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Exchange rate pass-through to inflation in China

Jiang, Jiadan; Kim, David - In: Economic Modelling 33 (2013) C, pp. 900-912

rate movements start to influence the price inflation in China in a significant way. This paper estimates a structural …

Persistent link: https://www.econbiz.de/10010738000

Output gap measurement and the New Keynesian Phillips curve for China

Zhang, Chengsi; Murasawa, Yasutomo - In: Economic Modelling 28 (2011) 6, pp. 2462-2468

due to nominal rigidities, drives the dynamics of inflation relative to expected inflation and lagged inflation. This … paper exploits the empirical success of the New Keynesian Phillips curve in explaining China's inflation dynamics with a new …, based on a multivariate dynamic model featuring distinct interactions among inflation, money, and real output in China. The …

Persistent link: https://www.econbiz.de/10010577098

US inflation and consumption: A long-term perspective with a level shift

Paradiso, Antonio; Casadio, Paolo; Rao, B. Bhaskara - In: Economic Modelling 29 (2012) 5, pp. 1837-1849

relationship, and 2) using inflation as an additional explanatory variable. By implementing a well structured estimation strategy …, we found that after taking the level shift into account, a cointegrating equation, including inflation, exists and is …

Persistent link: https://www.econbiz.de/10010597501

Inflation persistence, inflation expectations, and monetary policy in China

Zhang, Chengsi - In: Economic Modelling 28 (2011) 1, pp. 622-629

This paper constructs a quarterly series of GDP deflator inflation for China from 1979 to 2009 and tests for a … structural break with an unknown change point in the dynamic inflation process. Empirical results suggest a significant … structural change in inflation persistence. Employing a counterfactual simulation method, we show that the structural change is …

Persistent link: https://www.econbiz.de/10010573373

Relative productivity increases and the appreciation of the Turkish lira

Lopcu, Kenan; Dülger, Fikret; Burgaç, Almıla - In: Economic Modelling 35 (2013) C, pp. 614-621

This paper studies the Balassa–Samuelson hypothesis between Turkey and 27 members of the European Union. More specifically, using recently developed cointegration techniques with multiple breaks, we test the relationship between the real effective exchange rate and inter-country differences in...

Persistent link: https://www.econbiz.de/10011048753

Modeling nonlinear Granger causality between the oil price and U.S. dollar: A wavelet based approach

Benhmad, François - In: Economic Modelling 29 (2012) 4, pp. 1505-1514

In this paper, we use a wavelet approach to study the linear and nonlinear Granger causality between the real oil price and the real effective U.S. Dollar exchange rate. Instead of analyzing the time series at their original level, as it is usually done, we first decompose the two macroeconomic...

Persistent link: https://www.econbiz.de/10010577110

Oil price and exchange rates: A wavelet based analysis for India

Tiwari, Aviral Kumar; Dar, Arif Billah; Bhanja, Niyati - In: Economic Modelling 31 (2013) C, pp. 414-422

In this paper, we explore linear and nonlinear Granger causalities between oil price and the real effective exchange rate of the Indian currency, known as ‘rupee’. First, we apply the standard time domain approach, but fail to find any causal relationship. So, we decompose the two series at...

Persistent link: https://www.econbiz.de/10010636280

Exchange rate pass-through in to inflation: New insights in to the cointegration relationship from Pakistan

Naz, Farah; Mohsin, Asma; Zaman, Khalid - In: Economic Modelling 29 (2012) 6, pp. 2205-2221

VAR (SVAR) model is used to estimate the exchange rate pass‐through to inflation in Pakistan. Further, impulse response …

Persistent link: https://www.econbiz.de/10011048708

Nonlinear adjustment in the real dollar–euro exchange rate: The role of the productivity differential as a fundamental

Camarero, Mariam; Ordóñez, Javier - In: Economic Modelling 29 (2012) 2, pp. 444-449

In this paper we analyze the influence of productivity differentials in the dynamics of the real dollar–euro exchange rate. Using nonlinear procedures for the estimation and testing of ESTAR models during the period 1970–2009 we find that the dollar–euro real exchange rate shows nonlinear...

Persistent link: https://www.econbiz.de/10011048881

Conditional heteroscedasticity with leverage effect in stock returns: Evidence from the Chinese stock market

Long, Ling; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic Modelling 37 (2014) C, pp. 89-102

In recent years the Chinese stock market has experienced an astonishing growth and unprecedented development, but is also viewed as one of the most volatile markets, which has been called by many observers a “casino”. This study intends to examine the presence of heteroskedasticity and the...

Persistent link: https://www.econbiz.de/10011048914