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Error at several forecasting horizons. This result holds true even when comparing the survey to a more competitive benchmark …: survey-based forecasts outperform a “pure luck” benchmark at several forecasting horizons. Differing from the traditional “no …
Persistent link: https://www.econbiz.de/10015262273
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...
Persistent link: https://www.econbiz.de/10015217188
This paper focuses on real exchange rate in the case of CEMAC countries. To analyze the situation in Cameroon, Central African Republic, Congo, Gabon and Chad we used annual data from 1979 to 2008. Two approaches were used related to equilibrium real exchange rate model based on fundamentals and...
Persistent link: https://www.econbiz.de/10015218014
In our article we employ some contemporaneous panel unit root tests (Maddala and Wu, 1999; Im et al., 2003) to examine whether the real exchange rates are mean reverting. Considering a panel of 26 OECD countries from 1987 to 2006 both using monthly and quarterly observations, we find that assuming a...
Persistent link: https://www.econbiz.de/10015219736
display the lowest correlation with the target variable. Given that violations of efficiency are usual in the forecasting …
Persistent link: https://www.econbiz.de/10015229363
This paper examines the presence of nonlinear mechanisms in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using smooth transition models, we explore the existence of non-linearities with respect to three macroeconomic factors, namely inflation rate,...
Persistent link: https://www.econbiz.de/10015232370
This paper examines the presence of non-linear mechanism in the exchange rate pass-through (ERPT) to CPI inflation for 12 euro area (EA) countries. Using smooth transition regression (STR) model, we explore the existence of non-linearities with respect to the inflation environment. We find...
Persistent link: https://www.econbiz.de/10015232763
In this paper we analyze the relationship between the real Russian ruble exchange rate and real oil prices using the error correction model with Markov regime switching, which allows for changes in exchange rate policy. We find that during the period 1999-2018 real exchange rate dynamics was...
Persistent link: https://www.econbiz.de/10015263782
This paper tries to explain, using a model that includes asset market risk country, the behavior of nominal exchange rate, as well as determine the impact of this risk in determining the exchange rate, also seeks to establish whether the exchange rate is below the level predicted by their bases...
Persistent link: https://www.econbiz.de/10015264808
The study compares the explanatory power of two alternative long-term determinants of the real effective exchange rate of the Russian ruble, oil prices and oil export revenues, in three variants of the error correction model. The linear model shows that during the period of managed nominal...
Persistent link: https://www.econbiz.de/10015265338