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Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model
Bec, Frédérique; Bensalem, Mélika; Carrasco, Marine - HAL - 2010
Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime...
Persistent link: https://www.econbiz.de/10010899153
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Forecasting exchange rates better than the random walk thanks to machine learning techniques
Amat, Christophe; Michalski, Tomasz; Stoltz, Gilles - HAL - 2014
Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...
Persistent link: https://www.econbiz.de/10010899931
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Are Southeast Asian Real Exchange Rates Mean Reverting?
Bec, Frédérique; Zeng, Songlin - HAL - 2012
Since the late nineties, both theoretical and empirical analysis devoted to the real exchange rate suggest that their dynamics might be well approximated by nonlinear models. This paper examines this possibility for post-1970 monthly ASEAN-5 data, extending the existing research in two...
Persistent link: https://www.econbiz.de/10010540567
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Equilibrium on International Assets and Goods Markets
Fontaine, Patrice; Van, Cuong Le - HAL - 2010
Most of the international asset pricing models are developed in the situation where purchasing power parity (PPP) is not respected. Investors of different countries do not agree on expected security returns. However, in this case, an equilibrium on the international assets market may exist but...
Persistent link: https://www.econbiz.de/10010603675
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The international transmission of monetary shocks in a dollarized economy: The case of USA and Lebanon
Goux, Jean-François; Cordahi, Charbel - HAL - 2007
We show that an American monetary shock wields an influence, though limited, over the Lebanese output in accordance with the literature advances. However, as we are waiting for a stronger transmission of U.S. short-term rates to Lebanese short-term rates, we notice that this transmission is weak...
Persistent link: https://www.econbiz.de/10008790871
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Purchasing Power Parity for developing and developed countries. What can we learn from non-stationary panel data models?
Drine, Imed; Rault, Christophe - HAL - 2008
The aim of this paper is to apply recently developed panel cointegration techniques proposed by Pedroni (1999, 2004) and generalized by Banerjee and Carrion-i-Silvestre (2006) to examine the robustness of the PPP concept for a sample of 80 developed and developing countries. We find that strong...
Persistent link: https://www.econbiz.de/10008791812
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Innovation and Leapfrogging in the Chinese Automobile Industry: Examples from Geely, BYD and Shifeng
Wang, Hua; Kimble, Chris - HAL - 2013
History provides numerous examples of incumbent market leaders being leapfrogged by newcomers that have exploited the opportunities offered by new technologies. In light of the growing number of ecological threats linked to the use of the internal combustion engine, can Chinese auto...
Persistent link: https://www.econbiz.de/10010820814
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BASIC effect on global climate governance. Power changes and regime shifts
Berthaud, Pierre; Voituriez, Tancrède - HAL - 2013
the BASIC countries (Brazil, South Africa, India and China) in this indeterminacy. Mobilising the analytical tools of …
Persistent link: https://www.econbiz.de/10010820964
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China Apparel in Textiles World Values Chains
Ruffier, Jean - HAL - 2012
This paper analyses the expansion of China's clothing industry in world textile value chains. Using data from … interviews and observations throughout factory visits in China and other countries we show how private Guangdong entrepreneurs … started China's clothing manufacturing. Lacking experience in consumer markets and designing, original equipment manufacturing …
Persistent link: https://www.econbiz.de/10010820997
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Urbanisation in China: The impact of the tax-sharing system and the definitions of new strategies
Elosua, Miguel; Gipouloux, François; Goulard, Sébastien; … - HAL - 2013
has accelerated China's urbanisation. Other factors of this massive urbanisation include the improvement of transport … infrastructures and the transformation of China's industries. The reform of the tax system between central and local authorities in … introduces the possible strategies China may adopt for the development of its cities. The objective of these policies will be …
Persistent link: https://www.econbiz.de/10010821152