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Foreign Exchange Market Efficiency : Fractional Cointegration Approach
Belkacem, Lotfi; El Meddeb, Zahra; Boubaker, Heni - 2005
market. For this aim, we use fractional cointegration tests based essentially on estimation of an error correction bivariate … ARFIMA model. The cointegration tests are conducted using spot and 1- month forward daily exchange rate of the Tunisian Dinar … fractional cointegration between the one-month forward rate and the spot rate relative to these parities (TND/USD) and (TND/Euro) …
Persistent link: https://www.econbiz.de/10014063076
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Exchange rate misalignments, interdependence, crises, and currency wars : an empirical assessment
Marçal, Emerson Fernandes - In: Revista brasileira de economia : RBE ; revista da … 68 (2014) 2, pp. 243-276
Persistent link: https://www.econbiz.de/10011446550
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Exchange rate misalignment and capital flight from Botswana : a cointegration approach with risk thresholds
Bosupeng, Mpho; Dzator, Janet; Nadolny, Andrew - In: Journal of risk and financial management : JRFM 12 (2019) 2/101, pp. 1-26
1980-2015. The study uses the autoregressive distributed lag (ARDL) approach to cointegration and the Toda and Yamamoto …
Persistent link: https://www.econbiz.de/10012021980
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Exchange rate misalignment and economic growth : evidence from nonlinear panel cointegration and granger causality tests
Tipoy, Christian K.; Breitenbach, Marthinus C.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011897368
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What drives Germany's exports?
Frenkel, Michael; Zimmermann, Lilli - In: International journal of management and economics 56 (2020) 2, pp. 99-108
cointegration estimation techniques, we examine different determinants for their ability to explain German exports during the period …
Persistent link: https://www.econbiz.de/10012302747
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Pass-Through of Imported Input Prices to Domestic Producer Prices : Evidence from Sector-Level Data
Ahn, JaeBin - 2016
Motivated by stylized facts pointing to a dominant role of imported inputs in transmitting external price shocks to domestic prices, this paper zooms in to study the pass-through of imported input costs to domestic producer prices. Our approach constructs effective input price indices from...
Persistent link: https://www.econbiz.de/10012996091
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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
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Exchange rates and wages
Goldberg, Linda; Tracy, Joseph - 2001
Understanding the effects of exchange rate fluctuations across the population is important for increasingly globalized economies. Previous studies using industry aggregate data have found that industry wages are significantly more responsive than industry employment to exchange rate changes. We...
Persistent link: https://www.econbiz.de/10010283354
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The macroeconomic effects of large exchange rate appreciations
Kappler, Marcus; Reisen, Helmut; Schularick, Moritz; … - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10008901831
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The macroeconomic effects of large exchange rate appreciations
Kappler, Marcus; Reisen, Helmut; Schularick, Moritz; … - 2011
In this paper we study the macroeconomic effects of large exchange rate appreciations. Using a sample of 128 countries from 1960-2008, we identify large nominal and real appreciations shocks and study their macroeconomic effects in a dummy-augmented panel autoregressive model. Our results show...
Persistent link: https://www.econbiz.de/10008905965