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Is it desirable for Asian economies to hold more Asian assets in their foreign exchange reserves? : the People's Republic of China's answer
Zhang, Bin - 2011
We calculate the return on the major Asian currency denominated long-term government bonds in terms of a basket of the … of Malaysia's government bonds. This result shows that it is desirable for the PRC to substitute Asian currency …
Persistent link: https://www.econbiz.de/10009267685
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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013032642
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Currency Value
Menkhoff, Lukas - 2015
We assess the properties of currency value strategies based on real exchange rates in a cross-sectional portfolio … setting. We find that real exchange rates predict currency excess returns, but in a way that is inconsistent with the notion … of currency value because a high valuation level forecasts a relative appreciation of the foreign currency going forward …
Persistent link: https://www.econbiz.de/10013035463
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The impact of the Turkish presidential system on the Turkish Lira
Akarsu, Mahmut Zeki - In: Journal of banking and financial economics 1 (2021) 15, pp. 14-24
The political system always has a significant impact on economic indicators. Currency exchange is one of the indicators … of a domestic currency losing value significantly due to undemocratic political actions since the 2017 referendum …
Persistent link: https://www.econbiz.de/10012887831
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Purchasing power parity and the European single currency : some new evidence
Christidou, Maria; Panagiōtidēs, Theodōros - 2010
The effect of the single currency on the Purchasing Power Parity (PPP) hypothesis is examined in this study for the 15 … the introduction of the single currency. Panel unit root (Pesaran, 2007) and stationarity tests (Hadri and Kurozumi, 2008 … the introduction of the single currency. -- Purchasing Power Parity ; half-life ; nonlinear unit roots ; panel unit roots …
Persistent link: https://www.econbiz.de/10008669943
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Time-varying dynamics of the real exchange rate : a structural VAR analysis
Mumtaz, Haroon; Sunder-Plassmann, Laura - 2010
The aim of this paper is to explore the evolution of real exchange rate dynamics over time. We use a time-varying structural vector autoregression to investigate the role of demand, supply and nominal shocks and consider their impact on, and contribution to fluctuations in, the real exchange...
Persistent link: https://www.econbiz.de/10003940278
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PPP in OECD countries : an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks
Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - 2011
The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of...
Persistent link: https://www.econbiz.de/10009388979
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Real effective exchange rate imbalances and macroeconomic adjustments : evidence from the CEMAC zone
Asongu, Simplice A. - 2014
We assess the behavior of real effective exchange rates (REERs) of members of the CEMAC zone with respect to their long-term equilibrium paths. A reduced form of the fundamental equilibrium exchange rate (FEER) model is estimated and associated misalignments are derived for the period 1980 to...
Persistent link: https://www.econbiz.de/10011409240
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Purchasing Power Parity and the Euro Area
Koedijk, Kees C. G. - 2011
This paper analyzes purchasing power parity (PPP) for the euro area. We study the impact of the introduction of the euro in 1999 on the behavior of real exchange rates. We test the PPP hypothesis for a panel of real exchange rates within the euro area over the period 1973-2003. Our methodology...
Persistent link: https://www.econbiz.de/10013125152
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South East Asian Monetary Integration : New Evidences from Fractional Cointegration of Real Exchange Rates
de Truchis, Gilles - 2012
We study the long-run relationship of real exchanges rates (RERs) among the ASEAN-5 countries by testing the theory of Generalized Purchasing Power Parity (G-PPP) from the new perspective of fractional cointegration. The long-run co-movements of the RERs are examined by applying a recent...
Persistent link: https://www.econbiz.de/10013096617