This study finds that Purchasing Power Parity holds in the long-run for Azerbaijan, Kazakhstan and Kyrgyzstan, based on Breitung’s (2001) rank tests for cointegration. Results from further analysis indicates that nominal exchange rates and relative prices are nonlinearly interrelated. Trade...

The primary objective of this study is to examine the evidence of occurrences of extreme market pressure of currencies of a number of Asian economies against the US dollar during the period of 2000-2009. In particular, we are interested in investigating the severity of these pressures during the...

We study the relationships between the real effective exchange rate (REER) of the Tunisian dinar and its determinants/fundamentals, i.e. the ratio of trade balance/GDP, the ratio of public consumption/GDP, the openness rate and the terms of trade. We find that in the most of cases, the variables...

During the 2007-2009 financial crisis the foreign exchange market was characterized by large volatility and wide currency swings. In this paper we evaluate whether during the period of the Great Recession there has been a structural break in the relationship between fundamentals and exchange...

This paper attempts to examine the weak form of market efficiency in the Indian foreign exchange market using a family of variance ratio tests. Monthly Nominal Effective Exchange Rate (NEER) data from April 1993-June 2010 were used for the analysis. NEER series was considered for the analysis as...

We examine the accuracy of survey-based expectations of the Chilean exchange rate relative to the US dollar. Our out-of-sample analysis reveals that survey-based forecasts outperform the Driftless Random Walk (DRW) in terms of Mean Squared Prediction Error at several forecasting horizons. This...

This dissertation focuses on forecasting rare macroeconomic events, such as GDP declines and currency crises, using non-parametric methods, highlighting the advantages of the Receiver Operating Characteristic (ROC) curves analysis and the value of qualitative information from expert surveys and...

This paper extends and generalizes the BDS test presented by Brock, Dechert, Scheinkman, and LeBaron (1996). In doing so it aims to remove the limitation of having to arbitrarily select a proximity parameter by integrating across the correlation integral. The Monte Carlo simulation is used to...

This paper examines the relation between fiscal deficits and growth for a panel of 45 developing countries. Based on a consistent treatment of the government budget constraint, it finds evidence of a threshold effect at a level of the deficit around 1.5% of GDP. While there appears to be a...

This paper estimates the effects of external constraints on growth and investment in the Mexican economy, and how those effects have changed since the economic liberalization of the 1980s and the formation of NAFTA in 1994. Shocks to net financial inflows, world oil prices, the U.S. growth rate,...