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Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia
Guellil, Mohammed Seghir; Belmokaddem, Mostéfa; … - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 71-83
This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural...
Persistent link: https://www.econbiz.de/10012023904
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Oil prices and the US effective exchange rate : a hidden cointegration analysis
Rafailidis, Panagiotis; Katrakilides, K. - In: Economics and Business Letters : EBL 5 (2016) 4, pp. 134-144
Persistent link: https://www.econbiz.de/10011715968
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
Introducing the approach by Masanao Aoki (1981) to time series econometrics, we show that the dynamics of symmetric linear possibly cointegrated two-country VAR models can be separated into two autonomous subsystems: the country averages and country differences, where the latter includes the...
Persistent link: https://www.econbiz.de/10010228330
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Exchange Rate Dynamics in Indonesia : 1980-1998
Saxena, Sweta C. - 2004
This paper estimates the equilibirum level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using cointegration approach, unobserved component...
Persistent link: https://www.econbiz.de/10014073319
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Exchange rate regimes in India : central bank interventions and purchasing power parity in the context of ASEAN currencies
Siddharth, Angad; Alexiou, Constantinos; Vogiazas, Sofoklis - In: Economies : open access journal 12 (2024) 4, pp. 1-21
) interventions and the validity of Purchasing Power Parity (PPP) across two distinct exchange rate regimes: the fixed exchange rate … reveals that under the fixed exchange rate regime, the environment is conducive to PPP due to frequent interventions by the … RBI. However, in the managed floating regime, selective interventions weaken the applicability of PPP. These findings …
Persistent link: https://www.econbiz.de/10014635893
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Modelling Ireland's exchange rates : from EMS to EMU
Bond, Derek (contributor); Harrison, Michael J. (contributor) - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10003616696
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Modelling Ireland's Exchange Rates : From EMS to EMU
Bond, Derek - 2007
to 2003. It offers an overview of the theory of purchasing power parity (Ppp), focusing particularly on likely sources of … exchange rates are effectively modelled, and in the case of Ireland and Germany, Ppp is found to be valid not only in the long …
Persistent link: https://www.econbiz.de/10012775859
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Addressing Econometric Issues on How to Construct Theoretical Based Exchange Rate Misalignment Estimates : Searching for a Comprehensive Approach
Marçal, Emerson Fernandes - 2017
Assessing real effective exchange rate equilibrium is a challenging task. There is no consensus in the literature on which methodologies and norms apply best to tackle real effective exchange rate misalignment estimation. The novelty of our paper consists of showing that different methodologies...
Persistent link: https://www.econbiz.de/10012972106
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Long-Run and Short-Run Dynamics of the Exchange Rate in Pakistan : Evidence from Unrestricted Purchasing Power Parity Theory
Khan, Muhammad Arshad - 2017
purchasing power parity (PPP) theory of exchange rates for the Pak-rupee vis-à-vis the US-dollar exchange rate over the period … validity of weak-form PPP in Pakistan. Furthermore, the symmetry and proportionality assumptions of PPP are not verified. In …
Persistent link: https://www.econbiz.de/10012941872
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Exchange Rates and Prices : Evidence from the 2015 Swiss Franc Appreciation
Auer, Raphael - 2019
The removal of the lower bound on the EUR/CHF exchange rate in January 2015 provides a unique setting to study the implications of a large and sudden appreciation in an otherwise stable macroeconomic environment. Using transaction-level data on non-durable goods purchases by Swiss consumers, we...
Persistent link: https://www.econbiz.de/10012896768