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The pula-dollar exchange rate and the purchasing power parity in Botswana
M. Thamas Paul*; G. R. Motlaleng* - In: Journal of Developing Areas 41 (2008) 2, pp. 205-231
For the small open economy of Botswana the PPP theory is validated in both the absolute and relative version for the … of the Pula in the long run. This contradicts the portfolio balance theory which advocates that for a trade account …
Persistent link: https://www.econbiz.de/10011212995
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Purchasing Power Parity in the BRICS and the MIST Countries: Sequential Panel Selection Method
Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Lee, Kuei-Chiu - In: Review of Economics & Finance 4 (2014) Feburary, pp. 1-12
The Sequential Panel Selection Method (SPSM) procedure is applied to the real effective exchange rates of BRICS (Brazil, Russia, India, China, and South Africa) and MIST (Mexico, Indonesia, South Korea and Turkey) countries, using monthly data over the period 1994-2012. While several panel unit...
Persistent link: https://www.econbiz.de/10010927766
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Carry Trade
Jorda, Oscar - Economics Department, University of California-Davis - 2010
To appear in the Encyclopedia of Financial Globalization
Persistent link: https://www.econbiz.de/10008691734
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Carry Trade
Jorda, Oscar - Economics Department, University of California-Davis
To appear in the Encyclopedia of Financial Globalization
Persistent link: https://www.econbiz.de/10008691735
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Modeling and Predicting the EUR/USD Exchange Rate: The Role of Nonlinear Adjustments to Purchasing Power Parity
Cuaresma, Jesús Crespo; Orthofer, Anna - In: Monetary Policy & the Economy (2010) 2, pp. 64-76
, predictions of the exchange rate tend to be linked to the equilibrium concept implied by the purchasing power parity (PPP) theory … theory predicts that the dynamics of the nominal exchange rate around the equilibrium value implied by PPP are nonlinear … alternative nonlinear formulations outperform them for forecasting purposes. We find that the theory of nonlinear adjustment to …
Persistent link: https://www.econbiz.de/10008527035
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Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk
Ca' Zorzi, Michele; Rubaszek, Michał - Narodowy Bank Polski - 2012
This paper brings two new insights into the Purchasing Power Parity (PPP) debate. First, even if PPP is thought to hold only in the long run, we show that a half-life PPP model outperforms the random walk in real exchange rate forecasting, also at short-term horizons. Second, we show that this...
Persistent link: https://www.econbiz.de/10010583587
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Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan: Evidence FromUnrestricted Purchasing Power Parity Theory
Khan, Muhammad Arshad; Qayyum, Abdul - In: Lahore Journal of Economics 13 (2008) 1, pp. 29-56
purchasing power parity (PPP) theory of exchange rates for the Pak-rupee vis-à-vis the US-dollar exchange rate over the period …
Persistent link: https://www.econbiz.de/10010586242
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Fundamentals and Exchange Rate Forecastability with Machine Learning Methods
Michalski, Tomasz; Amat, Christophe - HEC Paris (École des Hautes Études Commerciales) - 2014
Simple exchange rate models based on economic fundamentals were shown to have a difficulty in beating the random walk when predicting the exchange rates out of sample in the modern floating era. Using methods from machine learning -- sequential adaptive ridge regression -- that prevent...
Persistent link: https://www.econbiz.de/10011147708
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An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999.
Campa, J.M.; Chang, P.H.K.; Refalo, J.F. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10005625762
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Credit Growth, Current Account and Financial Depth
Ekinci, M. Fatih; Erdem, F. Pinar; Kilinc, Zübeyir - Türkiye Cumhuriyet Merkez Bankası - 2014
Exploring the determinants and dynamics of the current account balance is one of the priorities of academic literature and policy circles. Although the effects of structural variables are deeply analyzed, a lesser attention has been paid to the impact of financial variables. Drawing on standard...
Persistent link: https://www.econbiz.de/10010941498