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Purchasing Power Parity among developing countries and their trade-partners. Evidence from selected CEECs and Implications for their membership of EU.
Giannellis, Nikolaos; Papadopoulos, Athanasios - Department of Economics, University of Crete - 2006
The purpose of the paper is twofold. Firstly, we test the validity of the PPP hypothesis for selected CEEC (Czech … find stronger evidence of PPP from the latter test. Moreover, any failure to accept PPP cannot be attributed to structural … breaks, apart from one case (between Czech Republic and EU). In overall, there is evidence of strong-form PPP in 6 out of the …
Persistent link: https://www.econbiz.de/10005040057
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Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010293969
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010293980
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Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
Acaravci, Ali; Ozturk, Ilhan - In: Amfiteatru Economic Journal 12 (2010) 27, pp. 190-198
This study examines the validity of the purchasing power parity (PPP) in 8 transition countries for monthly data from … 1992:1 to 2009:1. While results from both the ADF unit root and the KPSS unit root test indicate that PPP does not hold for … breaks, PPP holds only for Bulgaria and Romania it does not hold for the other 6 transition countries. Testing the …
Persistent link: https://www.econbiz.de/10011724717
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Oil prices and the US effective exchange rate : a hidden cointegration analysis
Rafailidis, Panagiotis; Katrakilides, K. - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 134-144
Persistent link: https://www.econbiz.de/10011715968
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Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate
Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed...
Persistent link: https://www.econbiz.de/10011765010
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REAL EXCHANGE RATES IN LATIN AMERICA: THE PPP HYPOTHESIS AND FRACTIONAL INTEGRATION
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - In: Journal of Economic Development 35 (2010) 2, pp. 1-21
This paper tests for PPP in a group of seventeen Latin American (LA) countries by applying fractional integration … allowing for non-integer values for the degree of integration, and thus for the possibility of PPP not holding continuously but … disturbances, are in the majority of cases inconsistent with PPP, even more so when breaks are incorporated: Argentina is the only …
Persistent link: https://www.econbiz.de/10009350188
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On European monetary integration and the persistence of real effective exchange rates
Kruse, Robinson - School of Economics and Management, University of Aarhus - 2010
This paper deals with the possibility of changing persistence in European real effective exchange rates as initially analyzed by Gadea and Gracia (2009). By applying a CUSUM of squares-based test for constant versus changing persistence with desirable statistical properties, an OECD data set is...
Persistent link: https://www.econbiz.de/10008542708
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Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks
Acaravci, Ali; Ozturk, Ilhan - In: The AMFITEATRU ECONOMIC journal 12 (2010) 27, pp. 190-198
This study examines the validity of the purchasing power parity (PPP) in 8 transition countries for monthly data from … 1992:1 to 2009:1. While results from both the ADF unit root and the KPSS unit root test indicate that PPP does not hold for … breaks, PPP holds only for Bulgaria and Romania it does not hold for the other 6 transition countries. Testing the …
Persistent link: https://www.econbiz.de/10008583308
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Equilibrium exchange rate determination and multiple structural changes
Kim, Hyunsok; MacDonald, Ronald - Department of Economics, Adam Smith Business School - 2010
The large appreciation and depreciation of the US dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more...
Persistent link: https://www.econbiz.de/10008459114