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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

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

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

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

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

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

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

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

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

Chartist Trading in Exchange Rate Theory

Selander, Carina - Institutionen för Nationalekonomi, Umeå Universitet - 2006

This thesis consists of four papers, of which paper 1 and 4 are co-written with Mikael Bask. Paper [1] <p> implements chartists trading in a sticky-price monetary model for determining the exchange rate. It is <p> demonstrated that chartists cause the exchange rate to "overshoot the overshooting...</p></p>

Persistent link: https://www.econbiz.de/10005424010