Exchange rate is one of the macroeconomic indicators that gives concern to policy makers and investors as its movements are mostly unpredictable and tend to affect both trade and capital flows. Hence, this study analyzes exchange rate volatility clustering among selected WAMZ countries for the...

This paper discusses the levels and trend of external reserves in Nigeria. The relevance of this lies in the fact that it could help to monitor the reserves and throw early warning signal about any economic crisis. Monthly data on Nigeria external reserves for the period January 1999 to...

In the present study, we investigate the market weak efficiency hypothesis (MEH) in the case of the Tunisian exchange 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...

This paper provides an empirical analysis of the decomposition of Denmark Krone real exchange rates into the relative price of traded goods and the relative price ratio of non-traded and traded goods in a selective European time-series context to test the prediction that deviations from the law...

The purpose of this paper is to verify the long-range correlation between the stock markets of the largest economies in the world and the respective exchange rate with the USD. According to theory, a negative correlation is expected, meaning that an increase in the return of one of the assets...

This paper re-examines the UIP relation by estimating first a benchmark linear Cointegrated VAR including the nominal exchange rate and the interest rate differential as well as central bank announcements, and then a Cointegrated Smooth Transition VAR (CVSTAR) model incorporating nonlinearities...

This study tests the Portfolio Balance Theory (PBT) for Nigeria for the period starting from September, 1997 to September, 2018. It extends the hypothesized linear inverse relationship between exchange rate and stock price to include asymmetries and structural breaks. It further examines the...