Exchange; Purchasing; Purchasing power; Power; Models; Model; Asset pricing; Pricing;

Sercu, Piet

English

Research Papers in Economics

A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries,

A Theory of Exchange Rate Determination,

Affine Models of Currency Pricing,

An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information,

An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets,

An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities,

Cointegrated Time Series: a Guide to Estimation and Hypothesis Testing,

Common Trends in Prices and Exchange Rates-Tests of Long-Run Purchasing Power Parity, Essay I in,

Consumer Demand Functions under

Consumption and Real Exchange Rates in Dynamic Economies with Non-Traded Goods,

Consumption, Real Exchange Rates and the Structure of International Asset Markets,

Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium, (The Wharton School), Working paper.

Deviations from PPP in the Long Run,

Dynamic Asset Pricing Theory,

Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World,

Equilibrium Valuation of Foreign Exchange Claims,

Estimating Long-Run Economic Equilibria,

Exchange Rate and the Term Structure of Risk Premia in foreign Exchange Markets, (University of Chicago), Working paper.

Haircuts or Hysteresis? Sources of Movements in Real Exchange Rates,

How to Beat the Random Walk,

Hysteresis, Import Penetration, and Exchange Rate Pass-Through,

Interest Rates and Currency Prices in a Two-Country World,

International Capital Mobility in History: Purchasing Power Parity in the Long Run,

Intra-National, Intra-Continental, and IntraPlanetary PPP, (University of Washington), Working paper.

Multi-Country Evidence on the Behavior of Purchasing Power Parity under the Current Float,

Multivariate Unit Root Tests of the PPP Hypothesis, Working paper,

National Price Levels, Purchasing Power Parity, and Cointegration: a Test of Four high Inflation Economies,

Persistent Trade Effects of Large Exchange Rate Shocks,

Perspectives on PPP and Long-Run Real Exchange Rates,

PPP and Real Expenditure, Working paper,

Purchasing Power Disparity During the Floating Rate Period: Exchange Rate Volatility, Trade Barriers and Other Culprits,

Purchasing Power Parity in the Long Run,

Puzzles in International Financial Markets, Working paper, (Wharton School, University of Pennsylvania), forthcoming

Real Exchange Rate Behavior: the Recent float from the Perspective of the Past Two Centuries,

Real Exchange Rates and Macroeconomics: Evidence and Theory, (University of British Columbia), Working paper.

Real Exchange Rates and Relative Prices: an Empirical Investigation,

Relative PPP in the Medium Run,

Testing for Cointegration When Some of the Cointegrating Vectors are Known,

Testing Structural Hypotheses in a Multivariate Cointegration Analysis of the PPP and the UIP for UK,

The Equilibrium Approach to Exchange Rates: Theory and Tests, KU Leuven Working paper.

The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity,

The Law of One Price over 700 Years,

The Overvaluation of Purchasing Power Parity,

The Purchasing Power Parity Doctrine: a Reappraisal,

The World Price of Foreign Exchange Risk,

Theoretical Notes on Trade Problems,

Understanding the Empirical Literature on Purchasing Power Parity: the Post-Bretton Woods Era,

The exchange rate and purchasing power parity in arbitrage-free models of asset pricing.

https://lirias.kuleuven.be/bitstream/123456789/122905/1/TEM_5_05_Sercu.pdf

The exchange rate and purchasing power parity in arbitrage-free models of asset pricing.

Abstract

Similar works

Full text

Available Versions

Research Papers in Economics