Showing 1 - 10 of 11
The linkages between the People's Republic of China and the other Chinese economies of Hong Kong and Taiwan are assessed, and compared against those with Japan and the US. We first characterize the time series behavior of three criteria of integration, namely real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011521409
Previous assessments of forecasting performance of exchange rate models have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by...
Persistent link: https://www.econbiz.de/10011521412
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage, including monetary and portfolio balance models. In this paper we re-assess the in-sample fit and out-of-sample prediction of a wider set of models that have been...
Persistent link: https://www.econbiz.de/10011521440
The status of real and financial integration of China, Hong Kong, and Taiwan is investigated using monthly data on one-month interbank rates, exchange rates, and prices. Specifically, the degree of integration is assessed based on the empirical validity of real interest parity, uncovered...
Persistent link: https://www.econbiz.de/10011521444
The paper assesses the international status of the Chinese currency renminbi (RMB) by recounting and reviewing the recent polices China instituted to promote the use of the RMB in the global market. The evidence suggests that the RMB is gaining acceptance overseas. However, compared with the...
Persistent link: https://www.econbiz.de/10008908359
Persistent link: https://www.econbiz.de/10003303732
We introduce a time series model that captures both long memory and conditional heteroskedasticity and assess their ability to describe the US inflation data. Specifically, the model allows for long memory in the conditional mean formulation and uses a normal mixture GARCH process to...
Persistent link: https://www.econbiz.de/10003921443
The article examines the Hong Kong export performance. A standard export demand formulation is used as the benchmark. Then, we investigate the effects of real exchange rate volatility, "third" country competition, domestic wages, and costs of imports from China on export volume. The study models...
Persistent link: https://www.econbiz.de/10011521442
Persistent link: https://www.econbiz.de/10003346729
Using the "trilemma indexes" developed by Aizenman et al. (2010) that measure the extent of achievement in each of the three policy goals in the trilemma - monetary independence, exchange rate stability, and financial openness - we examine how policy configurations affect macroeconomic...
Persistent link: https://www.econbiz.de/10009158763