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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 … empirical results based on Autoregressive Distributed Lag (ARDL) and Nonlinear Autoregressive Distributed Lag (NARDL) models …
Persistent link: https://www.econbiz.de/10012022085
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Reconsidering the import demand function of China : evidence from asymmetric cointegration
Ghosh, Sudeshna - In: International journal of economics and business … 19 (2020) 3, pp. 245-265
Persistent link: https://www.econbiz.de/10012205603
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The effects of covid-19 outbreak on financial markets
Çelik, Ismail; Yilmaz, Tayfun; Emir, Süleyman; Sak, … - In: Financial studies 24 (2020) 4, pp. 6-28
structural breaks more precisely by means of the Fourier transformations in time series, the Fourier-SHIN Cointegration Test to … determine long-term relationships between time series, and the Fourier Granger Causality Test to determine causality …
Persistent link: https://www.econbiz.de/10012421804
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Suitable Price Discovery Measurement of Bitcoin Spot and Futures Markets
Robertson, Kevin; Zhang, Jiani - 2022
Derivatives are playing an increasing role within the trading ecosystem of Bitcoin markets. This includes futures that are traded on US regulated exchanges like the Chicago Mercantile Exchange (CME) and unregulated exchanges like Binance. Prior research on which bitcoin markets lead in price...
Persistent link: https://www.econbiz.de/10013307968
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Real exchange rate misalignments and economic growth in Tunisia : new evidence from a threshold analysis of asymmetric adjustments
Hadj Amor, Thouraya; Nouira, Ridha; Rault, Christophe; … - In: The quarterly review of economics and finance : journal … 88 (2023), pp. 215-227
Persistent link: https://www.econbiz.de/10014428041
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On the (a)symmetric effects of real exchange rate on trade flows : new evidence from US–Vietnam trade balance at the industry level
Ho, Sy Hoa; Nguyen, Trung Thanh; Nguyen To-The - In: Journal of the Asia Pacific economy 28 (2023) 3, pp. 949-971
Persistent link: https://www.econbiz.de/10014323692
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The recent effects of exchange rate on international trade
Choi, Myoung Shik - In: Prague economic papers : a bimonthly journal of … 26 (2017) 6, pp. 661-689
Persistent link: https://www.econbiz.de/10011780227
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International risk sharing with endogenously Ssegmented asset markets
Cociuba, Simona E.; Ramanarayanan, Ananth - 2017
Asset price data imply a large degree of international risk sharing, while aggregate consumption data do not. We evaluate whether a model with trade in goods and endogenously segmented asset markets accounts for this puzzling discrepancy. Active households pay a fixed cost to transfer income...
Persistent link: https://www.econbiz.de/10011763742
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Capital flows, financial asset prices and real financial market exchange rate : a case study for an emerging market, India
Ghosh, Saurabh; Reitz, Stefan - 2012
exchange rates by MSCI asset price indices. The cointegration analysis indicates a long-run equilibrium relationship between …
Persistent link: https://www.econbiz.de/10009576029
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A Resolution of the Purchasing Power Parity Puzzle : Imperfect Knowledge and Long Swings
Frydman, Roman - 2020
Asset prices undergo long swings that revolve around benchmark levels. In currency markets, fluctuations involve real exchange rates that are highly persistent and that move in near-parallel fashion with nominal rates. The inability to explain these two regularities with one model has been...
Persistent link: https://www.econbiz.de/10012705781