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Nonlinearities in real exchange rate determination: do African exchange rates follow a radom walk?
Cuestas, Juan Carlos; Mourelle, Estefania - Nottingham Trent University, Nottingham Business … - 2008
nonlinearities in the long run path of such a variable. Controlling for two sources of nonlinearites, i.e. asymmetric adjustment to …
Persistent link: https://www.econbiz.de/10004980097
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PURCHASING POWER PARITY IN CENTRAL AND EASTERN EUROPEAN COUNTRIES: AN ANALYSIS OF UNIT ROOTS AND NONLINEARITIES
Cuestas, Juan Carlos - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2007
The aim of this paper is to analyse the empirical fulfilment of PPP in a number of Central and Eastern European … countries. For this purpose we apply two different unit root tests in order to control for two sources of nonlinearities, i ….e. Bierens (1997) and Kapetanios, Shin and Snell (2003). We find that PPP holds in most of these countries once account has been …
Persistent link: https://www.econbiz.de/10005731390
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Inflation persistence and asymmetries: evidence for African countries
Cuestas, Juan Carlos; Mourelle, Estefanía - Nottingham Trent University, Nottingham Business … - 2009
In this paper we aim at testing the inflation persistence hypothesis as well as modelling (using logistic smooth transition autoregressive, LSTAR, models) the long run behaviour of inflation rates in a pool of African countries. In order to do so, we rely on unit root tests applied to nonlinear...
Persistent link: https://www.econbiz.de/10004980079
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Testing for convergence among Mercosur countries
Cuestas, Juan Carlos; Ordóñez, Javier - Nottingham Trent University, Nottingham Business … - 2007
The aim of this paper is to analyse the existence of price convergence in Mercosur. Two variables are considered, Consumer Price Indices to assess convergence in the goods and services markets and real interest rates, to analyse convergence in the money markets. The univariate analysis points...
Persistent link: https://www.econbiz.de/10004980096
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Further evidence on the Real Interest Rate Parity hypothesis in Central and Eastern European Countries: unit roots and nonlinearities
Cuestas, Juan Carlos; Harrison, Barry - Nottingham Trent University, Nottingham Business … - 2009
favour of the empirical fulfilment of the RIRP, in particular, when taking into account the possibility of nonlinearities in …
Persistent link: https://www.econbiz.de/10004980101
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Purchasing power parity in OECD countries: nonlinear unit root tests revisited
Cuestas, Juan Carlos; Regis, Paulo José - Nottingham Trent University, Nottingham Business … - 2010
The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfillment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2010) nonlinear unit root test. The results point to the fact that the purchasing power parity...
Persistent link: https://www.econbiz.de/10008475912
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Purchasing power parity in OECD countries: Nonlinear unit root tests revisited
Cuestas, Juan Carlos; Regis, Paulo José - In: Economic Modelling 32 (2013) C, pp. 343-346
The aim of this paper is to provide additional evidence on the purchasing power parity empirical fulfilment in a pool of OECD countries. We apply the Harvey et al. (2008) linearity test and the Kruse (2011) nonlinear unit root test. The results point to the fact that the purchasing power parity...
Persistent link: https://www.econbiz.de/10010664412
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Investigating the oil price-exchange rate nexus: Evidence from Africa
Coleman, Simeon; Cuestas, Juan Carlos; Mourelle, Estefanía - Department of Economics, University of Sheffield - 2011
In this paper, we aim to provide further insights into the importance of real oil price as a determinant of real exchange rates for a pool of African countries. While this relationship has been explored substantially for many industrialised economies, African countries have received little...
Persistent link: https://www.econbiz.de/10009024830
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Further evidence on the PPP analysis of the Australian dollar: non-linearities, fractional integration and structural changes
Cuestas, Juan Carlos; Gil-Alana, Luís A. - Nottingham Trent University, Nottingham Business … - 2009
The aim of this paper is to analyse the empirical fulfilment of the Purchasing Power Parity (PPP) theory for the …, 1994, and Gil-Alana, 2008). Although our results point to the rejection of the PPP hypothesis, we find that the degree of …
Persistent link: https://www.econbiz.de/10004980102
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Unemployment and common smooth transition trends in Central and Eastern European Countries
Cuestas, Juan Carlos; Ordóñez, Javier - Nottingham Trent University, Nottingham Business … - 2009
In the present paper we analyse the existence of common nonlinear trends in several of Central and Eastern European Countries in order to gain some insight about the degree of labour market integration within the area. In order to do so, we test for the order of integration of the unemployment...
Persistent link: https://www.econbiz.de/10004967150