Similar Search Results

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

Does the nominal exchange rate regime affect the real interest parity condition?

Dreger, Christian - 2008

The real interest partity (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/10011342531

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

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

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

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

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

Exchange Rate Dynamics in Indonesia : 1980-1998

Saxena, Sweta Chaman - 2004

using cointegration approach, unobserved component model and structural vector autoregression (SVAR). The paper uses these …

Persistent link: https://www.econbiz.de/10014073319

Exchange Rate Models, Long Run Equilibrium, Dynamics and Hysteresis

Bouveret, Antoine; Sterdyniak, Henri - 2007

Forecasting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations doesn't have any predictive power. This article addresses some problems of exchange rate macroeconomic...

Persistent link: https://www.econbiz.de/10014062157

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