This paper tests the validity of Purchasing Power Parity (PPP) doctrine for Ghana using the conventional relative PPP equation. We conducted a univariate Augmented Dickey-Fuller unit root test on the model variables. Exchange rate and CPI data for Ghana and the USA were collected on annual basis...

We test for the pricing of exchange rate and foreign inflation risk in equities. Our tests are motivated by the empirical implications of the models of Solnik (1974b) as revised by Sercu (1980), Grauer, Litzenberger, and Stehle (1976), and Adler and Dumas (1983). Both exchange rate and foreign...

Recent research on contingent claims valuation has assumed increasingly general models of the behavior of cash securities. Relatively few attempts have been made to implement and evaluate such models empirically, however. In this paper we apply a multi-factor, continuous time pricing model to...

For a developing country like Nigeria, the price of foreign exchange plays a highly significant role in the ability of the economy to attain optimal productive capacity. This paper, using a statistical analysis, studies the foreign exchange rate behaviour in Nigeria's auction.

The purpose of this study is to compare the performances of three different weighting schemes for a currency basket in terms of relative stability in the tunisian economy. The three alternative policy peg are: (1) a trade-weighted currency basket, (2) the basket suggested by Lipshitz and...

Bu çalışmada, reel döviz kuruyla ihracat ve ithalat arasındaki ilişkiler, 1990:1–2004:6 dönemi için aylık veriler kullanılarak VAR modeli yardımıyla araştırılmıştır. Bulgular Granger nedensellik, varyans ayrımlaştırma ve etki-tepki fonksiyonlarından hareketle...

Alexander Swoboda is one of the originators of the bipolar view that capital mobility creates pressure for countries to abandon intermediate exchange rate arrangements in favor of greater flexibility and harder pegs. This paper takes another look at the evidence for this hypothesis using two...

This study measures the proportion of U.S. exchange rate movements that can be accounted for by movements in relative prices of non-traded goods.

Economic agents undertake actions to protect themselves from sort-run impact of foreign exchange rate fluctuations: Nominal goods prices are set in consumer' currencies and firms hedge foreign exchange risk. A model is presented here which shows that these features of the economy can lead to...

We investigate the behavior of long-run U.S./U.K. real exchange rate from 1885 to 1995.