Abstract

http://ssrn.com/abstract=1920666
 


 



Exchange Rate Misalignment Estimates - Sources of Differences


Yin-Wong Cheung


City University of Hong Kong - Department of Economics & Finance; University of California at Santa Cruz - Department of Economics

Eiji Fujii


Kwansei Gakuin University - School of Economics; CESifo (Center for Economic Studies and Ifo Institute)

August 31, 2011

CESifo Working Paper Series No. 3555

Abstract:     
We study the differences of currency misalignment estimates obtained from alternative datasets derived from two International Comparison Program (ICP) surveys. A decomposition exercise reveals that the year 2005 misalignment estimates are substantially affected by the ICP price revision. Further, we find that differences in misalignment estimates are systematically affected by a country’s participation status in the ICP survey and its data quality – a finding that casts doubt on the economic and policy relevance of these misalignment estimates. The patterns of changes in the estimated degree of misalignment across individual countries, as illustrated by the BRIC economies, are quite variable.

Number of Pages in PDF File: 50

Keywords: Penn effect eegression, data revision, PPP-based data, measurement factors, economic factors

JEL Classification: F310, F410, E010, C310

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Date posted: September 1, 2011  

Suggested Citation

Cheung, Yin-Wong and Fujii, Eiji, Exchange Rate Misalignment Estimates - Sources of Differences (August 31, 2011). CESifo Working Paper Series No. 3555. Available at SSRN: http://ssrn.com/abstract=1920666

Contact Information

Yin-Wong Cheung
City University of Hong Kong - Department of Economics & Finance ( email )
83 Tat Chee Avenue
Kowloon
Hong Kong
University of California at Santa Cruz - Department of Economics ( email )
1156 High Street
Santa Cruz, CA 95064
United States
Eiji Fujii (Contact Author)
Kwansei Gakuin University - School of Economics ( email )
1-155 Uegahara Ichiban-cho
Nishinomiya
Japan
CESifo (Center for Economic Studies and Ifo Institute) ( email )
Poschinger Str. 5
Munich, DE-81679
Germany
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