Nominal exchange rate regimes and relative price dispersion : on the importance of nominal exchange rate volatility for the width of the border

Based on a broad set of regional aggregated and disaggregated consumer price index (CPI) data from major industrialized countries in Asia, North America and Europe we are examining the role that national borders play for
Based on a broad set of regional aggregated and disaggregated consumer price index (CPI) data from major industrialized countries in Asia, North America and Europe we are examining the role that national borders play for goods market integration. In line with the existing literature we find that intra-national markets are better integrated than international market. Additionally, our results show that there is a large "ocean" effect, i.e., inter-continental markets are significantly more segmented than intra-continental markets. To examine the impact of the establishment of the European Monetary Union (EMU) on integration, we split our sample into a pre-EMU and EMU sample. We find that border effects across EMU countries have declined by about 80% to 90% after 1999 whereas border estimates across non-EMU countries have remained basically unchanged. Since global factors have affected all countries in our sample similarly and major integration efforts across EMU countries were made before 1999, we suggest that most of the reduction in EMU border estimates has been "nominal". Panel unit root evidence shows that the observed large differences in integration across intra- and inter-continental markets remain valid in the long-run. This finding implies that real factors are responsible for the documented segmentations across our sample countries. Klassifikation: F02, F40, F41 .
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Metadaten
Author:Guenter W. Beck
URN:urn:nbn:de:hebis:30-10498
Series (Serial Number):CFS working paper series (2003, 45)
Document Type:Working Paper
Language:English
Date of Publication (online):2005/06/13
Year of first Publication:2003
Publishing Institution:Univ.-Bibliothek Frankfurt am Main
Release Date:2005/06/13
Tag:goods market integration ; nominal exchange rate regime neutrality; real and nominal border effect ; real exchange rate dispersion
HeBIS PPN:205395430
Institutes:Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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