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Testing Weak Exogeneity in Cointegrated System

Chiying, Hsiao; Pu, Chen - Econometric Society - 2004

This paper develops a limiting theory for Wald tests of weak exogeneity in error correction models (ECMs). It is well known that Wald statistics on cointegrated systems may involve nonstandard distribution and nuisance parameters, if $I(1)$ variables are not negligible in the statistics. To...

Persistent link: https://www.econbiz.de/10005086413

Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China

Guangzhong, Li; Voon, Jan P - Econometric Society - 2004

aggregate exports. An important and related variable, the RER misalignment, has been hitherto omitted from the analysis. Yet … first attempt, using both the theoretical and the empirical models, to examine the impacts of the RER misalignment on China … a reduction in the RER misalignment. Using the SUR methodology coupled with the disaggregate panel data, we able to …

Persistent link: https://www.econbiz.de/10005342171

Modeling Equilibrium Real Exchange Rates

Soto, Raimundo; Elbadawi, Ibrahim - Econometric Society - 2004

methodology to modeling the misalignment of the RER to overcome the problem of scaling arising for estimated cointegration models … how to quantify the likely impact of misalignment on exports and long-run economic growth. Despite the substantial number … and compute confidence intervals for the misalignment, allowing for flexible (as opposed to the standard fixed) speed of …

Persistent link: https://www.econbiz.de/10005129778

Purchasing Power Parity Hypothesis in Developing Economies: Some Empirical Evidence from Sri Lanka

Wickremasinghe, Guneratne B - Econometric Society - 2004

The purchasing power parity (PPP) hypothesis has attracted a lot of attention from academics and policy-makers particularly, during the recent float. Most previous studies used data from the developed world. This study examines the validity of the PPP hypothesis using data during the recent...

Persistent link: https://www.econbiz.de/10005342149

Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach

Ogaki, Masao; Kim, Jaebeom - Econometric Society - 2004

When univariate methods are applied to real exchange rates, point estimates of autoregressive coefficients typically imply very slow rates of mean reversion. Rogoff (1996) discusses that the remarkable consensus of 3-5 year half-lives of purchasing power parity (PPP) deviations is found among...

Persistent link: https://www.econbiz.de/10005086417

Nonlinear Modelling of Purchasing Power Parity in Indonesia

Silvapulle, Param; Lestari, Titi Kanti; Kim, Jae - Econometric Society - 2004

This paper models the dynamics of the adjustment process of Indonesian purchasing power parity (PPP) relative to US, Japan and Singapore by employing a nonlinear framework, which is recently shown to be appropriate in the presence of transaction costs associated with international trade. Using...

Persistent link: https://www.econbiz.de/10005130169

Purchasing Power Parity: the Choice of Price Index

Terra, Maria Cristina T.; Abreu, Ana Lucia Vahia de - Econometric Society - 2004

Looking closely at the PPP argument, it states that the currencies purchasing power should not change when comparing the same basket goods across countries, and these goods should all be tradable. Hence, if PPP is valid at all, it should be captured by the relative price indices that best fits...

Persistent link: https://www.econbiz.de/10005699577

Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey

ALBA, Joseph D.; PARK, Donghyun - Econometric Society - 2004

The important concept of purchasing power parity (PPP) has a number of practical implications. Our central objective is to examine the stationarity of Turkeyâ€™s real exchange rates to test for the empirical validity of PPP. Our results from conventional univariate unit root tests fail to...

Persistent link: https://www.econbiz.de/10005702700

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

application of wavelet filtering to analyze cointegrating relationships. No evidence of cointegration between money, real output … and prices is found. However, there is evidence of cointegration between non-stationary components of the series that …

Persistent link: https://www.econbiz.de/10005328904

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935