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Effective exchange rates, current accounts and global imbalances
Beckmann, Joscha; Czudaj, Robert - 2016
This study analyzes the dynamics between real effective exchange rates and current accounts from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics as well as causalities between both variables. Following this, we extend our framework by including short-term...
Persistent link: https://www.econbiz.de/10011440876
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Effective exchange rates, current accounts and global imbalances : conference paper
Beckmann, Joscha; Czudaj, Robert - 2014
This study analyzes the dynamics between real effective exchange rates and current account patterns from a novel perspective. We start by dissecting long-run and time-varying short-run dynamics between both variables. Following this, we extend our framework by including interest rates into our...
Persistent link: https://www.econbiz.de/10010483886
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What determines real exchange rates? : the Nordic countries
Bergvall, Anders - 2002
This paper presents a model yielding testable implications concerning the long-run co-movements of real exchange rates, relative productivity, the trade balance and terms of trade. Countries with higher productivity, trade deficits or improved terms of trade are found to have more appreciated...
Persistent link: https://www.econbiz.de/10011587580
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The method of Zivot and Andrews (1992) is employed to detect the time-series behavior of the exchange rates and consumer price indices of these countries. We find that these variables...
Persistent link: https://www.econbiz.de/10014071881
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International Parity Relationships between Germany and Us : A Multivariate Time Series Analysis for the Post Bretton-Woods Period
Bevilacqua, Franco F.; Daraio, Cinzia C. - 2002
This paper investigates the effects of replacing the consumer price index (CPI) with the wholesale price index (WPI) in the cointegrating international parity relationships found by Juselius and MacDonald (2000). Our empirical analysis outstandingly produced results similar to the ones obtained...
Persistent link: https://www.econbiz.de/10014119867
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Testing the purchasing power parity hypothesis : case of ASEAN economies
Bekő, Jani; Boršič, Darja - In: Naše gospodarstvo : NG 64 (2018) 4, pp. 74-85
We examine the purchasing power parity (PPP) hypothesis of 10 members of ASEAN. A battery of panel unit root tests is …), Japanese yen (JPY), US dollar (USD), and the euro (EUR). First, following the outcome of the present study for ASEAN countries … conclusively that the PPP supposition is predominantly valid between the currencies of ASEAN countries and EUR rates. The sample of …
Persistent link: https://www.econbiz.de/10012021749
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The Long-Run Determinants Variables of the Equilibrium Exchange Rates in the ASEAN-5 Economies
Abudalu, Abdalrahman - 2014
ASEAN-5 currencies: Malaysian Ringgit, Indonesian Rupiah, the Philippines Peso, Thailand Bath, and Singapore Dollar. The …-run determinants variables for ASEAN-5 equilibrium REER …
Persistent link: https://www.econbiz.de/10013063541
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The ASEAN experience of the purchasing power parity theory
Murad, S. M. Woahid; Hossain, Mohammad Amzad - In: Financial innovation : FIN 4 (2018) 23, pp. 1-10
We used panel data analysis to evaluate the relative purchasing power parity (PPP) hypothesis of the ten ASEAN member …
Persistent link: https://www.econbiz.de/10011921966
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Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach
Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10
This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...
Persistent link: https://www.econbiz.de/10011649295
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Testing the J-curve phenomenon in Nigeria : an ARDL bounds testing approach
Bawa, Sani; Abdul, Rabia Muhammad; Sani, Zainab; Dauda, … - In: West African journal of monetary and economic integration 18 (2018) 1, pp. 47-71
This study examined the short-run and long-run effects of real exchange rate changes on the Nigeria's trade balance. The paper employed both linear and non-linear ARDL bounds testing approach to cointegration to test for the J-curve phenomenon in Nigeria using quarterly data spanning the period...
Persistent link: https://www.econbiz.de/10013348398