DISCUSSION PAPER SERIES
ZZZFHSURUJ
Available online at:
www.cepr.org/pubs/dps/DP3377.asp
www.ssrn.com/xxx/xxx/xxx
No. 3377
NON-LINEAR DYNAMICS IN
DEVIATIONS FROM THE LAW OF
ONE PRICE: A BROAD-BASED
EMPIRICAL STUDY
Lucio Sarno, Mark P Taylor
and Ibrahim Chowdhury
ISSN 0265-8003
NON-LINEAR DYNAMICS IN
DEVIATIONS FROM THE LAW OF
ONE PRICE: A BROAD-BASED
EMPIRICAL STUDY
Lucio Sarno, Warwick Business School and CEPR
Mark P Taylor, Warwick University and CEPR
Ibrahim Chowdhury, Mansfield College and University of Oxford
Discussion Paper No. 3377
May 2002
Centre for Economic Policy Research
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This Discussion Paper is issued under the auspices of the Centre’s research
programme in INTERNATIONAL MACROECONOMICS. Any opinions
expressed here are those of the author(s) and not those of the Centre for
Economic Policy Research. Research disseminated by CEPR may include
views on policy, but the Centre itself takes no institutional policy positions.
The Centre for Economic Policy Research was established in 1983 as a
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discussion of open economies and the relations among them. It is pluralist
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These Discussion Papers often represent preliminary or incomplete work,
circulated to encourage discussion and comment. Citation and use of such a
paper should take account of its provisional character.
CEPR Discussion Paper No. 3377
May 2002
ABSTRACT
Non-Linear Dynamics in Deviations from the Law
of One Price: A Broad-Based Empirical Study*
In this Paper we test empirically the validity of the law of one price using data
for five major bilateral US dollar exchange rates and nine goods sectors
during the recent floating exchange rate regime since the early 1970s. Using
threshold autoregressive models, we find strong evidence of non-linear mean
reversion in deviations from the law of one price with plausible convergence
speeds. Consistent with theoretical arguments on international goods markets
arbitrage under transactions costs and with an emerging strand of empirical
literature, these results contribute towards forming a consensus view in favour
of discrete regime switching in deviations from the law of one price and the
presence of differing non-zero transactions costs across a broad range of
goods and countries.
JEL Classification: F31
Keywords: law of one price, mean reversion, purchasing power parity, real
exchange rate and threshold non-linearity
Lucio Sarno
Finance Group
Warwick Business School
University of Warwick
Coventry
CV4 7AL
Tel: (44 24) 7652 8219
Fax: (44 24) 7657 2871
Email:
lucio.sarno@warwick.ac.uk
For further Discussion Papers by this author see:
www.cepr.org/pubs/new-dps/dplist.asp?authorid=138519
Mark P Taylor
Professor of Macroeconomics
Department of Economics
University of Warwick
Coventry
CV4 7AL
Tel: (44 24) 7657 3008
Fax: (44 24) 7652 3032
Email:
mark.taylor@warwick.ac.uk
For further Discussion Papers by this author see:
Ibrahim Chowdhury
Mansfield College
University of Oxford
Oxford
OX1 3TF
Tel: (44 1865) 282 892
Email:
ibrahim.chowdhury@mansf.ox.ac.ukFor further Discussion Papers by this author see:
www.cepr.org/pubs/new-dps/dplist.asp?authorid=157706
This Paper is forthcoming in the Journal of International Money and Finance.
The authors are grateful for conversations and constructive comments on
earlier drafts to Giancarlo Corsetti, Arnaud Mehl, Michael Melvin, Raman
Uppal, Jurgen von Hagen, and to participants in seminars at which previous
versions of the Paper were presented, including presentations at the
University of Oxford, the University of Warwick, and the 2000 International
Macroeconomics Summer Symposium at the University of Bonn. The authors
alone are responsible for any errors that may remain.
NON-TECHNICAL SUMMARY
The law of one price (LOOP) states that identical goods, once their national
prices are expressed in a common currency, should sell for the same price
across different international locations. In reality, however, we observe that
numerous and even fairly homogeneous goods sell at different prices in
different locations, which is inconsistent with the arbitrage considerations that
provide the rationale of the LOOP.
One obvious reason why prices of equivalent commodities may not be the
same across different geographical locations is the existence of transactions
and transportation costs and other impediments to trade such as tariffs and
quotas, which drive a wedge between prices in different locations. Several
theoretical contributions emphasise the significance of transactions or
international trade costs in modelling deviations from the LOOP. These
studies suggest that, as a consequence of the presence of non-zero
transactions costs, deviations from the LOOP should contain significant
nonlinearities, the key idea being that deviations from the LOOP will be
non-mean-reverting as long as they are smaller than the arbitrage costs, and mean
reverting once they exceed the arbitrage costs.
Following these theoretical arguments, several empirical studies have
investigated the existence of non-linearities in deviations from the LOOP (see
Michael, Nobay and Peel, 1994; Obstfeld and AM Taylor, 1997; AM Taylor,
2001; O’Connell and Wei, 2002). In these studies, the non-linear nature of the
adjustment process is generally investigated in terms of a ‘threshold
autoregressive’ (TAR) model (Tong, 1990). The TAR model allows for a
transactions costs band within which no adjustment in deviations from the
LOOP takes place while outside of the band, as goods arbitrage becomes
profitable, the process switches abruptly to revert towards the band.
exchange rates (deviations from the LOOP) vis-a-vis five major currencies for
nine sectors over the recent floating period since 1974.
The empirical results are encouraging in that they provide evidence
suggesting that, in general, the TAR model characterizes well deviations from
the LOOP across this broad range of currencies and sectors. Estimated
transactions costs appear to fluctuate widely across sectors and countries. It
appears that goods markets between the US and Japan have lower
transactions costs than between the US and Europe. In general, adjustment
towards the LOOP is observed to be fairly fast although the estimated delay
parameter, which measures the timing of the reaction of market participants to
deviations from the law of one price, is estimated to be longer than one might
perhaps expect. Also, these results suggest that deviations from the LOOP
may be somewhat sticky (given the delay parameter is on average larger than
four quarters), but they are not as persistent as a large literature has hitherto
suggested.
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