Search Results - subject:"Threshold VECM"

China's trilemma : exchange rate marketization, RMB internationalization, and exchange rate pricing power

Wang, Panpan; Ho, Tsungwu; Liu, Xiaoxing; Wu, Sixu - In: Borsa Istanbul Review 23 (2023) 5, pp. 1098-1110

We employ a threshold vector error correction model approach to investigate the impact of China's exchange rate marketization reform in August 2015 on the linkage between renminbi (RMB) onshore (CNY) and offshore (CNH) exchange rates and the impact of post-reform policy interventions by the...

Persistent link: https://www.econbiz.de/10014383555

Sensibilidad y asimetrías ante choques de ingreso en el consumo privado de México, 1995-2017

Mendoza González, Miguel Ángel - In: Ensayos : revista de economía 39 (2020) 1, pp. 21-58

Persistent link: https://www.econbiz.de/10012404338

A re-examination of the relationship between FTSE100 index and futures prices

Tao, Juan - 2008

forspot and futures prices and a threshold VECM to capture regime-dependent spot-futuresprice dynamics.Overall, both the basic … could be more reasonably used as a benchmark for pricing stock index futures.The threshold VECM analysis depicts regime … suitable for pricing stock index futures. Furthermore, the threshold valuesyielded from estimating the threshold VECM reflect …

Persistent link: https://www.econbiz.de/10009461235

Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP

Menkhoff, Lukas; Rebitzky, Rafael R. - 2007

How is it possible that exchange rates move in the long run towards fundamentals, while professionals form consistently irrational exchange rate expectations? We look at this puzzle from a different perspective by analyzing investor sentiment in the US-dollar market. First, long-horizon...

Persistent link: https://www.econbiz.de/10010264930

Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP

Menkhoff, Lukas; Rebitzky, Rafael - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2007

Persistent link: https://www.econbiz.de/10005464718

Spatial Price Transmission in Kazakh Wheat Markets

Yakhshilikov, Yorbol; Brosig, Stephan - International Association of Agricultural Economists - IAAE - 2006

Reliable marketing opportunities in both interregional and international trade are an important precondition for further development of the agricultural sector. In this study we assess interregional integration of Kazakh wheat markets. We apply asymmetric threshold error correction models to...

Persistent link: https://www.econbiz.de/10005484017