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Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - In: Review of financial economics : RFE 13 (2004) 4, pp. 327-340

Persistent link: https://www.econbiz.de/10002375332

Efficient estimation of the seemingly unrelated regression cointegration model and testing for purchasing power parity

Moon, Hyungsik Roger; Perron, Benoit - In: Econometric reviews 23 (2004) 4, pp. 293-323

Persistent link: https://www.econbiz.de/10002514194

A new approach to testing PPP : evidence from the Yen

Brailsford, Timothy J.; Penm, Jack H. W.; Terrell, R. D. - In: Research in finance 21 (2004), pp. 135-154

Persistent link: https://www.econbiz.de/10002976494

Uncover latent PPP by dynamic factor error correction model (DF-ECM) approach : evidence from five OECD countries

Qin, Duo (contributor) - 2006

Persistent link: https://www.econbiz.de/10003370386

Fractional cointegration and real exchange rates

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

Persistent link: https://www.econbiz.de/10001509581

Real exchange rate behaviour : some evidence from the quarterly data, 1984 to 1995 of Germany, Japan and United Kingdom

Paul, Thomas; Bhanumurthy, N. R. - In: Fifty years of development economics : from planning to …, (pp. 375-395). 1999

Persistent link: https://www.econbiz.de/10001490080

Uncover Latent PPP by Dynamic Factor Error Correction Model (Df-Ecm) Approach : Evidence from Five OECD Countries

Qin, Duo - 2011

This study explores a new modelling approach that bridges the gap between multilateral country-level data and the bilateral-model based, goods-market specific purchasing power parity (PPP) hypothesis. Under this approach, PPP is embedded in latent common factors, extractable from a large set of...

Persistent link: https://www.econbiz.de/10013132129

Uncover Latent PPP by Dynamic Factor Error Correction Model (Df-Ecm) Approach : Evidence from Five OECD Countries

Qin, Duo - 2011

This study explores a new modelling approach to bridge the gap between the bilateral setting of one 'domestic' economy facing one 'foreign' entity in theory and multilateral country data in reality. Under the approach, purchasing power parity (PPP) is embedded in latent disequilibrium factors,...

Persistent link: https://www.econbiz.de/10013132428

Foreign Capital in Latin America : A Long-Run Structural Global VAR Perspective

Boschi, Melisso - 2007

domestic and global factors. I estimate six VECM models, one for each Latin American country plus the Euro Area, Japan, and USA …

Persistent link: https://www.econbiz.de/10012728441

Real Exchange Rate and Real Interest Rate Differential : A Cointegration Approach with Structural Shifts

Khairnar, Kunal - 2017

US. We find weak evidence of cointegration between USD/INR real exchange rate, US real interest rate and Indian real … interest, and no cointegration between USD/INR real exchange rate and real interest rate differential using standard … cointegration tests. To make our analysis robust, we identify important structural breaks in exchange rate and interest rates and …

Persistent link: https://www.econbiz.de/10012974858