Showing 1 - 10 of 7,496
This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...
Persistent link: https://www.econbiz.de/10010741740
The large appreciation and depreciation of the US Dollar in the 1980s stimulated an important debate on the usefulness of unit root tests in the presence of structural breaks. In this paper, we propose a simple model to describe the evolution of the real exchange rate. We then propose a more...
Persistent link: https://www.econbiz.de/10010665735
of long-run purchasing power parity (PPP) in 14 transition countries, using monthly real effective exchange rates over … the period January 1994- June 2012. The empirical results indicate that PPP holds only in five countries (i.e., Cyprus …, Lithuania, Latvia, Poland, and Slovenia). Furthermore, we found that the adjustment toward PPP is nonlinear. …
Persistent link: https://www.econbiz.de/10011213293
, which validates PPP condition in absolute terms. These results are crucial to analyze the possible long run exchange effects …
Persistent link: https://www.econbiz.de/10011056680
associated with PPP. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010994451
This study examines the empirical validity of the weak-form Efficient Market Hypothesis (EMH) for the foreign exchange market of Sri Lanka, using a battery of (univariate and panel) unit root tests, including those that allow for structural breaks. Monthly exchange rates for four major...
Persistent link: https://www.econbiz.de/10011137869
Based on panel smooth transition regressions, this paper determines for a large sample of developed and emerging countries, the value of currency misalignments from which we observe a regime shift in economic growth, over the 1980–2009 period. Misalignments, defined as the difference between...
Persistent link: https://www.econbiz.de/10011065327
This paper investigates the equilibrium CNY/USD nominal exchange rate during 1976–2008. We extend for the first time the five-area FABEER model to a twelve-area TABEER model for China. All parameters are estimated with allowance for endogenous structural breaks. Our investigation of the...
Persistent link: https://www.econbiz.de/10010576384
The paper discusses the issue of estimating short- and long-run exchange rate pass-through to import prices in euro area countries and reviews some problems with the measures recently proposed in the literature. Theoretical considerations suggest a cointegrating relationship (between import unit...
Persistent link: https://www.econbiz.de/10005083005
This paper investigates the equilibrium real effective exchange rate for the Chinese RMB during the post-reform period, 1982–2010. We extend the NATREX model in several important perspectives and apply it for the first time to China. A wide range of economic fundamentals that are unique to the...
Persistent link: https://www.econbiz.de/10010591947