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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - In: International Review of Financial Analysis 29 (2013) C, pp. 1-9
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010741740
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Equilibrium exchange rate determination and multiple structural changes
Cerrato, Mario; Kim, Hyunsok; MacDonald, Ronald - In: Journal of Empirical Finance 22 (2013) C, pp. 52-66
The large appreciation and depreciation of the US Dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more...
Persistent link: https://www.econbiz.de/10010665735
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Nonlinear threshold unit root test and ppp in transition countries
Bahmani-Oskooee, Mohsen; Tsangyao Chang* - In: Journal of Developing Areas 49 (2015) 1, pp. 177-186
of long-run purchasing power parity (PPP) in 14 transition countries, using monthly real effective exchange rates over … the period January 1994- June 2012. The empirical results indicate that PPP holds only in five countries (i.e., Cyprus …, Lithuania, Latvia, Poland, and Slovenia). Furthermore, we found that the adjustment toward PPP is nonlinear. …
Persistent link: https://www.econbiz.de/10011213293
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Crucial exchange rate parity. Evidence for Mexico
Loría, Eduardo; Salas, Emmanuel - In: The North American Journal of Economics and Finance 24 (2013) C, pp. 101-112
, which validates PPP condition in absolute terms. These results are crucial to analyze the possible long run exchange effects …
Persistent link: https://www.econbiz.de/10011056680
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The PPP hypothesis and structural breaks: the case of Mexico
Gómez-Zaldívar, Manuel; Ventosa-Santaulària, Daniel; … - In: Empirical Economics 45 (2013) 3, pp. 1351-1359
associated with PPP. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010994451
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Measuring Long-Run Exchange Rate Pass-Through
Kozluk, Tomasz; Banerjee, Anindya; de Bandt, Olivier - In: Economics - The Open-Access, Open-Assessment E-Journal 2 (2008), pp. 1-36
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a cointegrating relationship (between import unit...
Persistent link: https://www.econbiz.de/10005083005
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Structural breaks and the equilibrium real effective exchange rate of China: A NATREX approach
You, Kefei; Sarantis, Nicholas - In: China Economic Review 23 (2012) 4, pp. 1146-1163
This paper investigates the equilibrium real effective exchange rate for the Chinese RMB during the post-reform period, 1982–2010. We extend the NATREX model in several important perspectives and apply it for the first time to China. A wide range of economic fundamentals that are unique to the...
Persistent link: https://www.econbiz.de/10010591947
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The PPP debate: Multiple breaks and cross-sectional dependence
Snaith, Stuart - In: Economics Letters 115 (2012) 3, pp. 342-344
This study implements panel unit root PPP tests accommodating level and trend breaks and cross-sectional dependence. In …-sectional dependence overturns support for PPP. …
Persistent link: https://www.econbiz.de/10010572189
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A twelve-area model for the equilibrium Chinese Yuan/US dollar nominal exchange rate
You, Kefei; Sarantis, Nicholas - In: Journal of International Financial Markets, … 22 (2012) 1, pp. 151-170
This paper investigates the equilibrium CNY/USD nominal exchange rate during 1976–2008. We extend for the first time the five-area FABEER model to a twelve-area TABEER model for China. All parameters are estimated with allowance for endogenous structural breaks. Our investigation of the...
Persistent link: https://www.econbiz.de/10010576384
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Purchasing power parity and structural instability in the US/UK exchange rate
Karoglou, Michail; Morley, Bruce - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 958-972
The aim of this study is to determine if nonlinearities have affected purchasing power parity (PPP) since 1885. Also … breaks and look at whether the PPP condition holds in each sub-sample and whether this involves linear or non …-linear adjustment. Our results suggest that during some sub-periods, PPP holds, although whether it holds or not and whether the …
Persistent link: https://www.econbiz.de/10010702757