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A Dynamic Equilibrium Model of Real Exchange Rates with General Transaction Costs
GOSWAMI, GAUTAM; SHRIKHANDE, MILIND; WU, LIUREN - 2002
-term volatility of the real exchange rate with its slow convergence to parity. Further, the drift and diffusion of the real exchange …
Persistent link: https://www.econbiz.de/10009440709
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Real Exchange Rates Over the Past Two Centuries: How Important is the Harrod-Balassa-Samuelson Effect?
Lothian, James R.; Taylor, Mark P. - 2003
context while allowing for shifts in volatility across nominal exchange rate regimes, and the implications for the speed of … adjustment. The results indicate significant nonlinearity and volatility shifts corresponding broadly to the classical Gold …
Persistent link: https://www.econbiz.de/10009440727
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Purchasing power parity in developing countries: Evidence from conventional and fractional cointegration tests
Arize, A. C.; Malindretos, John; Grivoyannis, Elias C. - 2004
This paper examines the long-run validity of purchasing power parity (PPP) for fourteen developing countries. The period examined is 1973:4 through 2002:8. The methods of Elliot, Rothemberg and Stock (1996), Kwiattkowski et al. (1992) and Geweke and Porter-Hudak (1983) are employed to detect the...
Persistent link: https://www.econbiz.de/10009441661
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A test of purchasing power parity: Asia Pacific and Latin America
Ho, Catherine S. F.; Ariff, Mohamed - 2009
Finding evidence of the theoretical relationship between exchange rate and inflation has been a difficult proposition in an exchange rate market, despite many studies in developed markets. Three recent papers employing a new research design, Theil’s Divisia index method, found that this...
Persistent link: https://www.econbiz.de/10009441758
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Equilibrium Exchange Rates in Transition Economies: Taking Stock of the Issues
Égert, Balázs; Halpern, László; MacDonald, Ronald - 2005
rate model, namely: differences in the theoretical underpinnings; differences in the econometric estimation techniques; and …
Persistent link: https://www.econbiz.de/10009477512
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Zero-non-zero Patterned Vector Error Correction Modelling for I(2) Cointegrated Time-Series with Applications in Testing PPP and Stock Market Relationships
Penm, Jack H.W; Brailsford, Tim; Terrell, R.D - 2000
Vector error-correction models (VECMs) have become increasingly popular in their applications to financial markets. Standard VECM models assume that the cointegrating vectors are of full rank such that they contain no zero elements. However, applications of VECM models to financial market data...
Persistent link: https://www.econbiz.de/10009451311
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Purchasing Power Parity and Emerging South East Asian Nations
Razzaghipour, A; Fleming, G; Heaney, R.A - 2000
This paper provides a test of purchasing power parity (PPP) as an explanation for longterm foreign exchange rate movements. It essentially extends the analysis of Cheung and Lai (1993) to the South East Asian nations, Indonesia, the Philippines, Malaysia, South Korea, and Thailand. Consistent...
Persistent link: https://www.econbiz.de/10009451722
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The Role of Exchange Rates in the Intertemporal Risk-Return Relation in International Economies
Bali, Turan G.; Wu, Liuren - 2005
countries. Similar to the findings of previous studies, our estimation also shows that the financial markets of the G7 countries …
Persistent link: https://www.econbiz.de/10009440704
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O EFEITO DAS IMPORTAÇÕES MUNDIAIS SOBRE AS EXPORTAÇÕES DO AGRONEGÓCIO BRASILEIRO – UMA ANÁLISE EMPÍRICA PARA O PERÍODO 2000/2007
Spolador, Humberto Francisco Silva; Barros, Geraldo … - 2008
Ao longo do período 2000/2007 o setor externo do agronegócio brasileiro encontrou uma conjuntura altamente favorável para o aumento de suas exportações, pois se combinou uma situação de forte expansão da economia mundial com elevação dos preços internacionais de commodities. No...
Persistent link: https://www.econbiz.de/10009443161
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The Effect of China's RMB Exchange Rate Movement on Its Agricultural Export: A Case Study of Export to Japan
Longjiang, Chen Jr - 2009
This paper attempts to examine the relationship between changes and volatility of China's RMB exchange rates and its … empirical examination. A GARCH (1, 1) model is specified to measure the exchange rate volatility and ADL regression with … depreciation against yen will promote export growth while appreciation hinder export, and exchange rate volatility positively …
Persistent link: https://www.econbiz.de/10009444761