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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

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

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

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

Ben Cheikh, Nidhaleddine - 2012

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

Revisiting the role of inflation environment in the exchange rate pass-through : a panel threshold approach

Ben Cheikh, Nidhaleddine; Louhichi, Waël - 2014

This paper sheds new light on the role of inflation regime in explaining the extent of exchange rate pass-through (ERPT) into import prices. In order to classify his sample of 24 developing countries by regimes of inflation, Barhoumi [(2006), “Differences in long run exchange rate pass-through...

Persistent link: https://www.econbiz.de/10011346361

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

Recent estimates of exchange rate pass-through to import prices in the Euro area

Ben Cheikh, Nidhaleddine; Rault, Christophe - 2015

This paper provides an update on the exchange rate pass-through (ERPT) estimates for 12 euro area (EA) countries. First, based on quarterly data over the 1990-2012 period, our study does not find a significant heterogeneity in the degree of pass-through across the monetary union members, in...

Persistent link: https://www.econbiz.de/10010518820