Zusammenfassung Die gebräuchlichen Methoden zur Verdeutlichung der konjunkturellen Aussage einer Zeitreihe liefern an ihrem aktuellen Rand nur ein relativ ungenaues Bild. Darum wird hier als ein alternatives Verfahren vorgeschlagen, das Signale einer sich anbahnenden konjunkturellen Wende in...

Zusammenfassung Es wird ein Tiefpaßfilter vorgestellt, der speziell dafür entworfen wurde, die konjunkturelle Entwicklung am aktuellen Rand einer Zeitreihe nachzuvollziehen. Anhand von Transferfunktionen, praktischen Anwendungen und stochastischen Simulationen werden seine Eigenschaften mit...

Zusammenfassung In der vorliegenden Arbeit wird die Leistungsfähigkeit zweier Verfahren zur Verdeutlichung der konjunkturellen Entwicklung einer wirtschaftlichen Zeitreihe am aktuellen Rand verglichen. Es handelt sich dabei um einen neu entwickelten Tiefpassfilter und das...

Summary The Baxter-King filter shows some weaknesses, particularly with regard to monthly time series. This procedure involves not only a loss of data for the border areas of time series, but suppresses inadequately high frequency components and shows as a low-pass filter only the performance of...

This study empirically examines the effectiveness of Fed intervention on the USD/DM exchange market using an event study approach. The event window is defined as 4 (8) days prior/post an intervention. Based on the empirical analysis, the results show that when the Fed follows an "against the...

Purpose – The purpose of this paper is to uncover the direction of causality between foreign exchange market and stock market in Bangladesh, where financial markets are yet in their early development stage. Design/methodology/approach – The paper employs the Granger causality tests using...

This study tests the validity of the purchasing power parity (PPP) theory using a panel of ten Arab countries. It also measures the speed of convergence for the panel and for the Gulf Cooperation Council (GCC), including Bahrain, Kuwait, Qatar, Saudi Arabia and United Arab Emirates which follow...

There is a large literature that examines purchasing power parity (PPP). The growth in this literature is mainly due to the absence of a consensus view on whether or not PPP holds. This paper considers PPP for 11 Middle Eastern countries using a number of tests: the one-break test unit root, the...

Purpose – The purpose of this paper is to focus on whether the deviations from the cointegrating relationship possess long memory and the fractional cointegration analyses may capture a wider range of mean-reversion behaviour than standard cointegration analyses. Design/methodology/approach...

Purpose The purpose of this paper is to examine the validity of the purchasing power parity (PPP) hypothesis for two Southern African countries, namely: Lesotho and Zambia. Design/methodology/approach The authors utilized four econometric tests to examine the existence of the PPP hypothesis in...