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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error …
Persistent link: https://www.econbiz.de/10011460225
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Inflation persistence and asymmetries: evidence for African countries
Cuestas, Juan Carlos; Mourelle, Estefanía - Nottingham Trent University, Nottingham Business … - 2009
In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear...
Persistent link: https://www.econbiz.de/10004980079
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Short-term inflation projections model and its assessment in Latvia
Bessonovs, Andrejs; Krasnopjorovs, Olegs - In: Baltic journal of economics 21 (2021) 2, pp. 184-204
Modelling Approach to Cointegration Analysis. Econometric Society Monographs, 31, 371-413.]. We assess the forecast accuracy of …
Persistent link: https://www.econbiz.de/10012805901
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Measuring macroeconomic convergence and divergence within EMU using long memory
Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp - 2020
existence of fractional cointegration relations. The notion of fractional cointegration allows for long-term equilibria with a … higher degree of persistence than allowed for in the standard cointegration framework. We investigate both inflation and … persistence structure we find evidence of fractional cointegration as well as a lower persistence before the crisis and a higher …
Persistent link: https://www.econbiz.de/10012252805
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Nonlinear exchange rate pass-through in Mexico
Jaramillo Rodríguez, Jorge; Pech Moreno, Luis Alberto; … - 2019
in Mexico. To look for nonlinearities, we employ a Threshold VAR approach (TVAR). The threshold allows us to …. Our results suggest the existence of nonlinearities in Mexico only for the merchandise inflation measure, including the …
Persistent link: https://www.econbiz.de/10012167284
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Exchange Rate and Consumer Prices in the Euro Area: A Cointegrated VAR Analysis
Ben Cheikh, Nidhaleddine - Volkswirtschaftliche Fakultät, … - 2013
framework. Using the Johansen cointegration procedure, results indicate the existence of one cointegrating vectors at least for …
Persistent link: https://www.econbiz.de/10011259175
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Do reductions in black market exchange rate premia cause inflation?
Larue, Bruno; Gervais, Jean-Philippe - In: Empirical Economics 26 (2001) 3, pp. 525-551
Unification of the black and official exchange rates and increasing the rate of crawl of the official rate are the competing prescriptions to reduce inefficiencies caused by the black market premia. Pinto (1991) showed that the removal of implicit export taxes could force governments to raise...
Persistent link: https://www.econbiz.de/10005382443
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How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?
Garces-Diaz, Daniel - Econometric Society - 2004
This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...
Persistent link: https://www.econbiz.de/10005328935
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …
Persistent link: https://www.econbiz.de/10014071881
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Exchange rate pass-through in Russia
Ponomarev, Jurij; Trunin, Pavel V.; Uljukaev, Aleksej V. - 2014
The article provides estimates of short-run and medium-run exchange rate pass-through into domestic prices in Russia during the period of 2000–2012 using vector error correction model. Exchange rate pass-through asymmetry estimates, its assessments on different sub-periods and exchange rate...
Persistent link: https://www.econbiz.de/10011398366