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Disparities of Exchange Rates in CEE Countries

Kocenda, Evzen - EconWPA - 2001

This paper analyzes disparities among nominal and real exchange rate movements across the Central and Eastern European (CEE) countries from 1991 to 1996. The method of analyzing such processes is to examine whether the differentials of exchange rate changes converge or diverge over time....

Persistent link: https://www.econbiz.de/10005062689

Instability in Exchange Rates of the World Leading Currencies: Implications of a Spatial Competition Model among Central Banks (Currencies, Competition, and Clans)

Engelmann, Dirk; Hanousek, Jan; Kocenda, Evzen - EconWPA - 2004

greatly reduces volatility within such an informal â€œcurrency areaâ€. Our theoretical findings are supported by empirical …

Persistent link: https://www.econbiz.de/10005561175

Financial contagion, interest rates and the role of the exchange rate as shock absorber in Central and Eastern Europe

Habib, Maurizio Michael - EconWPA - 2002

affected by ‘vo- latility contagion’ coming from emerging markets. I find also some partial support for the ‘volatility …

Persistent link: https://www.econbiz.de/10005125528

Financial Liberalization and Business Cycles: The Experience of Future EU Member States in the Baltics and Central Eastern Europe

Souza, Lucio Vinhas de - EconWPA - 2004

States of the European Union, to test if the same short-run increase in cyclical volatility arising from financial … integration is observed in this specific sample of “emerging markets”. This work finds signs that, contrary to other emerging … markets, this does not happen: for the future Member States, financial integration, similarly to the outcome observed in …

Persistent link: https://www.econbiz.de/10005062709

A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs

Goswami, Gautam; Shrikhande, Milind; Wu, Liuren - EconWPA - 2002

term volatility of the real exchange rate with its slow convergence to parity. Further, the drift and diffusion of the real exchange …

Persistent link: https://www.econbiz.de/10005076998

The Nonlinear Skeletons in the Closet

Barnett, William A.; Jones, Barry E.; Kirova, Milka; … - EconWPA - 2004

Although nonlinearity is the rule in economic theory, nonlinearity tends to make life difficult for econometricians …. While there have been many advances in nonlinear econometrics in recent years, some problems produced by nonlinearity remain …

Persistent link: https://www.econbiz.de/10005556393

The Exact Theoretical Rational Expectations Monetary Aggregate

Barnett, William A.; Hinich, Melvin J.; Yue, Piyu - EconWPA

In aggregation theory, index numbers are judged relative to their ability to track the exact aggregator functions nested within the economy's structure. Within the monetary sector, Barnett, Liu, and Jensen (1997) compared two statistical index numbers: the Divisia monetary aggregate and the...

Persistent link: https://www.econbiz.de/10005561084

THE PRICE-DIVIDEND RELATIONSHIP IN INFLATIONARY AND DEFLATIONARY REGIMES

Madsen, Jakob; Milas, Costas - EconWPA - 2005

This paper argues that the linear price-dividend relationship as predicted in the Gordon model breaks down in regimes of high inflation and deflation. Using data for the US and the UK over the period from 1871 to 2002, nonlinear estimates support the prediction of the model.

Persistent link: https://www.econbiz.de/10005119140

Functional Structure and Approximation in Econometrics (book front matter)

Barnett, William A.; Binner, Jane; Diewert, W. Erwin - EconWPA - 2005

This is the front matter from the book, William A. Barnett and Jane Binner (eds.), Functional Structure and Approximation in Econometrics, published in 2004 by Elsevier in its Contributions to Economic Analysis monograph series. The front matter includes the Table of Contents, Volume...

Persistent link: https://www.econbiz.de/10005119212

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