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Foreign Exchange Market Efficiency : Fractional Cointegration Approach
Belkacem, Lotfi; El Meddeb, Zahra; Boubaker, Heni - 2005
market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate … ARFIMA model. The cointegration tests are conducted using spot and 1- month forward daily exchange rate of the Tunisian Dinar … fractional cointegration between the one-month forward rate and the spot rate relative to these parities (TND/USD) and (TND/Euro) …
Persistent link: https://www.econbiz.de/10014063076
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Exchange rate misalignments, interdependence, crises, and currency wars : an empirical assessment
Marçal, Emerson Fernandes - In: Revista brasileira de economia : RBE ; revista da … 68 (2014) 2, pp. 243-276
Persistent link: https://www.econbiz.de/10011446550
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Exchange rate misalignment and capital flight from Botswana : a cointegration approach with risk thresholds
Bosupeng, Mpho; Dzator, Janet; Nadolny, Andrew - In: Journal of risk and financial management : JRFM 12 (2019) 2/101, pp. 1-26
1980-2015. The study uses the autoregressive distributed lag (ARDL) approach to cointegration and the Toda and Yamamoto …
Persistent link: https://www.econbiz.de/10012021980
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Exchange rate misalignment and economic growth : evidence from nonlinear panel cointegration and granger causality tests
Tipoy, Christian K.; Breitenbach, Marthinus C.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011897368
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What drives Germany's exports?
Frenkel, Michael; Zimmermann, Lilli - In: International journal of management and economics 56 (2020) 2, pp. 99-108
cointegration estimation techniques, we examine different determinants for their ability to explain German exports during the period …
Persistent link: https://www.econbiz.de/10012302747
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Pass-Through of Imported Input Prices to Domestic Producer Prices : Evidence from Sector-Level Data
Ahn, JaeBin - 2016
Motivated by stylized facts pointing to a dominant role of imported inputs in transmitting external price shocks to domestic prices, this paper zooms in to study the pass-through of imported input costs to domestic producer prices. Our approach constructs effective input price indices from...
Persistent link: https://www.econbiz.de/10012996091
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The monetary exchange rate model as a long-run phenomenon
Groen, Jan J. J. - 1998
residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …
Persistent link: https://www.econbiz.de/10011299983
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The macroeconomic effects of large exchange rate appreciations
Kappler, Marcus; Reisen, Helmut; Schularick, Moritz; … - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10008901831
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The macroeconomic effects of large exchange rate appreciations
Kappler, Marcus; Reisen, Helmut; Schularick, Moritz; … - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10008905965
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The determinants of international flows of US currency
Hellerstein, Rebecca; Ryan, William - 2009
This paper examines the determinants of cross-border flows of U.S. dollar banknotes, using a new panel data set of bilateral flows between the United States and 103 countries from 1990 to 2007. We show that a gravity model explains international flows of currency as well as it explains...
Persistent link: https://www.econbiz.de/10003947795