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Measuring regional market integration in developing Asia : a Dynamic Factor Error Correction Model (DF-ECM) approach

Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; … - 2007

This paper examines empirically the dynamic process of regional market integration in twelve Asian economies using a new modeling approach combining DF with ECM. This approach enables us to obtain latent regional dynamic factors which correspond well with the 'foreign' parity variables in theory...

Persistent link: https://www.econbiz.de/10010529711

Macroeconomic factors driving exchange rate volatility and economic sustainability : case study of Pakistan

Ghauri, Saghir Pervaiz; Ahmed, Rizwan Raheem; … - In: Amfiteatru economic : an economic and business research … 26 (2024) 66, pp. 612-628

is used. This study uses an Autoregressive distribution lag (ARDL) model, which assesses cointegration between variables … to see their short- and long-term relationship. As a result, there is cointegration, according to the results of the ARDL …

Persistent link: https://www.econbiz.de/10014577814

Determinants of Foreign Exchange Reserves in India : A Multivariate Cointegration Analysis

Dash, Priyadarshi - 2015

This paper attempts to identify the key determinants of foreign exchange reserves in India using Johansen (1995 …) Maximum-Likelihood Vector Error Correction Model (VECM) on monthly as well as annual data for reserves, imports and nominal … exchange rate. The empirical results confirm that there exists a long-run cointegrating relationship among reserves, imports …

Persistent link: https://www.econbiz.de/10013030106

Determinants of Foreign Exchange Reserves in India : A Multivariate Cointegration Analysis

Dash, Priyadarshi - 2015

Persistent link: https://www.econbiz.de/10013039218

Purchasing Power Parity Based on Capital Account, Exchange Rate Volatility and Cointegration : Evidence from Some Developing Countries

Ahmed, Mudabber - 2008

-regression based, regression based and co-integration based. An important feature of the study is that test of PPP which relies on …

Persistent link: https://www.econbiz.de/10014215553

The reaction of exchange rates and interest rates of news releases

Kreuter, Christof; Gottschling, Andreas; Cornelius, Peter - 1998

Persistent link: https://www.econbiz.de/10000991781

The Long-Run Nominal Exchange Rate : Specification and Estimation Issues

Razzak, Weshah A.; Grennes, Thomas J. - 2002

Squares. This method accounts for the serial correlation in the residuals, the simultaneity, and cointegration among the …

Persistent link: https://www.econbiz.de/10014112601

Asset Prices, Real Exchange Rate and Current Account Fluctuations : Some Structural VAR Evidence for Thailand

Jiranyakul, Komain - 2017

This paper is motivated by the controversial issue in the literature pertaining to the impact of real exchange rate, housing prices and stock prices on current account fluctuations. Thailand's quarterly data are used to examine the impacts of shocks to asset prices and real exchange rate on the...

Persistent link: https://www.econbiz.de/10012967437

Long run exchange rate pass-through : a panel cointegration approach

Ben Cheikh, Nidhaleddine - 2012

Persistent link: https://www.econbiz.de/10009559100

The reaction of exchange rates and interest rates of news releases

Kreuter, Christof; Gottschling, Andreas; Cornelius, Peter - 1998

This note examines how the DEM/USD rate and US short-term and long-term interest rates respond to the release of payroll announcements. In contrast to a recent paper by Edison (1997), who employs a linear econometric model, we test the influence of news by comparing the absolute values of the...

Persistent link: https://www.econbiz.de/10010504320