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Recent literature has argued that exchange rate pass-through (ERPT) into inflation has been declining following a dramatic change in inflation environment during the 1990s. We formally check this hypothesis for a sample of 12 emerging and developed economies, by making use of a state-space model...
Persistent link: https://www.econbiz.de/10010884988
This study examines the optimal exchange rate regime for the South Korea gross domestic product, using time series data from 1965 to 2009. From the cointegration and the Granger causality test results, it was found that the pegged exchange rate regime (to the US dollar and to a basket of...
Persistent link: https://www.econbiz.de/10010629971
This paper examines the presence of non-linear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using smooth transition regression (STR) model, we explore the existence of non-linearities with respect to the inflation environment. We find...
Persistent link: https://www.econbiz.de/10011278670
This paper examines the exchange rate pass-through (ERPT) into import prices using recent panel data techniques. For a sample of 27 OECD countries, panel cointegration tests provide an evidence for the existence of long-run equilibrium relationship in pass-through equation. Following Pedroni...
Persistent link: https://www.econbiz.de/10010835788
This paper investigates the presence of a long-run equilibrium relationship in the exchange rate pass-through (ERPT) equation for a panel of 27 OECD countries. Previous empirical panel data studies, such as Barhoumi [2005, "Exchange rate pass-through into import prices in developing countries:...
Persistent link: https://www.econbiz.de/10010701066
By focusing on the macroeconomic effects of temporary price shocks, this note clarifies the relationships among the terms of trade, the real exchange rate and the current account. This clarification suggests that a real depreciation might prove incapable of bringing the external imbalance back...
Persistent link: https://www.econbiz.de/10010884986
This paper examines the information transmission between stocks and their corresponding deposit receipts (DRs) by collecting samples with good reputations and high liquidity in both markets. Using eight years of daily panel data from six cross-listed Taiwanese firms, our results show the...
Persistent link: https://www.econbiz.de/10010884989
In this paper we assess the predictive abilities of a Bayesian threshold vector autoregression (B-TVAR) to forecast the EUR/USD exchange rate. By introducing stochastic search variable selection priors (SSVS), we account for the inherent model uncertainty when it comes to modeling exchange...
Persistent link: https://www.econbiz.de/10010884990
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...
Persistent link: https://www.econbiz.de/10010884991
We contribute to the literature by studying the impact of economic policy uncertainty (EPU) from major net oil importers (USA, Europe and China) on Gulf Cooperation Council (GCC) stock markets. We use panel data methods to estimate different specifications. We find that (i) an increase in EPU...
Persistent link: https://www.econbiz.de/10010889795