This paper uses Granger causality tests on a fiscal sustainability indicator (FSI) and currency crises for 17 countries to evaluate the direction of causality between the FSI and currency crises. The FSI developed by Croce and Juan-Ramón (2003) is used. Also, different definitions for currency...

To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...

This paper analyses the influence of the real effective exchange rate (REER) and relative prices on South Africa’s import demand function both in the long run and the short run. The ARDL bounds testing approach is employed to test the long-run relationship hypothesis. The estimation of both...

This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...

Since the beginning of the 1980s, a continuous process of integration of national and regional markets into one global market for goods, services and capital can be noticed. Both economic theory and market practice indicate that the level of the exchange rate primarily depends on macroeconomic...

This paper examines the impacts of U.S. conventional and unconventional monetary policy announcements on the volatility of six exchange rates, namely Australian dollar, British pound, Canadian dollar, Euro, Japanese yen, and Swiss franc against the U.S. dollar. Narrow windows around policy...

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995 - 2011 period. We apply a recently introduced panel stationary test, which...

This study examines the dynamics of naira real exchange rate (RER) during the period 2000Q1 – 2016Q1 as well as the extent to which it deviated from its long run equilibrium path. To achieve this, we adopt the Behavioural Equilibrium Exchange Rate (BEER) model approach and incorporate the...