This paper proposes a robust estimation procedure, the bounded influence estimate (BIS), which is robust against departure from the conditional normality of the autoregressive conditional heteroskedasticity (ARCH) models to describe the behavior of exchange rates. First, the BIE identifies the...

En este trabajo evaluamos la proyección de la tasa de cambio (peso colombiano/dólar) con datos de 1995 a 2005 de Colombia a través del modelo de Tasa de Cambio de Paridad de Poder Adquisitivo (TCPPA). En primer lugar encontramos que las proyecciones realizadas validan el uso de este modelo...

This paper investigates the ability of the Dornbusch (1976) sticky- price model for the nominal metical-rand exchange rate, over the period 1994:1-2005:4 in explaining the exchange rate movements of Mozambique. Based on the model, we find that there is a stable relationship between the exchange...

This study examines the significant impact of exchange rate shock on prices of Malaysian imports and exports. In methodology, the study adopts vector error correction (VECM) model using monthly data of nominal exchange rates, money supply, prices of imports and prices of exports covering the...

En el presente trabajo se aplica el modelo de restricción de balanza de pagos de Thirlwall a la economía argentina en el periodo 1968-2003 y en subperiodos seleccionados. Los objetivos centrales son dos. En primer lugar, a través de dicho modelo indagar en las causas del lento crecimiento...

The drift-adjustment method estimates the expected rate of depreciation within an exchange rate band by simple equations. Papers applying this method claim that, while forecasting a freely floating currency is hopeless, predicting an exchange rate within the future band is successful. This paper...

The half-life of deviations from purchasing power parity (PPP) plays a central role in the ongoing debate about the ability of macroeconomic models to account for the time series behaviour of the real exchange rate. The main contribution of this paper is a general framework in which alternative...

This paper examines the constraints on the dynamics of the daily US dollar and the Euro exchange rates relative to the Turkish lira after the full fledged Inflation Targeting regime was adopted in 2006. We find that the single threshold specifications with two regimes that allow the conditional...