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dc.contributor.authorBinder, Michaelen
dc.contributor.authorOffermanns, Christian J.en
dc.date.accessioned2007-11-02-
dc.date.accessioned2009-07-24T13:48:27Z-
dc.date.available2009-07-24T13:48:27Z-
dc.date.issued2007-
dc.identifier.piurn:nbn:de:hebis:30-48547en
dc.identifier.urihttp://hdl.handle.net/10419/25524-
dc.description.abstractIn this paper we revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we develop a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the long-run relationship between effective exchange rates and domestic as well as weighted foreign prices is a homogeneous function of a country's international investment position. We find rather strong support for purchasing power parity in environments of limited negative net foreign asset to GDP positions, but not outside such environments. We thus argue that the purchasing power parity hypothesis holds conditionally, but not unconditionally, and that international investment positions are an essential component to characterizing this conditionality. Finally, we adduce evidence that whether deterioration of a country's net foreign asset to GDP position leads to a depreciation of that country's effective exchange rate depends on its rate of inflation relative to the rate of inflation abroad as well as its exposure to global shocks.en
dc.language.isoengen
dc.publisher|aGoethe University Frankfurt, Center for Financial Studies (CFS) |cFrankfurt a. M.en
dc.relation.ispartofseries|aCFS Working Paper |x2007/23en
dc.subject.jelF31en
dc.subject.jelF37en
dc.subject.jelC23en
dc.subject.ddc330en
dc.subject.keywordExchange Rate Determinationen
dc.subject.keywordInternational Financial Integrationen
dc.subject.keywordDynamic Panel Data Modelsen
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwKaufkraftparitäten
dc.subject.stwInternationale Kapitalmobilitäten
dc.subject.stwStandortfaktoren
dc.subject.stwSchätzungen
dc.subject.stwWelten
dc.titleInternational investment positions and exchange rate dynamics: A dynamic panel analysis-
dc.typeWorking Paperen
dc.identifier.ppn548221812en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:cfswop:200723en

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