Similar Search Results

Does the Nominal Exchange Rate Regime Affect the Real Interest Parity Condition?

Dreger, Christian - 2009

The real interest parity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper...

Persistent link: https://www.econbiz.de/10013158584

Exchange Rate Models, Long Run Equilibrium, Dynamics and Hysteresis

Bouveret, Antoine; Sterdyniak, Henri - 2007

Forecasting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations doesn't have any predictive power. This article addresses some problems of exchange rate macroeconomic...

Persistent link: https://www.econbiz.de/10014062157

Linkages Between Direct and Securitized Real Estate

OIKARINEN, Elias; HOESLI, Martin; SERRANO, Camilo

Using data for the 1978-2008 period, this study presents evidence for cointegration between securitized (NAREIT) and … direct (NCREIF) total return indices. Cointegration between the indices indicates that REITs and direct real estate are …

Persistent link: https://www.econbiz.de/10008479292

Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?

Westerlund, Joakim; Basher, Syed A. - Volkswirtschaftliche Fakultät, … - 2006

A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of this power...

Persistent link: https://www.econbiz.de/10005789565

The perils of counterfactual analysis with integrated processes

Carvalho, Carlos Viana de; Masini, Ricardo; Medeiros, … - 2016

are formed by integrated process of order 1. We find that without a cointegration relation (spurious case) the …. Whereas, for the case when at least one cointegration relation exists, we have a T-consistent estimator for the intervention …

Persistent link: https://www.econbiz.de/10011579472

Real equilibrium exchange rates. A panel data approach for advanced and emerging economies.

Villavicencio, Antonia López - Departament d'Economia Aplicada, Universitat Autònoma … - 2006

exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration …

Persistent link: https://www.econbiz.de/10005562454

Real Equilibrium Exchange Rates: a Panel Data Approach for Advanced and Emerging Economies

Villavicencio, Antonia Lopez - In: Economie Internationale (2006) 108, pp. 59-81

exchange rate and evaluates the degree of misalignment of a group of currencies since 1980. Within a panel cointegration …

Persistent link: https://www.econbiz.de/10005406522

Harrod, Balassa, and Samuelson (re)visit Eastern Europe

Sonora, Robert; Tica, Josip - In: Cogent economics & finance 2 (2014) 1, pp. 1-16

. However, using panel cointegration tests, we find strong statistical evidence for the HBS hypothesis within countries and …

Persistent link: https://www.econbiz.de/10010470574

Real Exchange Rates in the Long and Short Run : A Panel Co-Integration Approach

Calderón, César A. - 2008

developed panel cointegration techniques to a structural long-run real exchange rate equation. Using annual data for 67 … countries over 1966-97, we find evidence of cointegration between the real exchange rate and its fundamentals. I also find: (a …) evidence of cointegration holds for all sub-samples of countries (classified by income or capital controls), (b) parameter …

Persistent link: https://www.econbiz.de/10012770610

Large T and Small N: A Three-Step Approach to the Identification of Cointegrating Relationships in Time Series Models with a Small Cross-Sectional Dimension

Hammersland, Roger - 2004

This paper addresses cointegration in small cross-sectional panel data models. In addition to dealing with … cointegrating relationships within the cross-sectional dimension, the paper explicitly addresses the issue of cointegration between …

Persistent link: https://www.econbiz.de/10012143629