This paper examines if uncovered interest rate parity condition holds for Turkey. In this paper, an empirical analysis is provided for the dates between December 2001 and June 2007 by using monthly data for Turkey and the U.S. Main finding is that UIP does not hold for Turkey. In addition to...

This article examines the PPP hypothesis, i.e. the proposition that the real exchange rates are stationary, in the case of Europe. For that purpose, we study the statistical properties of 14 European bilateral real exchange rates against the Deutschmark, over the periods snake and EMS. These...

The main objective of this study is to use disaggregate data between Thailand and its major trading partners to examine the validity of the purchasing power parity (PPP). Bilateral exchange rates between domestic currency (Thai baht) and each currency of major trading partners as well as the...

This paper examines the validity of both the short-run and long-run purchasing power parity (PPP) hypotheses in Japan using two estimation methods, namely, a unit root test and an Autoregressive Distributed Lag (ARDL) cointegration test. Some important findings are obtained from our analysis....

The Real Exchange Rate (RER) dynamic has been widely studied. The international literature shows that, in the period after the Bretton Woods treaties, it would follow a non-stationary process. The evidence for the Chilean economy suggests that only in the very long term it is possible to find...

We study the behavior of the Real Effective Exchange Rate (REER) of the dirham against the European currencies (the EU15), over the period 1960–2000. We measure the volatility using standard deviation, and the misalignments as the difference between the actual REER and the equilibrium REER...

Recent empirical studies have highlighted that valuation effects associated with fluctuations of nominal exchange rates are one of the key components that drive the behaviour of the net foreign assets position of a country. In this paper, we propose a two-country overlapping-generations model of...

While currency crises have been extensively studied, the opposite phenomenon, large appreciations, has been far less researched. We fill this gap by providing an empirical exploration of historical episodes of large real exchange rate appreciations, using a sample of 28 advanced and 25 emerging...

Abstract Balance of Payments (BoP), being a record of the monetary transactions over a period with the rest of the world, reflects all payments and liabilities to foreigners and all payments and obligations received from foreigners. In this sense, the balance of payments is one of the major...

Credit constraints that link a private agent's debt to market-determined prices embody a systemic credit externality that drives a wedge between competitive and (constrained) socially optimal equilibria, which induces private agents to ``overborrow". We quantify the effects of this externality...