The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

The study analyses comovement between the real effective exchange rate of South Africa and those of a sample of countries that include the world’s major economies as well as emerging and developing economies. The comovement is examined over the short and long term as well as pre and post the...

The forecast performance of the empirical ESTAR model of Taylor et al. (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are evaluated relative to a simple AR(1) specification, considering...

This paper examines the relationship between the Russian ruble/US dollar exchange rate and global oil prices using autoregressive model with Markovian regime shifts. Empirical analysis on daily data for 2009–2019 shows that exchange rate dynamics is best described by three regimes,...

The reform of exchange rate system in 2005 has settled down the floating exchange rate system with management in China. Until August this year, RMB/USD has appreciated about 16.65%. This paper measures the exchange market pressure (EMP) on RMB/USD, and use VAR model to analyze the relationship...

The finding of nonlinear cointegration between Asian exchange rates with the corresponding relatives prices and aggregate price levels based on Breitung’s (2001) nonparametric rank tests reinforces previous validations of Purchasing Power Parity by the parametric testing procedures. Hence, in...

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample evaluation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

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...