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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates

Hossfeld, Oliver - 2010

Persistent link: https://www.econbiz.de/10008903193

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

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

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

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

Persistent link: https://www.econbiz.de/10011299983

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Spatial system estimators for panel models : a sensitivity and simulation study

Liu, Shuangzhe; Ma, Tiefeng; Polasek, Wolfgang - 2012

System of panel models are popular models in applied sciences and the question of spatial errors has created the recent demand for spatial system estimation of panel models. Therefore we propose new diagnostic methods to explore if the spatial component will change significantly the outcome of...

Persistent link: https://www.econbiz.de/10009744441

Spatial system estimators for panel models : a sensitivity and simulation study

Liu, Shuangzhe; Ma, Tiefeng; Polasek, Wolfgang - 2012

Persistent link: https://www.econbiz.de/10009682719

On the exchange rate and economic policy uncertainty nexus: a panel VAR approach for emerging markets

Abid, Abir; Rault, Christophe - 2020

We examine the Exchange Rate Volatility (ERV) response to the Economic Policy Uncertainty (EPU) shocks from a panel VAR perspective used for the first time in this context. Focusing on Emerging Market Economies (EME), our noteworthy findings postulate that (a) both home and foreign EPU shocks...

Persistent link: https://www.econbiz.de/10012239005