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The Implications of Cross-Border Monetary Aggregation

Lane, Timothy D.; Kremers, Jeroen J. M. - International Monetary Fund (IMF) - 1992

Some recent studies suggest the possibility of estimating a stable aggregate demand-for-money relationship for the group of countries participating in the European Monetary System. These results are of particular relevance in connection with the task of setting policy targets for a European...

Persistent link: https://www.econbiz.de/10005264074

Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System

Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003

This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...

Persistent link: https://www.econbiz.de/10005825693

French-German Interest Rate Differentials and Time-Varying Realignment Risk

Caramazza, Francesco - International Monetary Fund (IMF) - 1993

This paper explores the determinants of expected rates of realignment of the French franc/Deutsche mark exchange rate during the period 1987-1991. It does so by first estimating expected parity changes and then relating these to economic variables that are believed to influence agents’...

Persistent link: https://www.econbiz.de/10005599269

Angebot und Nachfrage im Außenhandel : Theoretische Überlegungen und eine Kointegrationsanalyse für Deutschland

Meurers, Martin - ifo Leibniz-Institut für Wirtschaftsforschung an der …

Im Mittelpunkt der Arbeit steht die theoretische und empirische Analyse von Angebot und Nachfrage auf den Im- und Exportmärkten. Sie ist mit dem Ziel verknüpft, die Reagibilität von Preisen und Mengen im Außenhandel in Bezug auf Änderungen des realen Wechselkurses und der wirtschaftlichen...

Persistent link: https://www.econbiz.de/10008791347

Testing Purchasing Power Parity in Romania using standard unit root tests, with one structural break and cointegration analysis

Ghiba, Nicolae; Sadoveanu, Diana - In: Romanian Economic Journal 15 (2012) 44, pp. 225-242

exchange rate compared with traditional tests like Augmented Dickey-Fuller and Phillips-Perron and cointegration analysis in … PPP strong form. We identify evidence of cointegration for all three models, but we don’t find any evidence to support …

Persistent link: https://www.econbiz.de/10010970425

Cointegration tests of purchasing power parity

Wallace, Frederick - In: Review of World Economics (Weltwirtschaftliches Archiv) 149 (2013) 4, pp. 779-802

Im et al. (Unpublished working paper, <CitationRef CitationID="CR11">2008</CitationRef>) develop cointegration tests … using stationary instrumental variables. Their tests avoid the need to simulate critical values for the cointegration … two well-known, single equation cointegration methods to test for purchasing power parity. The estimations with …

Persistent link: https://www.econbiz.de/10010992906

Determinants of real exchange rates: An empirical investigation

Kakkar, Vikas; Yan, Isabel - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2014

The large and persistent deviations of nominal exchange rates from their purchasing power parities comprise a key stylized fact in international economics. This paper sheds light on these persistent deviations by combining two disparate strands of empirical work. The first strand focuses on real...

Persistent link: https://www.econbiz.de/10011019069

Purchasing power parity in the eastern Caribbean currency union

Simmons, Walter; Aggarwal, Raj - In: Journal of Developing Areas 38 (2004) 2, pp. 155-169

There is increasing interest in regional trade, investment, and currency blocs, and in the optimal public policies for such blocs. There is also much managerial interest in the co-movement of exchange rates in a region. The Eastern Caribbean Currency Bloc is one of only three (and one of the...

Persistent link: https://www.econbiz.de/10011213280

Purchasing power parity in Asian economies: further evidence from rank tests for cointegration

Liew, Venus Khim-Sen; Lee, Hock-Ann; Lim, Kian-Ping - Volkswirtschaftliche Fakultät, … - 2005

The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and …

Persistent link: https://www.econbiz.de/10011267871

EMPIRICAL VERIFICATION OF THE PURCHASING POWER PARITY

Wisniewski, Jakub - In: Oeconomia Copernicana 3 (2012) 3, pp. 37-61

cointegration of exchange rates and prices, as well as the stationarity of real exchange rates. The analysis used quarterly data …

Persistent link: https://www.econbiz.de/10011273781

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