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Working Paper
Relative price volatility: what role does the border play?
Rogers, John H.; Engel, Charles (1998)
We reexamine the effect of the U.S.-Canadian border on integration of markets. The paper updates work from our earlier paper, Engel and Rogers (1996). We consider alternative measures of deviations from the law of one price. We pay special attention to the effect of the U.S.-Canada free trade agreement on market integration. Our conclusions are unchanged: markets in the U.S. and Canada are more segmented than can be explained by the physical distance between the two locations. Formal trade barriers do not appear to explain much of that segmentation.
International Finance Discussion Papers , Paper 623

Working Paper
Border effects within the NAFTA countries
Rogers, John H.; Smith, Hayden P. (2001)
Using consumer price indexes from cities in the U.S., Canada and Mexico, we estimate the "border effect" on U.S.-Mexican relative prices and find that it is nearly an order of magnitude larger than for U.S.-Canadian prices. However, during a very stable sub-period in Mexico (May 1988 to November 1994), the "width" of the U.S.-Mexican border falls dramatically and becomes approximately equal to the U.S.-Canadian border. We then show that when consideration is limited to cities lying geographically very close to the U.S.-Mexican border--San Diego, Los Angeles, Houston, Dallas, Tijuana, ...
International Finance Discussion Papers , Paper 698

Working Paper
Puzzles in the Chinese stock market
Rogers, John H.; Fernald, John G. (2000)
Many companies on China?s stock markets have separate, restricted classes of shares for domestic residents and foreigners. These shares are identical other than who can own them, but foreigners pay only about one-quarter the price paid by domestic residents. We argue that the generally higher level (and volatility) of domestic share prices is consistent with the simplest asset pricing model, assuming plausible differences-about 4 percentage-points-in expected rates of return by foreign and domestic investors. We attribute low Chinese expected returns to the limited alternative investments ...
Working Paper Series , Paper WP-00-13

Working Paper
Political competition, causal relationships between taxes and spending, and their influence on government size: evidence from state-level data
Rogers, Diane Lim; Rogers, John H. (1995)
Theories of fiscal illusion and political competition have different implications for (i) the causal relationships between taxes and spending, and (ii) government size. These are tested using data from u.s. states from 1950 to 1990. We find evidence that greater political competition generally encourages bigger government, the Democratic Party is associated with bigger government, and state governments which "tax first, spend later" are more likely to be large. Other factors related to the fiscal illusion and political competition theories also appear to be important determinants of ...
International Finance Discussion Papers , Paper 500

Working Paper
Intra-national, intra-continental, and intra-planetary PPP
Rogers, John H.; Engel, Charles; Hendrickson, Michael K. (1997)
This paper presents a general framework to address several issues that have arisen in recent work that investigates purchasing power parity (PPP) and other inter-regional relative price movements: (1) How can we model real exchange rate movements in a consistent manner, so that our model for the real exchange rate for country B relative to country C is commensurate with our models for country A/ country B and country A/ country C real exchange rates? For example, can things be modeled so that our tests do not depend on the "base country"? (2) How should we handle correlation across real ...
International Finance Discussion Papers , Paper 589

Working Paper
Puzzles in the Chinese stock market
Rogers, John H.; Fernald, John G. (1998)
Many companies on China's stock markets have separate, restricted classes of shares for domestic residents and foreigners. Other than who can own them, these shares are identical, but foreigners pay only about one-quarter the price paid by domestic residents. We show that plausible differences--about 4 percentage-points--in expected rates of return by foreign and domestic investors can account for the generally higher level and volatility of prices for domestic shares relative to foreign shares. We attribute low Chinese expected returns to the limited alternative investments available in ...
International Finance Discussion Papers , Paper 619

Working Paper
Output and the real exchange rate in developing countries: an application to Mexico
Rogers, John H.; Kamin, Steven B. (1997)
Since Mexico's devaluation of the peso in 1994, some observers have called for policies designed to keep the real exchange rate highly competitive in order to promote exports and output growth. However, over the past few decades, devaluations of the real exchange rate have been associated nearly exclusively with economic contraction, while real appreciations have been followed almost invariably by expansions in economic activity. The purpose of this paper is to attempt to disentangle the possible factors underlying this correlation--(1) reverse causation from output to the real exchange rate, ...
International Finance Discussion Papers , Paper 580

Discussion Paper
Measuring Monetary Policy Uncertainty: The Federal Reserve, January 1985-January 2016
Husted, Lucas F.; Rogers, John H.; Sun, Bo (2016-04-11)
In this note we focus on the U.S. over the period January 1985 to January 2016, but have also constructed measures over a longer time period and for other central banks/economies.
IFDP Notes , Paper 2016-04-11-2

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