This paper addresses whether parallel market exchange rates in Africa behave in the long run in a manner consistent with the purchasing power parity (PPP) hypothesis. A recent econometric method, the panel co-integration test, enables us to examine the long-run PPP hypothesis by pooling the...

Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....

This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When...

This paper empirically analyzes Japanese long-run exchange rates from several perspectives. Several exchange rate models are considered, including the purchasing power parity, the real interest differential model, and the hybrid models à la Hooper and Morton (1982). A notable feature of the...

This paper analyzes empirically the recent Asian financial crisis using high frequency data of exchange rates and stock indices of the Philippines and Thailand. Utilizing standard time-series techniques, this study confirms that there is evidence that developments in some sectoral...

The paper estimates Angola’s equilibrium parallel market real exchange rate during the 1992–98 period. Using standard integration/co-integration techniques, the results fail to support the purchasing power parity hypothesis and indicate that two exogenous variables—the price of oil and the...

We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...

This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals: the FEER approach, which involves calculating the real exchange rate that equates the current account at full employment with...

This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...

Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (both relative to trading partners), real commodity prices, trade openness, the...