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Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

the presence of asymmetries both in the long- and short-run. In particular, the speed of adjustment towards the PPP … PPP. Moreover, inflation expectations play an important role, with survey-based ones having a more sizable effect than …

Persistent link: https://www.econbiz.de/10012438461

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper uses fractional integration and cointegration in order to model the DM/dollar and the yen/dollar real exchange rates in terms of both monetary and real factors, more specifically real interest rate and labour productivity differentials. We find that whilst the individual series may be...

Persistent link: https://www.econbiz.de/10009611542

Information Frictions and Real Exchange Rate Dynamics

Candian, Giacomo - 2017

Real exchange rates are highly volatile and persistent. I provide a novel structural explanation for these facts using a model with dispersed information among firms. When producers face strategic complementarities in price-setting, uncertainty about competitors' beliefs results in sluggish...

Persistent link: https://www.econbiz.de/10012965709

Qtm and PPP Effect on Long-Run Price Behavior : The Importance of Openness

Lo, Melody; Wong, M. C. Sunny - 2003

purchasing power parity (PPP). Our model pertains to long run domestic price movements, and shows that economic openness has a … negative relation with QTM and a positive relation with PPP. Cointegration estimations show that the deviation from QTM rises … and that from PPP falls as the economy becomes more open. We also find that QTM and PPP have a strongly negative one …

Persistent link: https://www.econbiz.de/10014103235

A Survey on the Determination of Nominal Exchange Rate for USD vis-à-vis INR

Pillin, Punit - 2018

In this paper, I have investigated the out of sample forecast performance for a case study on the determination of the nominal exchange rate for USD vis-à-vis IN¬R under VEC, VAR (in first difference) and Bayesian VAR specification with the help of set of economic theories. The forecast...

Persistent link: https://www.econbiz.de/10012910274

Price Level Convergence, Purchasing Power Parity and Multiple Structural Breaks : An Application to US Cities

Basher, Syed Abul - 2011

relation to purchasing power parity (PPP) using annual price data for seventeen US cities. We suggest a new procedure that can … handle a wide range of PPP concepts in the presence of multiple structural breaks using all possible pairs of real exchange …

Persistent link: https://www.econbiz.de/10013125127

Allowing the Data to Speak Freely : The Macroeconometrics of the Cointegrated Vector Autoregression

Hoover, Kevin D. - 2008

An explication of the key ideas behind the Cointegrated Vector Autoregression Approach. The CVAR approach is related to Haavelmo's famous quot;Probability Approach in Econometricsquot; (1944). It insists on careful stochastic specification as a necessary groundwork for econometric inference and...

Persistent link: https://www.econbiz.de/10012726093

Testing Hypotheses in an I(2) Model with Applications to the Persistent Long Swings in the Dmk/$ Rate

Johansen, Soren; Juselius, Katarina; Frydman, Roman; … - 2008

This paper discusses a number of likelihood ratio tests on long-run relations and common trends in the I(2) model and provide new results on the test of overidentifying restrictions on beta xt and the asymptotic variance for the stochastic trends parameters, alpha 1: How to specify deterministic...

Persistent link: https://www.econbiz.de/10014217147

Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries

Loukopoulos, Georgios - 2014

The purpose of this study is to investigate the validity of the absolute version of the purchasing power parity (PPP … of PPP we apply the Augmented Dickey-Fuller, DF-GLS and KPSS tests for non-stationarity, and the Johansen procedure for … 77,39 months. Overall, unit root tests show that absolute PPP may hold, but this depends on the country and the selected …

Persistent link: https://www.econbiz.de/10013044515

Testing Purchasing Power Parity in the Framework of Vector Error Correction Modelling - Financial and Economic Forecasting (Chapter 14)

Penm, Jack H.W; Penm, Jammie H.; Terrell, R. Deane - 2003

In this chapter, the necessary condition and the necessary and sufficient condition for purchasing power parity (PPP … the results are promising. Of the fourteen exchange rates tested, we find support for the necessary condition for PPP in … half of them. The necessary and sufficient condition for PPP is then tested using both a bootstrap procedure and an F test …

Persistent link: https://www.econbiz.de/10014097671