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Testing the foreign exchange parity relations : a case analysis of UK Sterling, Japanese Yen and US Dollar
Zubairu, Ibrahim - In: International journal of economics, finance and … 2 (2014) 6, pp. 356-361
Persistent link: https://www.econbiz.de/10010508725
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The Euro-Dollar exchange rate : is it fundamental?
Camarero Olivas, Mariam; Ordóñez, Javier; Tamarit … - 2002
In this paper we have applied two approaches to the study of the dollar real exchange rate in relation with the Euro …-area currencies. First, using dynamic panel techniques, we estimate an error correction model for the dollar real exchange rate versus … seven developed countries, four of them Euro-area members. Second, we aggregate the European variables and estimate a model …
Persistent link: https://www.econbiz.de/10011538958
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Heterogeneous expectations, exchange rate dynamics and predictability
Manzan, Sebastiano; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 64 (2007) 1, pp. 111-128
Persistent link: https://www.econbiz.de/10003519427
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Do dollar forecasters believe too much in PPP?
Menkhoff, Lukas; Rebitzky, Rafael R.; Schröder, Michael - In: Applied economics 40 (2008) 1/3, pp. 261-270
Persistent link: https://www.econbiz.de/10003721958
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Do dollar forecasters believe too much in PPP?
Menkhoff, Lukas (contributor); Rebitzky, Rafael (contributor) - 2005
This paper extends earlier studies on exchange rate expectations' formation by using new data and adding information about forecasters' reliance on fundamental analysis for the first time. We replicate the conventional result of non rational expectations. Moreover, biases in expectations are...
Persistent link: https://www.econbiz.de/10003153950
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Exchange rate dynamics under limits of arbitrage and heterogeneous expectations
Datta, Soumya - In: Journal of economic interaction and coordination : JEIC 14 (2019) 3, pp. 521-550
Persistent link: https://www.econbiz.de/10012167716
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Heterogeneous Expectations, Exchange Rate Dynamics and Predictability
Manzan, Sebastiano; Westerhoff, Frank H. - 2009
This paper proposes a simple chartist-fundamentalist model in which we allow for nonlinear time variation in chartists' extrapolation rate. Estimation of the model using monthly data for the major currencies vis-a-vis the US dollar shows that the model is significant in-sample and that it has...
Persistent link: https://www.econbiz.de/10014047217
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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
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Equilibrium real effective exchange rates and real exchange rate misalignments : time series vs. panel estimates
Hossfeld, Oliver - 2010
panel cointegration techniques to derive fully countryspecific measures of misalignment and measures based on panel …-of-sample performance prior to comparing it to two final panel specifications. Robustness of the results is supported by recently introduced … cross-sectionally augmented panel unit root tests by Pesaran (2007) and bootstrapped error correction-based panel …
Persistent link: https://www.econbiz.de/10011374380
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Equilibrium exchange rates in transition countries : evidence from dynamic heterogeneous panel model
Kim, Byung-Yeon; Korhonen, Iikka - In: Economic systems 29 (2005) 2, pp. 144-162
Persistent link: https://www.econbiz.de/10003079735