PPP is relatively fast; the half-life of a deviation from parity is just about 1.5 years. We show that such deviations are eliminated by adjustments in the nominal exchange rate and we offer some explanations for the relatively fast convergence towards PPP.
- Sprache
-
Englisch
- ISBN
-
82-7553-194-2
- Erschienen in
-
Series: Working Paper ; No. 2002/4
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Construction and Estimation
Foreign Exchange
Open Economy Macroeconomics
purchasing power parity
real exchange rate
cointegration analysis
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Akram, Q. Farooq
- Norges Bank
Entstanden
- 2002
Ähnliche Objekte (12)
PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate
Fundamental determinants of the long run real exchange rate: The case of Norway
The importance of interest rates for forecasting the exchange rate
Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach
Nonlinear adjustment effects in the purchasing power parity
Fundamental determinants of the long run real exchange rate: The case of Norway
World-Wide Purchasing Power Parity
Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Oil Wealth and Real Exchange Rates: The FEER for Norway
Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
Multiple Unemployment Equilibria: Do Transitory Shocks Have Permanent Effects?
Modelling Inflation in the Euro Area
PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate
Fundamental determinants of the long run real exchange rate: The case of Norway
The importance of interest rates for forecasting the exchange rate
Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach
Nonlinear adjustment effects in the purchasing power parity
Fundamental determinants of the long run real exchange rate: The case of Norway
World-Wide Purchasing Power Parity
Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Oil Wealth and Real Exchange Rates: The FEER for Norway
Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
Multiple Unemployment Equilibria: Do Transitory Shocks Have Permanent Effects?
Modelling Inflation in the Euro Area
PPP Despite Real Shocks: An Empirical Analysis of the Norwegian Real Exchange Rate
Fundamental determinants of the long run real exchange rate: The case of Norway
The importance of interest rates for forecasting the exchange rate
Why has the Norwegian krone exchange rate been persistently weak? A fully simultaneous VAR approach
Nonlinear adjustment effects in the purchasing power parity
Fundamental determinants of the long run real exchange rate: The case of Norway
World-Wide Purchasing Power Parity
Oil price drivers, geopolitical uncertainty and oil exporters' currencies
Oil Wealth and Real Exchange Rates: The FEER for Norway
Testing for a Time-Varying Price-Cost Markup in the Euro Area Inflation Process
Multiple Unemployment Equilibria: Do Transitory Shocks Have Permanent Effects?