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The Real Exchange Rate, Regime Changes and Volatility Shifts
Ventosa-Santaularia, Daniel; Wallace, Frederick; … - Centro de Investigación y Docencia Económicas (CIDE) - 2013
for a structural shift in the volatility of the Mexico-US bilateral real exchange rate. The Kim, Leybourne and Newbold … exchange rate, hence evidence of PPP, for the full sample, 1930-2012 and various subsamples. The persistence of deviations of … the real rate from its PPP level as measured by half-lives ranges from 1.37 to 2.41 years. …
Persistent link: https://www.econbiz.de/10010823224
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The Real Exchange Rate, Regime Changes and Volatility Shifts
Ventosa-Santaularia Gomez, Daniel Ventosa-Santaularia; … - Centro de Investigación y Docencia Económicas (CIDE) - 2013
for a structural shift in the volatility of the Mexico-US bilateral real exchange rate. The Kim, Leybourne and Newbold … exchange rate, hence evidence of PPP, for the full sample, 1930-2012 and various subsamples. The persistence of deviations of … the real rate from its PPP level as measured by half-lives ranges from 1.37 to 2.41 years. …
Persistent link: https://www.econbiz.de/10010667310
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European Real Exchange Rates after Bretton Woods: A Re-examination
Rey, Serge; Varachaud, Pascal - In: Journal of Economic Integration 17 (2002), pp. 185-221
This paper examines the hypothesis of Purchasing Power Parity (PPP), i.e. the proposition that the equilibrium real … show that globally there is little evidence to support PPP, i. e. the stationarity hypothesis of real exchange rates is … with ULC. Furthermore, general PPP with consumer prices is verified in only one case, namely between France and Germany …
Persistent link: https://www.econbiz.de/10010840685
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The Impact of Structural Break(s) on the Validity of Purchasing Power Parity in Turkey: Evidence from Zivot-Andrews and Lagrange Multiplier Unit Root Tests
Kum, Hakan - In: International Journal of Economics and Financial Issues 2 (2012) 3, pp. 241-245
This study examines the validity of the purchasing power parity (PPP) in Turkey for annual data from 1953 to 2009 …. While results from both the ADF unit root and the DF-GLS unit root test indicate mixed results, PPP holds for Turkey with …
Persistent link: https://www.econbiz.de/10010556627
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Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?
Baum, Christopher F.; Barkoulas, John T.; Caglayan, Mustafa - Department of Economics, Boston College - 1998
This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17...
Persistent link: https://www.econbiz.de/10004968820
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Long Memory and Fractional Integration in High Frequency Data on the US Dollar / British Pound Spot Exchange Rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
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/10010896189
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Modelling the Real Exchange Rate: A new Sequential Approach
Chaouachi, Slim; Ftiti, Zied; Teulon, Frédèric - Institut de Préparation à l'Administration et à la … - 2014
The aim of this work is to propose a new sequential strategy-three steps testing procedure- based on recently introduced econometric techniques, in order to assess the meanreverting properties of the real exchange rate and to check whether real exchange r
Persistent link: https://www.econbiz.de/10010784868
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Long memory and fractional integration in high frequency data on the US dollar/British pound spot exchange rate
Caporale, Guglielmo Maria; Gil-Alana, Luis A. - In: International Review of Financial Analysis 29 (2013) C, pp. 1-9
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
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Copius Structural Shifts in Exchange Rates of the South African Rand (Post-1994): Do They Matter (for Unit Root Testing)? What are the Most Likely Triggers?
May, Cyril - Economic Research Southern Africa (ERSA) - 2013
There is a theoretical case for real exchange rates to be stationary, but conventional unit root tests generally find nonstationarity in most economic data expressed in nominal terms; exchange rates in particular. Perron (1989) questioned the latter interpretation on the basis that the presence...
Persistent link: https://www.econbiz.de/10010687821
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Mean Aversion in and Persistence of Shocks to the US Dollar: Evidence from Nine Foreign Currencies
Azar, Samih Antoine - In: International Journal of Economics and Financial Issues 3 (2013) 3, pp. 723-733
This paper analyses the statistical behavior of the US dollar, against nine different currencies, over the float period, with a monthly data set. The martingale hypothesis is rejected for all currencies. However, all currencies have a unit root. There is overwhelming evidence for significant...
Persistent link: https://www.econbiz.de/10010701168