Showing 1 - 10 of 298
The size and power of the Wald, Edgeworth expansion corrected likelihood-ratio statistic (LRE), and bootstrap tests for Granger causality in integrated-cointegrated VAR systems are considered. By using Monte Carlo methods and simple graphical techniques, the p-value plots, and power-size plots,...
Persistent link: https://www.econbiz.de/10014620824
Purpose – Questionnaire surveys made at currency markets around the world reveal that currency trade to a large extent not only is determined by an economy's performance or expected performance. Indeed, a fraction is guided by technical trading, which means that past exchange rates are assumed...
Persistent link: https://www.econbiz.de/10014866817
Purpose – The purpose of this paper is to focus on the weak-form efficiency of 24 emerging and nine industrial stock market indices around the world. It tests for the predictability and the presence of seasonal patterns in rates of return from January 2000 to December 2010....
Persistent link: https://www.econbiz.de/10014788729
Purpose The purpose of this paper is to evaluate the profitability of technical trading relative to buy-and-hold (BH) strategy at firm level, controlling for firm size and trading volume. Design/methodology/approach This paper applies variable-length moving averages (VMAs) thoroughly to each and...
Persistent link: https://www.econbiz.de/10014785650
Purpose – Impact of currency depreciation or devaluation on the trade balance is not instantaneous. Indeed, because of adjustment lags favorable effects of depreciation is only realized in the future. This short‐run dynamics of the trade balance is summarized by the S‐Curve phenomenon. The...
Persistent link: https://www.econbiz.de/10014847558
Purpose – The paper aims at developing a theoretical model for de facto dollarized small open economies focusing on currency substitution and nominal wages indexation to the exchange rate. Design/methodology/approach – The analysis is performed in a general equilibrium “New Open Economy...
Persistent link: https://www.econbiz.de/10014863163
Purpose – Since the introduction of the concepts of the J‐ and S‐curves, many researchers have tried to verify their validity empirically. This paper aims to review the related papers and to offer direction for future research. Design/methodology/approach – This is a review paper. As...
Persistent link: https://www.econbiz.de/10014863261
Analyses how the status of balance of payments follows se\ill\ fulfilling expectations of currency devaluation. It is found that before a currency devaluation, whether the economy w\ill\ experience a balance‐of‐payments surplus or deficit crucial depends on the degree of capital mobility.
Persistent link: https://www.econbiz.de/10014863410
Models fiscal policy interactions between fiscal authorities and private investors in the foreign exchange market in a game‐theoretic framework. Using a two‐period game, I consider the credible and noncredible announcements of the domestic fiscal authority with respect to the stance of its...
Persistent link: https://www.econbiz.de/10014863439
Examines the effect of domestic inflation on recorded measures of the current account of the balance of payments. When domestic inflation is relatively high, it distorts conventionally measured current account deficits. This is because part of the recorded servicing payments on external...
Persistent link: https://www.econbiz.de/10014863460