This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural...

Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...

This paper estimates the equilibirum level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using cointegration approach, unobserved component...

Assessing real effective exchange rate equilibrium is a challenging task. There is no consensus in the literature on which methodologies and norms apply best to tackle real effective exchange rate misalignment estimation. The novelty of our paper consists of showing that different methodologies...

The removal of the lower bound on the EUR/CHF exchange rate in January 2015 provides a unique setting to study the implications of a large and sudden appreciation in an otherwise stable macroeconomic environment. Using transaction-level data on non-durable goods purchases by Swiss consumers, we...

This study researches the effects of changes in the exchange rate on the trade balance after the transition to the floating exchange rate in the Turkish economy. For this purpose, ARDL and ECM models have been developed by using quarterly data from 2003 through 2018. The starting point of the...