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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and …
Persistent link: https://www.econbiz.de/10011267871
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Purchasing power parity in Asian economies: further evidence from rank tests for cointegration
Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005
The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and …
Persistent link: https://www.econbiz.de/10005025696
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Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries
Liew, Venus Khim-Sen; Chia, Ricky Chee-Jiun; Ling, Tai-Hu - Volkswirtschaftliche Fakultät, … - 2009
Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and …
Persistent link: https://www.econbiz.de/10005055498
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Cointegration Tests of Purchasing Power Parity
Wallace, Frederick; Lozano Cortés, René; … - Volkswirtschaftliche Fakultät, … - 2008
Three well-known single equation cointegration tests are employed to test for purchasing power parity (PPP) in updated …
Persistent link: https://www.econbiz.de/10005616859
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EXCHANGE RATE DETERMINATION IN PAKISTAN: EVIDENCE BASED ON PURCHASING POWER PARITY THEORY
Khan, Muhammad Arshad; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2007
rate using Johansen (1988) and Johansen and Juselius (1990) multivariate cointegration and bound testing approach to … cointegration (Pesaran et al., 2001) over the period 1982Q2-2005Q4. We find a considerable support for the existence of long-run PPP …
Persistent link: https://www.econbiz.de/10005621557
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Cointegration tests of purchasing power parity
Wallace, Frederick - Volkswirtschaftliche Fakultät, … - 2009
single equation regressions for cointegration. Using an updated version of the data set developed by Taylor (2002), the ILE …
Persistent link: https://www.econbiz.de/10008578217
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Does Purchasing Power Parity hold in Thailand?
Jiranyakul, Komain; Batavia, Bala - Volkswirtschaftliche Fakultät, … - 2009
investigate the existence of stationary real exchange rates and cointegration between nominal exchange rates and relative prices …. The results from various unit root tests and cointegration test show that PPP does not seem to hold in Thailand. …
Persistent link: https://www.econbiz.de/10011113629
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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005789941
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Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored …
Persistent link: https://www.econbiz.de/10005622096
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Business Cycle Synchronisation in EU : A Time-Varying Approach
Degiannakis, Stavros Antonios - 2018
This paper investigates the time-varying correlation between the EU12-wide business cycle and the initial EU12 member-countries based on Scalar-BEKK and multivariate Riskmetrics model frameworks for the period 1980-2012. The paper provides evidence that changes in the business cycle...
Persistent link: https://www.econbiz.de/10012910120