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Purchasing Power Parity : A Unit Root, Cointegration and VAR Analysis in Emerging and Advanced Countries
Loukopoulos, Georgios - 2014
cointegration between exchange rates and consumer price indices. The impulse response function presents a graphical view which is …
Persistent link: https://www.econbiz.de/10013044515
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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26
study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …
Persistent link: https://www.econbiz.de/10014500904
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Short patches of outliers, ARCH and volatility modeling
Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998
In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...
Persistent link: https://www.econbiz.de/10011284080
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Cointegration Tests of PPP : Do They Also Exhibit Erratic Behaviour?
Caporale, Guglielmo Maria; Hanck, Christoph - 2021
(possibly unwarranted) homogeneity and proportionality restrictions are not imposed, and trivariate cointegration (stage …
Persistent link: https://www.econbiz.de/10013317393
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Energy Consumption and GDP Causality : New Evidence from Disaggregated Data and Panel Long-Run Causality Tests of Developed and Developing Countries
Liddle, Brant; Lung, Sidney - 2015
This paper disaggregates energy consumption and GDP data according to end-use to analyze a broad number of developed and developing countries grouped in panels by similar characteristics. Panel long-run causality is assessed with a relatively under-utilized approach recommend by Canning and...
Persistent link: https://www.econbiz.de/10014159365
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The euro introduction and non-euro currencies
Dijk, Dick van; Munandar, Haris; Hafner, Christian M. - 2006
This paper documents the existence of large structural breaks in the unconditional correlations among the British pound, Norwegian krone, Swedish krona, Swiss franc, and euro exchange rates (against the US dollar) during the period 1994-2003. Using the framework of dynamic conditional...
Persistent link: https://www.econbiz.de/10011343243
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Structural breaks and finance-driven growth hypothesis in ECOWAS : further empirical evidence
Omisakin, Olusegun A.; Adeniyi, Oluwatosin A. - In: International journal of economic sciences and applied … 7 (2014) 3, pp. 63-80
-Hansen structural break cointegration result confirms the existence of cointegration relationships among the selected countries despite …
Persistent link: https://www.econbiz.de/10010509190
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Predicting exchange rates in Asia : new insights on the accuracy of survey forecasts
Kunze, Frederik - 2017
series analysis. Investigating the order of integration of the time series and using cointegration analysis, empirical …
Persistent link: https://www.econbiz.de/10011741554
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Deviations of Exchange Rates from Purchasing Power Parity : A Story Featuring Two Monetary Unions
Bayoumi, Tamim - 2006
We examine the mean-reverting properties of real exchange rates, by comparing the unit root properties of a group of international real exchange rates with two groups of intra-national real exchange rates. Strikingly, we find that while the international real rates taken as a group appear...
Persistent link: https://www.econbiz.de/10012782287
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New Multi-Country Evidence on Purchasing Power Parity : Multivariate Unit Root Test Results
Groen, Jan J. - 2000
In this paper a likelihood-based multivariate unit root testing framework is utilized to test whether the real exchange … rates of G10 countries are non-stationary. The framework uses a likelihood ratio statistic which combines the information … across all involved countries while retaining heterogeneous rates of mean reversion. This likelihood ratio statistic has an …
Persistent link: https://www.econbiz.de/10014153725