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Estimating medieval market integration : evidence from exchange rates
Volckart, Oliver; Wolf, Nikolaus - 2004
In this paper we present a new method for estimating market integration under a commodity money system such as that which existed in Europe until the demise of the gold standard. The approach is based on the analysis of deviations between exchange rates and parity, which under conditions of a...
Persistent link: https://www.econbiz.de/10009303501
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Testing Purchasing Power Parity for the New EU Members and Turkey : A Panel Cointegration Analysis with Disaggregated CPI
Saygili, Hulya - 2009
This study applies multivariate panel cointegration technique to evaluate purchasing power parity (PPP) hypothesis by using consumer price sub-indices of new EU member transition economies and Turkey. We aim not only to compare the parameter estimates across the sectors of an economy but also...
Persistent link: https://www.econbiz.de/10012719706
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Purchasing Power Parity and Uncovered Interest Parity Revisited : Evidence From G7 Exchange Rates Using a Dynamic Joint Model
Babaei, Hamid - 2023
This paper investigates purchasing power parity (PPP) between the G7 member countries after the advent of the Euro currency. A dynamic joint model of PPP and uncovered interest parity (UIP) is introduced to decompose the real exchange rate (RER) into two components. Interest rate differential...
Persistent link: https://www.econbiz.de/10014349429
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Exchange rate regimes in India : central bank interventions and purchasing power parity in the context of ASEAN currencies
Siddharth, Angad; Alexiou, Constantinos; Vogiazas, Sofoklis - In: Economies : open access journal 12 (2024) 4, pp. 1-21
In this study spanning four decades, we explored the relationship between the Reserve Bank of India's (RBI) interventions and the validity of Purchasing Power Parity (PPP) across two distinct exchange rate regimes: the fixed exchange rate regime (1975-1993) and the managed floating regime...
Persistent link: https://www.econbiz.de/10014635893
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Relationships between exchange rate regime, real exchange rate volatility and currency structure of government bonds in emerging markets
Dudzich, Viktar - In: Národohospodářský obzor : časopis věnovaný … 20 (2020) 1, pp. 3-22
exchange rate regime type (both de jure and de facto) and real exchange rate volatility serving as explanatory variables. The … findings reveal that fixed exchange rate regime and high real exchange rate volatility is promoting the foreign currency …
Persistent link: https://www.econbiz.de/10012242309
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Exchange rate volatility in Nigeria : consistency, persistency & severity analyses
Adeoye, Babatunde W.; Atanda, Akinwande A. - In: CBN journal of applied statistics 2 (2011) 2, pp. 29-49
examines the consistency, persistency, and severity (degree) of volatility in exchange rate of Nigerian currency (naira) vis … were used to examine the degree or severity of volatility based on the first difference, standard deviation and coefficient … of deviation estimated volatility series for the nominal and real exchange rate of naira vis-a-vis the U.S dollar. The …
Persistent link: https://www.econbiz.de/10011477452
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Sectoral R&D intensity and exchange rate volatility : a panel study for OECD countries
Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - 2009
A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …
Persistent link: https://www.econbiz.de/10003864485
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Sectoral R&D intensity and exchange rate volatility : a panel study on economies of the OECD
Mahagaonkar, Prashanth; Schweickert, Rainer; Chavali, … - 2009
A recent literature has pointed at potential negative effects of exchange rate volatility on innovation. In this paper … years 1987 - 2003. We find that the direct negative effect of volatility is pronounced in manufacturing sector but is … dominated by the indirect effect via the export channel. Services do not face any effects of volatility on R&D intensities …
Persistent link: https://www.econbiz.de/10003887126
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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Sources of euro real exchange rate fluctuations : what is behind the euro weakness in 1999-2000?
Döpke, Jörg; Gottschalk, Jan; Kamps, Christophe - 2001
This paper analyzes the factors underlying the weakness of the euro. For this purpose, the framework advocated by Clarida and Gali (1994) is used. Within this model, three structural shocks drive the dynamics of the endogenous variables: aggregate supply shocks, aggregate spending shocks, and...
Persistent link: https://www.econbiz.de/10011473872