WorldCat Identities

University of California, Santa Cruz Department of Economics

Overview
Works: 217 works in 367 publications in 1 language and 654 library holdings
Classifications: HB1, 339.3
Publication Timeline
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Publications about University of California, Santa Cruz Publications about University of California, Santa Cruz
Publications by University of California, Santa Cruz Publications by University of California, Santa Cruz
Most widely held works by University of California, Santa Cruz
What are the global sources of rational variation in international equity returns? by Yin-Wong Cheung ( Book )
4 editions published between 1995 and 1997 in English and held by 8 WorldCat member libraries worldwide
Real exchange rate levels, productivity and demand shocks : evidence from a panel of 14 countries by Menzie David Chinn ( Book )
4 editions published in 1996 in English and held by 8 WorldCat member libraries worldwide
This paper investigates the determinants of the real exchange rate using a panel of disaggregated data for the OECD countries. It also marries two literatures - one which uses panel data to measure relationships between changes in exchange rates to changes in the determinants, and the other which uses cointegration techniques to measure the long-run relationship between the level of the exchange rate and the level of the determining factors. The previous panel studies cannot account for deviations from long-run trend levels, while the extant literature using time series cointegration techniques can only intermittently detect and measure posited relationships. Estimating the relationships in levels is an interesting activity because it allows one to calculate trend real exchange rates. After surveying the previous litera- ture, a dynamic model of the real exchange rate is used to motivate the empi- rical exercise. In examining this problem, we exploit recent developments in the econometric analysis of nonstationary variables in panel data. The results indicate that under certain assumptions it is easier to detect cointegration in panel data than in the available time series; moreover, the estimates of reversion to trend are also estimated with greater precision. The most empirically successful models include productivity measures, government spend- ing ratios, and either the terms of trade, or the real price of oil. Using this latter model, we find that the implied equilibrium exchange rates indicate less overvaluation of the dollar than that implied by a naive version of purchasing power parity
Parity reversion in real exchange rates during the post-Bretton Woods period by Yin-Wong Cheung ( Book )
4 editions published between 1996 and 1998 in English and held by 8 WorldCat member libraries worldwide
Is intervention a signal of future monetary policy? : evidence from the federal funds futures market by Rasmus Fatum ( Book )
3 editions published between 1996 and 1997 in English and held by 6 WorldCat member libraries worldwide
Disinflation in New Zealand by Michael M Hutchison ( Book )
3 editions published in 1998 in English and held by 6 WorldCat member libraries worldwide
Issues in local government reform in India by Nirvikar Singh ( )
2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide
The political economy of dilatory reform : Egypt in the 1980s by Alan Richards ( Book )
2 editions published in 1990 in English and held by 5 WorldCat member libraries worldwide
The microeconomics of college choice, careers, and wages measuring the impact of higher education ( )
2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide
Market structure and the persistence of sectoral real exchange rates by Yin-Wong Cheung ( Book )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
We examine the relationship between market structure and the persistence of U.S. dollar-based sectoral real exchange rates for fourteen OECD countries. Our empirical results based on disaggregated data suggest that differences in market structure significantly determine the rates at which deviations from sectoral purchasing power parity decay. Specifically, industries with a larger price-cost margin are found to exhibit slower parity reversion of their sectoral real exchange rates. Further, as the degree of intra-industry trade activity increases, sectoral real exchange rate persistence becomes more pronounced. These findings imply that an imperfectly competitive market structure contributes to the well-documented persistence in real exchange rates
Impediments and innovation in international rivers the waters of South Asia by Ben Crow ( )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
Reaping what you sow an empirical analysis of international patent harmonization by Phillip McCalman ( )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
Further investigation of the uncertain unit root in GNP by Yin-Wong Cheung ( Book )
2 editions published in 1995 in English and held by 5 WorldCat member libraries worldwide
A more powerful version of the ADF test and a test that has trend stationarity as the null are applied to U.S. GNP. Simulated critical values generated from plausible trend and difference stationary models are used in order to minimize possible finite sample biases. The discriminatory power of the two tests is evaluated using alternative-specific rejection frequencies. For post-War quarterly data, these two tests do not provide a definite conclusion. However, when analyzing annual data over the 1869-1986 period, the unit root null is rejected, while the trend stationary null is not
Miracles and reform policy reflections for India by Nirvikar Singh ( )
2 editions published in 1998 in English and held by 5 WorldCat member libraries worldwide
An analysis of explicit and implicit intergovernmental transfers in India by M Govinda Rao ( )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
Total factor productivity growth in Japan, South Korea, and Taiwan by Nirvikar Singh ( )
2 editions published in 1996 in English and held by 5 WorldCat member libraries worldwide
New estimates of the United States-China bilateral trade balances by K. C Fung ( Book )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
Two-level negotiations in bargaining over water by Alan Richards ( )
2 editions published in 1996 in English and held by 5 WorldCat member libraries worldwide
Are macroeconomic forecasts informative? : cointegration evidence from the ASA-NBER surveys by Yin-Wong Cheung ( Book )
3 editions published between 1996 and 1998 in English and held by 5 WorldCat member libraries worldwide
We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of expectations with respect to the actual series. We also examine whether forecasts respond to error correction terms. Tests are applied to both final and preliminary versions of the data. We find that the Treasury bill rate, housing starts, industrial production, inflation and their forecasts are trend stationary. The corporate bond rate, GNP, the GNP deflator, unemployment and their forecasts are difference stationary. About half of the these pairs are cointegrated, with the unitary elasticity restriction seldom rejected. Similar results are obtained when using the originally-reported data
Does exchange rate appreciation "deindustrialize" the open economy? : a critique of U.S. evidence by Reuven Glick ( Book )
2 editions published in 1988 in English and held by 5 WorldCat member libraries worldwide
Traders, market microstructure, and exchange rate dynamics by Yin-Wong Cheung ( Book )
2 editions published in 1999 in English and held by 5 WorldCat member libraries worldwide
We report findings from a survey of United States foreign exchange traders. Our results indicate that: (i) The share of customer business, versus interbank business, has remained fairly constant; (ii) The channels by which transactions take place have changed, as electronically-brokered transactions have risen from 2% to 46% of total, mostly at the expense of transactions undertaken by traditional brokers; (iii) The single most widely- cited reason for deviating from the standard market convention on the bid-ask spread is a thin/hectic market; (iv) Half or more of market respondents believe that large players dominate in the dollar-pound and dollar-Swiss franc markets; and (v) 60% of respondents believe there is low predictability of exchange rates intraday. Even at medium and long run horizons, only a third of traders believe that there is high predictability
 
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Alternative Names

controlled identity University of California, Santa Cruz

University of California, Santa Cruz. Dept. of Economics
Languages
English (49)