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Oil price and exchange rate nexus in Nigeria : are there asymmetries
Abubakar, Attahir B. - In: CBN journal of applied statistics 10 (2019) 1, pp. 1-28
models confirm the absence of asymmetric cointegration, hence leading to the conclusion that in the case of Nigeria, there …This paper examines the dynamics in the relationship between oil price and exchange rate in Nigeria by utilizing …
Persistent link: https://www.econbiz.de/10012178353
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
This paper measures the pass-through of exchange rate changes into domestic inflation within a cointegrated VAR (CVAR) framework. This issue is of particular interest for the euro area (EA) as Member Sates cede their national currencies and no longer have options of using monetary policy to...
Persistent link: https://www.econbiz.de/10011346364
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Testing for UIP : nonlinearities, monetary announcements and interest rate expectations
Anderl, Christina; Caporale, Guglielmo Maria - 2021
This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...
Persistent link: https://www.econbiz.de/10012508617
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Measuring the impact of exchange rate movements on domestic prices : a cointegrated VAR analysis
Cheikh, Nidhaleddine Ben; Louhichi, Waël - 2014
Persistent link: https://www.econbiz.de/10010360438
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Why has the Norwegian krone exchange rate been persistently weak? : a fully simultaneous VAR approach
Benedictow, Andreas; Hammersland, Roger - 2022
We identify variables that help explain the persistent weakness of the Norwegian krone since 2016 within a fully simultaneous model of the underlying process driving the krone-euro exchange rate. In addition to a set of fundamental variables we consider non-traditional explanatory variables...
Persistent link: https://www.econbiz.de/10013257136
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International Parity Relations between Poland and Germany : A Cointegrated VAR Approach
Stazka-Gawrysiak, Agnieszka - 2008
This paper analyses empirically the purchasing power parity, the uncovered interest parity and the real interest parity (Fisher parity) between Poland and Germany. The international parity relations are investigated jointly within the cointegrated VAR framework. Our analysis fails to find...
Persistent link: https://www.econbiz.de/10014216574
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Is the floating exchange rate a shock absorber in Albania? : evidence from SVAR models
Miteza, Ilir; Tanku, Altin; Vika, Ilir - In: Economic change & restructuring 56 (2023) 2, pp. 1297-1326
Persistent link: https://www.econbiz.de/10014252490
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Exchange Rate Dynamics in Indonesia : 1980-1998
Saxena, Sweta C. - 2004
using cointegration approach, unobserved component model and structural vector autoregression (SVAR). The paper uses these …
Persistent link: https://www.econbiz.de/10014073319
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Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective
Boschi, Melisso - 2007
I study the determinants of capital flows to Argentina, Brazil, and Mexico, assessing the relative importance of domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA, and then embed them in a multi-country Global VAR. The...
Persistent link: https://www.econbiz.de/10012728441
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Capital inflow and industrial performance in Nigeria : including the excluded
Adekunle, Ibrahim Ayoade; Ogunade, Ayomide Olayinka; … - 2020
credence has been leaned to the capital inflow-industrial output growth relationship in Nigeria. This anomaly has resulted in … performance in Nigeria. The paper employed the two-step Engle and Granger estimation procedure and the Granger Causality to … estimate parameters of the indices of industrial output growth and capital inflows to Nigeria. Findings revealed that labour …
Persistent link: https://www.econbiz.de/10012205410