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Financial Integration between China and Asia Pacific Trading Partners: Parities Evidence from the First- and Second-generation Panel Tests
Chan, Tze-Haw; Baharumshah, Ahmad Zubaidi - Volkswirtschaftliche Fakultät, … - 2012
utilized in the analyses. Our findings reveal that first, RIP holds stronger than PPP among APEC-China. Second, both parities …
Persistent link: https://www.econbiz.de/10011109748
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International Parities among China and Her Major Trading Partners in Asia Pacific
Chan, Tze-Haw - Volkswirtschaftliche Fakultät, … - 2008
interest differential series, which mostly occur in 1988, 1993/94 and 1997/98. Second, RIP holds better than PPP, suggesting …
Persistent link: https://www.econbiz.de/10005025740
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The monetary approach to exchange rates in the CEECs
Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2003
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10005648580
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The monetary approach to exchange rates in the CEECs
Crespo-Cuaresma, Jesús; Fidrmuc, Jarko; McDonald, Ronald - EconWPA - 2004
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10005561077
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Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels
Chortareas, Georgios; Kapetanios, George - School of Economics and Finance, Queen Mary - 2008
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10005106402
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Getting PPP Right: Identifying Mean-Reverting Real Exchange Rates in Panels
Chortareas, Georgios; Kapetanios, George - School of Economics and Finance, Queen Mary - 2004
Recent advances in testing for the validity of Purchasing Power Parity (PPP) focus on the time series properties of real exchange rates in panel frameworks. One weakness of such tests, however, is that they fail to inform the researcher as to which cross-section units are stationary. As a...
Persistent link: https://www.econbiz.de/10005106473
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Parity reversion in real interest rate in the Asian countries: Further evidence based on local-persistent model
Baharumshah, Ahmad Zubaidi; Soon, Siew-Voon; Hamzah, … - In: Economic Modelling 35 (2013) C, pp. 634-642
This paper examines the validity of real interest parity (RIP) for 10 Asian economies over the period 1977 ….'s (2001) local-persistent model provide a clear-cut conclusion on RIP: Most of the RIDs take less than a year to adjust back …
Persistent link: https://www.econbiz.de/10010719412
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The persistence of real exchange rates in the Central and Eastern European countries
Baharumshah, Ahmad Zubaidi; Soon, Siew-Voon; Fountas, … - 2014
This paper investigates the mean reversion in real exchange rates for Central and Eastern European countries. In contrast to previous studies, we use the local-persistent model to measure the half-life. We find that the adjustment to purchasing power parity is more rapid after accounting for...
Persistent link: https://www.econbiz.de/10011079227
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Real interest parity in Central and Eastern European countries: Evidence on integration into EU and the US markets
Baharumshah, Ahmad Zubaidi; Soon, Siew-Voon; Boršič, Darja - In: Journal of International Financial Markets, … 25 (2013) C, pp. 163-180
We investigate the validity of real interest parity (RIP) for the 13 Central and Eastern European countries, over the … al. (2005) and confirmed the strong version of RIP. We found that the events of the last two decades, including the …, we found that these countries take less than a year to converge to the RIP value. Financial market integration in these …
Persistent link: https://www.econbiz.de/10011041496
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Another Look at the Null of Stationary RealExchange Rates. Panel Data with Structural Breaks and Cross-section Dependence
Basher, Syed A.; Carrion-i-Silvestre, Josep Lluís - Facultat d'Economia i Empresa, Universitat de Barcelona - 2007
This paper re-examines the null of stationary of real exchange rate for a panel of seventeen OECD developed countries during the post-Bretton Woods era. Our analysis simultaneously considers both the presence of cross-section dependence and multiple structural breaks that have not received much...
Persistent link: https://www.econbiz.de/10005059597