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The Effects of Exchange Rate Volatility on Korea's Automotive Industry Exports : A Panel Cointegration Analysis
Jung, Moon-Hyun - 2017
Conditional Heteroscedasticity [GARCH(1,1)] model and the standard deviation approach. To this end, the panel cointegration …
Persistent link: https://www.econbiz.de/10012957613
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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
Appl Econ 22:265-312, 2007). For panel cointegration analysis, we employed the four error-correction-based Westerlund (Oxf … Bull Econ Stat 69:709-748, 2007) panel cointegration tests. The Westerlund (Oxf Bull Econ Stat 69:709-748, 2007) tests are … estimated the cointegration test excluding Indonesia and Brunei. The findings support our initial results. Further, all the …
Persistent link: https://www.econbiz.de/10011921966
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In Defense of Early Warning Signals
Bussière, Matthieu - 2013
The 2008 financial crisis has rekindled interest in the issue of early warning signals (EWS) of financial distress. It has also triggered renewed interest in the literature on currency crises, with many countries, especially among emerging market economies, experiencing severe exchange market...
Persistent link: https://www.econbiz.de/10014161434
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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
effective exchange rates and currency misalignments for the US and its 16 major trading partners. We apply cointegration and … panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel … cointegration tests by Westerlund (2007), as well as different estimators. While we find strong evidence for the Balassa …
Persistent link: https://www.econbiz.de/10011374380
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International investment positions and exchange rate dynamics
Binder, Michael; Offermanns, Christian J. - 2014
We revisit medium- to long-run exchange rate determination, focusing on the role of international investment positions. To do so, we make use of a new econometric framework accounting for conditional long-run homogeneity in heterogeneous dynamic panel data models. In particular, in our model the...
Persistent link: https://www.econbiz.de/10010414236
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Effects of fundamentals on the exchange rate : a panel analysis for a sample of industrialised and emerging economies
Ferreira, José Eduardo de A. (contributor) - 2006
This paper tests the traditional monetary model of exchange rates for a sample of industrialized and emerging market economies by making use of panel techniques that allow for a high degree of heterogeneity across countries. The results demonstrated partial support for the monetary model for...
Persistent link: https://www.econbiz.de/10003359810
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Exchange rate forecasting on a napkin
Ca'Zorzi, Michele; Rubaszek, Michał - 2018
This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...
Persistent link: https://www.econbiz.de/10011856403
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The predictive power of equilibrium exchange rate models
Ca'Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020
In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...
Persistent link: https://www.econbiz.de/10012139745
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Determinants of export sophistication : evidence from Monte Carlo simulations
Poghosyan, Karen; Kočenda, Evžen - 2016
In this paper we analyze the determinants of export sophistication based on a large panel dataset (2001-2014; 101 countries) and using different estimation algorithms. Using Monte Carlo simulations we evaluate the bias properties of estimators and show that GMM-type estimators outperform...
Persistent link: https://www.econbiz.de/10011553097
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Machine Learning Panel Data Regressions with an Application to Nowcasting Price Earnings Ratios
Babii, Andrii - 2020
This paper introduces structured machine learning regressions for prediction and nowcasting with panel data consisting of series sampled at different frequencies. Motivated by the empirical problem of predicting corporate earnings for a large cross-section of firms with macroeconomic, financial,...
Persistent link: https://www.econbiz.de/10012826088