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Quantitative comparisons on the intrinsic features of foreign exchange rates between the 1920s and the 2010s : case of the USD-GBP exchange rate

Han, Young Wook - In: East Asian economic review 20 (2016) 3, pp. 365-390

This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed...

Persistent link: https://www.econbiz.de/10011765010

Long memory and fractional integration in high frequency financial time series

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

This paper analyses the long-memory properties of high frequency financial time series. It focuses on temporal aggregation and the influence that this might have on the degree of dependence of the series. Fractional integration or I(d) models are estimated with a variety of specifications for...

Persistent link: https://www.econbiz.de/10010271372

Oil price and economic growth : a long story?

Gadea, María Dolores; Gómez-Loscos, Ana; Montañés, … - In: Econometrics : open access journal 4 (2016) 4, pp. 1-28

This study investigates changes in the relationship between oil prices and the US economy from a long-term perspective. Although neither of the two series (oil price and GDP growth rates) presents structural breaks in mean, we identify different volatility periods in both of them, separately....

Persistent link: https://www.econbiz.de/10011649469

Closer to one great pool? : evidence from structural breaks in oil price differentials

Plante, Michael; Strickler, Grant - 2019

We show that the oil market has become closer to "one great pool," in the sense that price differentials between crude oils of different qualities have generally become smaller over time. We document, in particular, that many of these quality-related differentials experienced a major structural...

Persistent link: https://www.econbiz.de/10012030055

Does Purchasing Power Parity Hold Sometimes? Regime Switching in Real Exchange Rates

Lee, Hwa-Taek; Yoon, Gawon - 2007

regarding the validity of purchasing power parity [PPP]. Rather than asking if PPP holds throughout the whole sample period, we … examine if PPP holds sometimes by employing Hamilton-type (1989) Markov regime switching models. There are various reasons … that the persistence of real exchange rates changes over time. When at least one of multiple regimes is stationary, PPP …

Persistent link: https://www.econbiz.de/10010296288

The dynamics of real exchange rates: A reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

While it is widely agreed that Purchasing Power Parity (PPP) holds as a long-run concept the specific dynamic driving … autoregressive (MSAR) model, are both able to support the PPP as a long-run concept. However, the dynamic behavior of real exchange …

Persistent link: https://www.econbiz.de/10010289015

The dynamics of real exchange rates : a reconsideration

Heinen, Florian; Kaufmann, Hendrik; Sibbertsen, Philipp - 2011

Persistent link: https://www.econbiz.de/10008908972

Does real exchange rate volatility affect sectoral trade flows?

Caglayan, Mustafa; Jing Di - In: Southern economic journal 77 (2010) 2, pp. 313-335

Persistent link: https://www.econbiz.de/10008732196

Real exchange rates and economic fundamentals : an investigation based on a Markov-STAR model

Bertram, Philip; Ma, Jun; Sibbertsen, Philipp - 2015

In this paper we introduce a new nonlinear Markov-STAR model to capture both the markov switching and smooth transition dynamics for real exchange rates. The Markov switching part captures the effect of time variations of the equilibrium exchange rates, while the smooth transition part models...

Persistent link: https://www.econbiz.de/10011429933

A simple panel-CADF test for unit roots

Costantini, Mauro; Lupi, Claudio - 2011

theoretical results. Two empirical applications are carried out for illustration purposes on international data to test the PPP …

Persistent link: https://www.econbiz.de/10009686159

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