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Measuring regional market integration in developing Asia : a Dynamic Factor Error Correction Model (DF-ECM) approach
Qin, Duo; Cagas, Marie Anne; Ducanes, Geoffrey; … - 2007
This paper examines empirically the dynamic process of regional market integration in twelve Asian economies using a new modeling approach combining DF with ECM. This approach enables us to obtain latent regional dynamic factors which correspond well with the 'foreign' parity variables in theory...
Persistent link: https://www.econbiz.de/10010529711
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Determinants of Foreign Exchange Reserves in India : A Multivariate Cointegration Analysis
Dash, Priyadarshi - 2015
This paper attempts to identify the key determinants of foreign exchange reserves in India using Johansen (1995 …) Maximum-Likelihood Vector Error Correction Model (VECM) on monthly as well as annual data for reserves, imports and nominal … exchange rate. The empirical results confirm that there exists a long-run cointegrating relationship among reserves, imports …
Persistent link: https://www.econbiz.de/10013039218
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Macroeconomic factors driving exchange rate volatility and economic sustainability : case study of Pakistan
Ghauri, Saghir Pervaiz; Ahmed, Rizwan Raheem; … - In: Amfiteatru economic : an economic and business research … 26 (2024) 66, pp. 612-628
is used. This study uses an Autoregressive distribution lag (ARDL) model, which assesses cointegration between variables … to see their short- and long-term relationship. As a result, there is cointegration, according to the results of the ARDL …
Persistent link: https://www.econbiz.de/10014577814
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Purchasing Power Parity Based on Capital Account, Exchange Rate Volatility and Cointegration : Evidence from Some Developing Countries
Ahmed, Mudabber - 2008
-regression based, regression based and co-integration based. An important feature of the study is that test of PPP which relies on …
Persistent link: https://www.econbiz.de/10014215553
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Determinants of Foreign Exchange Reserves in India : A Multivariate Cointegration Analysis
Dash, Priyadarshi - 2015
This paper attempts to identify the key determinants of foreign exchange reserves in India using Johansen (1995 …) Maximum-Likelihood Vector Error Correction Model (VECM) on monthly as well as annual data for reserves, imports and nominal … exchange rate. The empirical results confirm that there exists a long-run cointegrating relationship among reserves, imports …
Persistent link: https://www.econbiz.de/10013030106
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Exchange Rate and Trade Balance: J-curve Effect
Petrović, Pavle; Gligorić, Mirjana - In: Panoeconomicus 57 (2010) 1, pp. 23-41
This paper shows that exchange rate depreciation in Serbia improves trade balance in the long run, while giving rise to a J-curve effect in the short run. These results add to the already existent empirical evidence for a diverse set of other economies. Both Johansen’s and autoregressive...
Persistent link: https://www.econbiz.de/10008554119
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LONG-RUN AND SHORT-RUN DYNAMICS OF FOREIGN EXCHANGE RESERVES FLOWS AND DOMESTIC CREDIT IN PAKISTAN
KHAN, Muhammad Arshad - In: International Journal of Applied Econometrics and … 5 (2008) 1, pp. 61-78
-Juselius cointegration techniques. The results suggest that real output, real exchange rate and domestic credit play an important role in the … determination of foreign exchange reserves in Pakistan in long-as well in short-run. Moreover, the monetary authorities sterilize … foreign exchange reserves by 12% in long-run and 66% in short-run. The results support the evidence of long-run causality …
Persistent link: https://www.econbiz.de/10005607431
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Real Exchange Rate Misalignment: An Application of Behavioral Equilibrium Exchange Rate (BEER) to Nigeria
Shehu Usman Rano, Aliyu - Volkswirtschaftliche Fakultät, … - 2007
This paper seeks to estimate the long run behavioral equilibrium exchange rate in Nigeria. The empirical analysis builds on quarterly data from 1986Q1 to 2006Q4 and derives a Behavioral Equilibrium Exchange Rate (BEER) and a Permanent Equilibrium Exchange Rate (PEER). The econometric analysis...
Persistent link: https://www.econbiz.de/10005621900
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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN Journal of Applied Statistics 07 (2016) 1, pp. 49-70
prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error …
Persistent link: https://www.econbiz.de/10011482624
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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error …
Persistent link: https://www.econbiz.de/10011460225