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Stationarity of Asian real exchange rates: An empirical application of multiple testing to nonstationary panels with a structural break

Matsuki, Takashi; Sugimoto, Kimiko - In: Economic Modelling 34 (2013) C, pp. 52-58

This paper investigates the stationarity of the real exchange rates of the currencies for ten Asian countries against … identify which of the ten countries hold real exchange rate stationarity, that is, long-run Purchasing Power Parity, the …-sectionally dependent panels. Finally, the empirical results show that the stationarity hypothesis of the real exchange rate is …

Persistent link: https://www.econbiz.de/10010709336

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

A wavelet decomposition approach to crude oil price and exchange rate dependence

Reboredo, Juan C.; Rivera-Castro, Miguel A. - In: Economic Modelling 32 (2013) C, pp. 42-57

This paper studies the relationship between oil prices and US dollar exchange rates using wavelet multi-resolution analysis. We characterized the oil price–exchange rate relationship for different timescales in an attempt to disentangle the possible existence of contagion and interdependence...

Persistent link: https://www.econbiz.de/10010664397

Reverse shooting of exchange rates

Wang, Peijie - In: Economic Modelling 33 (2013) C, pp. 71-76

Reverse shooting of the exchange rate has been put forward in this paper by scrutinizing the adjustment and evolution of the exchange rate towards its new long-run equilibrium level following a change in money supply. Joint and sequential effects of covered interest rate parity and the sticky...

Persistent link: https://www.econbiz.de/10010738013

Endogenous current account balances in a world CGE model with international financial assets

Lemelin, André; Robichaud, Véronique; Decaluwé, Bernard - In: Economic Modelling 32 (2013) C, pp. 146-160

This paper presents an applied computable general equilibrium world model with financial assets and endogenous current account, and capital and financial account balances. The capital and financial account equilibrium conditions, rather than exogenous rules, constrain the current account...

Persistent link: https://www.econbiz.de/10010664405

Exchange rate regime, real misalignment and currency crises

Holtemöller, Oliver; Mallick, Sushanta - In: Economic Modelling 34 (2013) C, pp. 5-14

Based on 69 sample countries, this paper examines the effect of macroeconomic fundamentals on real effective exchange rates (REER) in these sample countries. Using the misalignment of actual REER from its equilibrium level, we have estimated the factors explaining the extent of currency over- or...

Persistent link: https://www.econbiz.de/10011048948

Extremes, return level and identification of currency crises

Qin, Xiao; Liu, Liya - In: Economic Modelling 37 (2014) C, pp. 439-450

Recent literature has attempted to apply Extreme Value Theory (EVT) in the identification of currency crises. However, these approaches seem to have confused the thresholds in extreme modeling with the cutoffs of currency crises. Our paper proposes a Return Level Identification Approach, also...

Persistent link: https://www.econbiz.de/10010743996

The impact of real exchange rates adjustments on global imbalances: A multilateral approach

Allegret, Jean-Pierre; Sallenave, Audrey - In: Economic Modelling 37 (2014) C, pp. 149-163

An extensive literature stresses that currency misalignments are costly in terms of growth performance. However, these studies do not consider the direct and indirect effects of currency misalignments on other countries. In this paper, we analyze how misalignments of the dollar, the euro, and...

Persistent link: https://www.econbiz.de/10010744022

Monetary policy of a small open economy in the world production chain

Chu, Hsiao-Lei - In: Economic Modelling 29 (2012) 6, pp. 2751-2755

In the world production chain there is a small economy that outsources production to its upstream, sells intermediate goods to its downstream and consumes imported final goods. It is shown that in responding to shocks from demand for intermediate goods, from the wage rate in the upstream and...

Persistent link: https://www.econbiz.de/10010588247

The precise form of uncovered interest parity: A heterogeneous panel application in ASEAN-5 countries

Tang, Kin-Boon - In: Economic Modelling 28 (2011) 1, pp. 568-573

A notable feature of the empirical studies on uncovered interest parity (UIP) is that almost all published papers rely on the approximate form of UIP using substantially the same database of developed economies. It can, therefore, not be ruled out that the refusal of UIP condition is simply the...

Persistent link: https://www.econbiz.de/10010573261