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International capital flows and speculation

Hayward, Rob; Gregoriou, Andros - In: Journal of risk and financial management : JRFM 14 (2021) 5, pp. 1-12

In response to questions about the relative importance of different types of capital flow for international competitiveness, we develop a structural vector auto-regressive model of the real exchange rate and international capital flows. We reveal that innovations to speculative sentiment cause...

Persistent link: https://www.econbiz.de/10012533969

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

between the variables. The evidence reveals that there is a strong long-run cointegration. The robustness of the ARDL bounds … test cointegration was confirmed using the newly-developed combined cointegration, which also provided the same evidence …

Persistent link: https://www.econbiz.de/10011649295

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

A fundamental connection : exchange rates and macroeconomic expectations

Stavrakeva, Vania; Tang, Jenny - 2020 - This version: December 2020

This paper presents new stylized facts about exchange rates and their relationship with macroeconomic fundamentals. We show that macroeconomic surprises explain a large majority of the variation in nominal exchange rate changes at a quarterly frequency. Using a novel present value decomposition...

Persistent link: https://www.econbiz.de/10012429208

The misalignment of real effective exchange rate : evidence from Tunisia

Derbali, Ahmed - 2021

This paper presents an estimation of the Tunisian equilibrium exchange rate based on the Behavioral Equilibrium Exchange Rate approach (BEER). The BEER framework links exchange rates to its fundamentals: Tunisian productivity, partners' productivity, trade openness and terms of trade. We...

Persistent link: https://www.econbiz.de/10012501404

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 influence of the real effective exchange rate and relative prices on South Africa’s import demand function : an ARDL approach

Matlasedi, Tony Nchokoe - In: Cogent economics & finance 5 (2017) 1, pp. 1-16

. Real GDP and Foreign reserves were also added to the models as control variables. The Bounds test proved cointegration and …

Persistent link: https://www.econbiz.de/10011887547

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

Nonlinear adjustment effects in the purchasing power parity

Phiri, Andrew - 2017

nonlinear unit root and asymmetric cointegration analysis. Our empirical results show significant asymmetric PPP effects between …

Persistent link: https://www.econbiz.de/10011785059

Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks

Zhou, Su - 1998

test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …

Persistent link: https://www.econbiz.de/10014071881

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