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A cointegration of the exchange rate and macroeconomic fundamentals : the case of the Indonesian Rupiah vis-á-vis currencies of primary trade partners

Salim, Agus; Shi, Kai - In: Journal of risk and financial management : JRFM 12 (2019) 2/87, pp. 1-17

determinants in some countries. To revisit this puzzle in an emerging market currency, we analyzed the cointegration of the …

Persistent link: https://www.econbiz.de/10012022085

The impact of the real effective exchange rate on real export earnings in Bangladesh

Hassan, Rubana; Chakraborty, Shampa; Sultana, Nasrin; … - 2016

Persistent link: https://www.econbiz.de/10011535423

Exploring the interaction between stock price index and exchange rates : an asymmetric threshold approach

Koulakiotis, Athanasios; Kiohos, Apostolis; Babalos, … - In: Applied economics 47 (2015) 13/15, pp. 1273-1285

Persistent link: https://www.econbiz.de/10010512069

A study of the relation between inflation and exchange rates in the Fiji islands : a cointegration and vector error correction approach

Paul, Muthucattu Thomas; Tang, Yih Pin; Bhatt, Markand - In: The journal of developing areas 48 (2014) 4, pp. 1-20

Persistent link: https://www.econbiz.de/10010429280

The monetary exchange rate model as a long-run phenomenon

Groen, Jan J. J. - 1998

pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance … residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration …

Persistent link: https://www.econbiz.de/10011299983

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148