In this study, we attempt to estimate the long term determinants of international reserves in the emerging Asian for the period 1980-2011. In this study, we attempt to estimate the long term determinants of international reserves in the emerging Asia for the period 1980-2011. Utilizing a...

This study systemically investigates the international parity conditions for China and Japan in the liberalization era (1990:Q1-2010:Q2). Advanced econometric procedures including the structural VARX and persistent profiles are utilized in the empirical analysis. The finding upholds support for...

To study the extra-eurozone exports of goods by France and Germany, this study applies cointegration methods to estimate long-run equations for the period 1971–2010 (quarterly data), as well as for a shorter period known as the “euro period.†Various measures of the real...

This article applies the threshold autoregressive model proposed by Caner and Hansen (2001) to examine both linearity and stationarity of China's real exchange rate vis-à-vis her 9 trading partner countries over the period of January 1986 to October 2009. Two main conclusions are drawn....

We apply the efficient unit root tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1999) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one...

We apply the efficient unit root tests of Elliott, Rothenberg, and Stock (1996), and Elliott (1999) to twenty-one real exchange rates using monthly data of the G-7 countries from the post-Bretton Woods floating exchange rate period. Our results indicate that, for eighteen out of the twenty-one...

This paper investigates the validity of the purchasing power parity (PPP) hypothesis for 13 Central and Eastern European countries (CEEC) in transition. The results based on the seemingly unrelated regression ADF (SURADF) method reveal that the PPP relationship holds in 7(6) out of the 13...

The main objective of this paper is to test the hypothesis that emerging markets are more sensitive to negative shocks than positive ones, and also that developed ones do not exhibit this same pattern. Using the family of ARCH models, the conditional variances of exchange rates in Brazil, Mexico...

This paper investigates the validity of the purchasing power parity (PPP) hypothesis for 13 Central and Eastern European countries (CEEC) in transition. The results based on the seemingly unrelated regression ADF (SURADF) method reveal that the PPP relationship holds in 7(6) out of the 13...

The 2007-2008 subprime crisis has raised once more the interest on international market integration. Empirical studies show that the comovement patterns of national stock markets change significantly after major economic events like crises. The aim of this paper is to investigate the potential...