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Does the nominal exchange rate regime affect the real interest parity condition?
Dreger, Christian - 2010 - Postprint
The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...
Persistent link: https://www.econbiz.de/10011518866
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Quo Vadis Euro?
Alberola, Enrique; Cervero, Susana G.; Lopez, Humberto; … - 2003
fundamentals underlying the behavior of the real exchange rate. Panel cointegration techniques allow for the extraction, using an …
Persistent link: https://www.econbiz.de/10014093303
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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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Bilaterial Equilibrium Exchange Rates of EU Accession Countries Against the Euro
Rahn, Jörg - 2007
transformation of the results. Panel cointegration techniques are used to check the adequacy of the empirical model. The results …
Persistent link: https://www.econbiz.de/10014224092
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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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Testing j-curve effect on trade balance in Turkish economy
Kansel, Zubeyir Can; Bari, Bilgin - In: Financial studies 24 (2020) 1, pp. 53-69
This study researches the effects of changes in the exchange rate on the trade balance after the transition to the floating exchange rate in the Turkish economy. For this purpose, ARDL and ECM models have been developed by using quarterly data from 2003 through 2018. The starting point of the...
Persistent link: https://www.econbiz.de/10012210658
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Real Exchange Rates in the Long and Short Run : A Panel Co-Integration Approach
Calderón, César A. - 2008
developed panel cointegration techniques to a structural long-run real exchange rate equation. Using annual data for 67 … countries over 1966-97, we find evidence of cointegration between the real exchange rate and its fundamentals. I also find: (a …) evidence of cointegration holds for all sub-samples of countries (classified by income or capital controls), (b) parameter …
Persistent link: https://www.econbiz.de/10012770610
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Panel data analysis of the proposed monetary union in the Southern African development community
Zerihun, Mulatu Fekadu; Breitenbach, Marthinus C. - In: Spoudai : journal of economics and business 67 (2017) 4, pp. 23-44
1995-2016. We use first and second generation panel unit root tests and panel cointegration tests to test mainly for … stationarity and cointegration of real exchange rate series for the group of SADC countries. The findings from this study confirm … that there is stationarity and cointegration of the real exchange rate series among the 11 SADC member countries included …
Persistent link: https://www.econbiz.de/10011843930
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Are PPP tests erratically behaved? : some panel evidence
Caporale, Guglielmo Maria (contributor);  … - 2006
This paper examines whether, in addition to standard unit root and cointegration tests, panel approaches also produce …
Persistent link: https://www.econbiz.de/10003394591
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Equilibrium exchange rates and misalignments : the case of homogenous emerging countries
Tipoy, Christian K.; Breitenbach, Marthinus C.; … - In: Spoudai : journal of economics and business 66 (2016) 4, pp. 3-25
We compute the exchange rate misalignment for a set of emerging economies between 1980 and 2013 using the behavioural equilibrium exchange rate definition. The real equilibrium exchange rate is constructed using a parsimonious model and estimators that are robust to cross-sectional independence...
Persistent link: https://www.econbiz.de/10011619498