Showing 1 - 10 of 92
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10010896121
This paper uses Markov switching models to study short-run movements of the Polish zloty and speculative phenomena in Poland, that is, to investigate whether the exchange rate is "contaminated" by a speculative bubble. The zloty movements are examined in terms of so-called long swings - periods...
Persistent link: https://www.econbiz.de/10004963691
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10004963984
system and the current managed float. Panel integration techniques are used to increase the power of the tests. Cross section …
Persistent link: https://www.econbiz.de/10005069144
Using quarterly data from 2000-2007 and applying Error Correction Model and Johansen Co-integration Approaches I estimate the impact of real oil price on the real exchange rate of Azerbaijani manat. Estimation outputs derived from these approaches are very close to each other and indicate that...
Persistent link: https://www.econbiz.de/10008490410
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within...
Persistent link: https://www.econbiz.de/10010592915
This study examines the nature of the linkages between stock market prices and exchange rates in six advanced economies, namely the US, the UK, Canada, Japan, the euro area, and Switzerland, using data on the banking crisis between 2007 and 2010. Bivariate GARCH-BEKK models are estimated...
Persistent link: https://www.econbiz.de/10010635677
unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we …
Persistent link: https://www.econbiz.de/10009003457
This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for four major currencies (namely, the Canadian dollar, the euro, the Japanese yen and the British pound). An innovative approach based on fractional integration in a multivariate...
Persistent link: https://www.econbiz.de/10011128849
This paper examines the impact of exchange rate uncertainty on different components of portfolio flows, namely equity and bond flows, as well as the dynamic linkages between exchange rate volatility and the variability of these two types of flows. Specifically, a bivariate GARCH-BEKK-in-mean...
Persistent link: https://www.econbiz.de/10011128874