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Exchange Rate Volatility and Non-Traditional Exports Performance: Zambia, 1965–1999
Musonda, Anthony - Volkswirtschaftliche Fakultät, … - 2008
This study estimated an error correction model of the impact of real effective exchange rate volatility on the performance of non-traditional exports for Zambia between 1965 and 1999. Using a generalized autoregressive conditional heteroscedasticity (GARCH) measure of real exchange rate...
Persistent link: https://www.econbiz.de/10009004209
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Currency Crises During the Great Recession: Is This Time Different?
Arduini, Tiziano; De Arcangelis, Giuseppe; Bello, Carlo … - Volkswirtschaftliche Fakultät, … - 2011
During the 2007-2009 financial crisis the foreign exchange market was characterized by large volatility and wide currency swings. In this paper we evaluate whether during the period of the Great Recession there has been a structural break in the relationship between fundamentals and exchange...
Persistent link: https://www.econbiz.de/10009647428
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Is there a rule of thumb for absolute purchasing power parity to hold?
Zhang, Zhibai - Volkswirtschaftliche Fakultät, … - 2014
We find an example where real exchange rate (RER) is stationary and the nominal exchange rate and the price levels are cointegrated but purchasing power parity (PPP) does not hold, which reveals a fault of the unit root and cointegration tests in this use. We argue that the distribution of an...
Persistent link: https://www.econbiz.de/10011107456
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Trade Barriers and the Price of Nontradables Relative to Tradables
Sposi, Michael J. - Volkswirtschaftliche Fakultät, … - 2010
This paper addresses the question of why the price of nontradables relative to tradables is positively correlated with … themselves by choosing to become a worker, a manager in nontradables, or a manager in tradables. A fixed cost of exporting places … nontradables, due to the presence of larger fixed costs in poor countries combined with nontrivial import costs. …
Persistent link: https://www.econbiz.de/10008805474
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Purchasing power parity (PPP) between South Africa and her main currency exchange partners: Evidence from asymmetric unit root tests and threshold co-integration analysis
Phiri, Andrew - Volkswirtschaftliche Fakultät, … - 2014
Purpose: This purpose of this study is to examine the asymmetric adjustment effects for the purchasing power parity (PPP) for South Africa against her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. Design/Methodology/Approach: This study presents a...
Persistent link: https://www.econbiz.de/10011114417
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Reexamination of the Purchasing Power Parity (PPP) under Cournot Competition
Dai, Meixing - Volkswirtschaftliche Fakultät, … - 1995
This paper reexamines the Purchasing Power Parity (PPP) in an open economy macroeconomic model with Cournot competition in the international trade of a unique good. Foreign and domestic firms have a Cournot perception of foreign and domestic markets and make separate quantity decisions for each...
Persistent link: https://www.econbiz.de/10005789757
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Heterogeneity of the Maghreb: the results of optimized monetary rules
Belhadj, Aam - Volkswirtschaftliche Fakultät, … - 2009
The launch of the euro has fed doubts concerning the constitution of an optimal European monetary zone. Indeed, the differences in legal, institutional and cultural frameworks… as well as the diversity of the productive and financial European systems may have led to the idea that Europe does...
Persistent link: https://www.econbiz.de/10011258339
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Welfare Implications of Exchange Rate Changes
Marques, Luis B - Volkswirtschaftliche Fakultät, … - 2007
This paper measures the welfare implications of a depreciation of the US dollar against the euro using a dynamic equilibrium model. I calibrate a simple two country stochastic endowment economy with trade in goods and financial assets and exogenous variations in the exchange rate. The model...
Persistent link: https://www.econbiz.de/10005260133
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Puzzle solver
Christian, Mueller-Kademann - Volkswirtschaftliche Fakultät, … - 2009
This paper presents a model for asset markets with a subjectively rational solution for the price of the traded asset. Traders cannot act objectively rational and an increase in the number of traders does not enlarge the information set neccessary for determining the “true” price....
Persistent link: https://www.econbiz.de/10008493601
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Understanding forecast failure in ESTAR models of real exchange rates
Buncic, Daniel - Volkswirtschaftliche Fakultät, … - 2009
The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...
Persistent link: https://www.econbiz.de/10005103385