Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/78061 
Year of Publication: 
2003
Series/Report no.: 
CFS Working Paper No. 2001/13
Publisher: 
Goethe University Frankfurt, Center for Financial Studies (CFS), Frankfurt a. M.
Abstract: 
We use consumer price data for 205 cities/regions in 21 countries to study PPP deviations before, during and after the major currency crises of the 1990s. We combine data from industrialized nations in North America (Unites States, Canada and Mexico), Europe (Germany, Italy, Spain and Portugal), Asia (Japan and South Korea), and Oceania (Australia and New Zealand) with corresponding data from emerging market economies in South America (Argentina, Bolivia, Brazil, Columbia) and Asia (India, Indonesia, Malaysia, Philippines, Taiwan, Thailand). By doing so, we confirm previous results that both distance and border explain a significant amount of relative price variation across different locations. We also find that currency attacks had major disintegration effects by considerably increasing these border effects and by raising within-country relative price dispersion in emerging market economies. These effects are found to be quite persistent since relative price volatility across emerging markets today is still significantly larger than a decade ago.
Subjects: 
relative price volatility
spatial data
real exchange rate volatility
law of one price
purchasing power parity
currency crisis
contagion
JEL: 
F40
F41
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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