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Dynamics of real effective exchange rate in Malawi and South Africa

Simwaka, Kisukyabo - EconWPA - 2004

in both Malawi and South Africa. Key words: real effective exchange rate, stationarity, cointegration … empirical analysis, we conducted unit root and cointegration test in order to determine the time series properties of the data …

Persistent link: https://www.econbiz.de/10005556421

A Time-Series Analysis of the Shanghai and New York Stock Price Indices

Chow, Gregory C. - EconWPA - 2003

A time series analysis of the Shanghai and New York Stock Exchange composite price indices is provided to compare the weekly rates of return and volatilities of these two markets and to study their co-movement in 1992-2002. The rate of return and volatility of the Shanghai market were higher....

Persistent link: https://www.econbiz.de/10005556546

Spurious Regression and Residual-Based Tests for Cointegration in Panel Data When the Cross-Section and Time-Series Dimensions are Comparable

Kao, Chihwa - EconWPA - 1997

-based cointegration tests in panel data, because the null distribution of residual-based cointegration tests depends on the asymptotics of … LSDV. In the second half of the paper we study residual-based tests for cointegration regression in panel data. We study … Dickey-Fuller (DF) tests and an augmented Dickey-Fuller (ADF) test to test the null of no cointegration. Asymptotic …

Persistent link: https://www.econbiz.de/10005407888

Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia

Liew, Venus Khim-Sen; Lim, Kian-Ping; Lau, Evan; … - EconWPA - 2003

Using nonlinear unit root tests developed by Kapetanios et al. (2003), we find strong evidence that the Consumer Price Index (CPI) and Wholesale Price Index (WPI) based Malaysian Ringgit – U.S. Dollar (MYR/USD) real exchange rates are nonlinear stationary, implying that MYR/USD nominal...

Persistent link: https://www.econbiz.de/10005124933

Exchange Rate – Relative Price Relationship: Nonlinear Evidence from Malaysia

Liew, Venus Khim-Sen; Lim, Kian-Ping; Lau, Evan; … - EconWPA - 2003

Persistent link: https://www.econbiz.de/10005124941

Arbitrage Bounds and the Time Series Properties of the Discount on UK Closed-End Mutual Funds

Copeland, Laurence - EconWPA - 2005

In a dataset of weekly observations over the period since 1990, the discount on UK closed-end mutual funds is shown to be nonstationary, but reverting to a nonzero long run mean. Although the long run discount could be explained by factors like management expenses etc., its short run...

Persistent link: https://www.econbiz.de/10005134817

The Liquidity Effect: Identifying Permanent and Transitory Components of Money Growth

Crowder, William J. - EconWPA - 1997

One strand of the recent literature on the monetary transmission process has focued upon the weak empirical evidence of a liquidity effect in the U.S. This study uses structural VAR methods to reexamine the liquidity effect.

Persistent link: https://www.econbiz.de/10005076847

Equity Returns and Inflation: The Puzzlingly Long Lags

Lothian, James R.; McCarthy, Cornelia H.. - EconWPA - 2001

This paper examines data for stock prices and price levels of 14 developed countries during the post-WWII era and compares their behavior in that sample with behavior over the past two centuries in the UK and the US. Contrary to much of the literature of the past several decades, we find that...

Persistent link: https://www.econbiz.de/10005124935

Integration or Segmentation of Malaysian Equity Market: An Analysis of Pre- and Post- Capital Controls

Ibrahim, Mansor H. - EconWPA - 2004

The paper implements time series techniques of cointegration and vector autoregression (VAR) to assess the integration …

Persistent link: https://www.econbiz.de/10005125066

THE FRENCH-GERMAN INTEREST RATE DIFFERENTIAL SINCE GERMAN

Henry, Jerome; Weidmann, Jens - EconWPA - 2005

We investigate the consequences of the 1992-1993 EMS crises, which resulted in the widening of the exchange rate bands, on the long-run linkages between the daily 1-month-Eurorates on German Mark, US-Dollar and French Franc. First, within a Gaussian VAR, both the US Eurorate and the...

Persistent link: https://www.econbiz.de/10005125545