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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
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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
This paper examines the long-run validity of purchasing power parity (PPP) for four high-inflation countries. The … test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …, during the recent floating exchange rate period, PPP holds well, at least in a weak form, in high-inflation countries where …
Persistent link: https://www.econbiz.de/10014071881
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The Euro Introduction and Non-Euro Currencies
van Dijk, Dick; Munandar, Haris; Hafner, Christian M. - 2005
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/10010325483
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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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Portfolio balance approach to asymmetries, structural breaks and financial crisis : testing a model for Nigeria
Adekoya, Oluwasegun B. - In: CBN journal of applied statistics 11 (2020) 1, pp. 87-110
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...
Persistent link: https://www.econbiz.de/10012297508
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Unit root testing
Wolters, Jürgen; Hassler, Uwe - 2005
The occurrence of unit roots in economic time series has far reaching consequences for univariate as well as multivariate econometric modelling. Therefore, unit root tests are nowadays the starting point of most empirical time series studies. The oldest and most widely used test is due to Dickey...
Persistent link: https://www.econbiz.de/10010299087
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An Alternative Bayesian Approach to Structural Breaks in Time Series Models
van den Hauwe, Sjoerd; Paap, Richard; van Dijk, Dick J.C. - 2011
We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...
Persistent link: https://www.econbiz.de/10010325904
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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
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Forecasting random walks under drift instability
Pesaran, Mohammad Hashem; Pick, Andreas - 2008
This paper considers forecast averaging when the same model is used but estimation is carried out over different estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or more structural breaks. It is shown that compared to...
Persistent link: https://www.econbiz.de/10010276222
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Trend Extraction From Time Series With Structural Breaks and Missing Observations
Schlicht, Ekkehart - 2008
Trend extraction from time series is often performed by using the filter proposed by Leser (1961), also known as the Hodrick-Prescott filter. Practical problems arise, however, if the time series contains structural breaks (as produced by German unification for German time series, for instance),...
Persistent link: https://www.econbiz.de/10010427520