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Unitized Risk and Real Rates of Return : A Historical Evolution of the Leading International Stock Exchanges

Nowak, Alojzy Z. - 2015

Financial markets have experienced unprecedented transformations, signs of which have emerged since the late 1970s. In recent years substantial consolidation occurred. In response to changes in macroeconomic variables, such as GDP, industrial production, inflation and the political business...

Persistent link: https://www.econbiz.de/10013027466

Explaining inflation with a classical dichotomy model and switching monetary regimes : Mexico 1932-2013

Garcés Díaz, Daniel G. - 2017

This paper applies a novel approach to study the impact of different shocks on the price level. It uses a classical dichotomy model with monetary policy regime shifts at known dates. First, there was a regime dominated by money, afterwards a regime driven by the exchange rate and a third one...

Persistent link: https://www.econbiz.de/10011759587

Dynamic Analysis of Trade Balance and Real Exchange Rate : A Stationary VAR Form of Error Correction Model Approach

Kim, Yun-Yeong - 2012

parity (PPP) approaches. Here, a stationary vector autoregressive model with cointegration error, transformed from the error … correction model in Kim (2012), is employed. Trade balance and PPP are jointly considered as the two long-run cointegration …

Persistent link: https://www.econbiz.de/10013101130

Real Exchange Rates in the Long and Short Run : A Panel Co-Integration Approach

Calderón, César A. - 2008

developed panel cointegration techniques to a structural long-run real exchange rate equation. Using annual data for 67 … countries over 1966-97, we find evidence of cointegration between the real exchange rate and its fundamentals. I also find: (a …) evidence of cointegration holds for all sub-samples of countries (classified by income or capital controls), (b) parameter …

Persistent link: https://www.econbiz.de/10012770610

Real Exchange Rate and Economic Growth in China : A Cointegrated VAR Approach

Tang, Bo - 2015

This study investigates the relationship between the real exchange rate (RER) and economic growth in China applying a cointegrated VAR (CVAR) model. However, in contrast to the assumptions of trade partners, this paper finds that the Chinese economy has not benefited from the lower exchange rate...

Persistent link: https://www.econbiz.de/10013025213

Does the PPP Need the Uip?

Helg, Rodolfo; Serati, Massimiliano - 1998

cointegration and then we try to identify a cointegration space where the PPP holds (the 'Johansen approach'). The studies that have … allow for a structural break in the data. We arrive to this conclusion after having identified the cointegration space in …

Persistent link: https://www.econbiz.de/10014103513

Simple vs. Generalized Interest Rate and Purchasing Power Parity Models of Exchange Rates

Mahdavi, Saeid; Zhou, Su - 1998

using the data for eight advanced countries and the cointegration technique. Simple versions of the parity conditions are … also tested for the purpose of comparisons. We find evidence of cointegration only for the generalized version of the …

Persistent link: https://www.econbiz.de/10014085409

An eclectic approach to real exchange rate: Determination

Cerveró, Susana G. - 1999

We present a model of bilateral real exchange rate determination based on different theories that can be combined into a common statistical framework. Although eclectic, the approach is successfully used to shape a final specification which performs surprisingly well when out of sample exercises...

Persistent link: https://www.econbiz.de/10010301775

China's current account and exchange rate

Cheung, Yin-Wong; Chinn, Menzie D.; Fujii, Eiji - 2009

We examine whether the Chinese exchange rate is misaligned and how Chinese trade flows respond to the exchange rate and to economic activity. We find, first, that the Chinese currency, the renminbi (RMB), is substantially below the value predicted by estimates based upon a cross-country sample,...

Persistent link: https://www.econbiz.de/10010264589

An iron law of currency crisis: the divergence of the nominal and the real exchange rate and increasing current account deficits

Siebert, Horst - 2002

The currency crises of the 1990s all exhibit a divergence of the nominal and the real exchange rate together with an increase in the negative current account. The nominal rate does not reflect inflation differences fully and the ensuing real appreciation leads to a negative current account. This...

Persistent link: https://www.econbiz.de/10010265529

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