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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
Taiwan, and their associated volatility. Inclusion of the exchange rate and its volatility captures approximate daily and … weekly price and price volatility effects on world, US and Japanese tourist arrivals to Taiwan. The Heterogeneous … of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …
Persistent link: https://www.econbiz.de/10009141353
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …
Persistent link: https://www.econbiz.de/10010732596
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2010
associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …
Persistent link: https://www.econbiz.de/10010732607
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …
Persistent link: https://www.econbiz.de/10010732623
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Institute of Economic Research, Kyoto University - 2010
their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the … approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal …
Persistent link: https://www.econbiz.de/10008489840
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IMF Support and Inter-regime Exchange rate Volatility
Arnold, Ivo J.M.; MacDonald, Ronald; Vries, Casper G. de - Department of Economics, Adam Smith Business School - 2007
exchange rates. We re-examine the data and conclude that the disparity between the fundamentals and exchange rate volatility is … for the fundamental variables’ volatility under fixed exchange rates. We show that IMF credit support is a crucial …
Persistent link: https://www.econbiz.de/10005549042
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Do Fundamentals Matter for the D-Mark/Euro-Dollar? A Regime Switching Approach
Frömmel, Michael; MacDonald, Ronald; Menkhoff, Lukas - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2003
In this paper we demonstrate that there is evidence of an unstable and nonlinear re-lationship between fundamentals and exchange rates. Modeling this time-varying nature of the importance of fundamentals in a Markov switching framework substan-tially improves the fit of the real interest rate...
Persistent link: https://www.econbiz.de/10005464665
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A Method for Indicating Economic Transition with an Application to Albania
Hallwood, C. Paul; MacDonald, Ronald - In: Eastern Economic Journal 28 (2002) 4, pp. 465-480
We offer a method for assessing the progress of transition economies towards becoming market economies. A simple macroeconomic model is used which incorporates certain microeconomic features relevant to a transition economy that is introducing market-driven resource allocation. According to our...
Persistent link: https://www.econbiz.de/10005466734
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The monetary approach to exchange rates in the CEECs
Crespo Cuaresma, Jesús; Fidrmuc, Jarko; MacDonald, Ronald - 2003
A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square...
Persistent link: https://www.econbiz.de/10012148459
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PPP and the Balassa Samuelson effect : the role of the distribution sector
MacDonald, Ronald; Ricci, Luca Antonio - 2001
This paper investigates the impact of the distribution sector on the real exchange rate, controlling for the Balassa-Samuelson effect, as well as other macro variables. Long-run coefficients are estimated using a panel dynamic OLS estimator. The main result is that an increase in the...
Persistent link: https://www.econbiz.de/10011398102