Conditional Relative Price Variance and Its Determinants : Open Economy Evidence From Germany  

Oleh:

Neumann, Manfred J. M. ; Hagen, Jurgen von

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 32 no. 1 (1991), page 195-208.
Topik: PRICE; conditional; relative; price variance; economy evidence

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We present empirical tests of two hypothesis derived from an open economy version of the multimarket equilibrium model. The first hypothesis holds that the conditional relative price variance is positively related to the variance of domestic monetary and foreign nominal and real shocks. The second hypothesis claims a negative impact of an increase in conditional relative price variance on normal output. In contrast to earlier studies, we use direct measures of conditional relative price variance based on ARCH estimates. Our results show that both hypotheses are consistent with German data.

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