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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. - 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/10010293969

Long Memory and Fractional Integration in High Frequency Data on the US Dollar

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013

Persistent link: https://www.econbiz.de/10010293980

Testing Purchasing Power Parity in Transition Countries: Evidence from Structural Breaks

Acaravci, Ali; Ozturk, Ilhan - In: Amfiteatru Economic Journal 12 (2010) 27, pp. 190-198

This study examines the validity of the purchasing power parity (PPP) in 8 transition countries for monthly data from … 1992:1 to 2009:1. While results from both the ADF unit root and the KPSS unit root test indicate that PPP does not hold for … breaks, PPP holds only for Bulgaria and Romania it does not hold for the other 6 transition countries. Testing the …

Persistent link: https://www.econbiz.de/10011724717

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate

Han, Young Wook - In: East Asian Economic Review (EAER) 20 (2016) 3, pp. 365-390

This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system. Even though the foreign exchange markets in the 1920s seem to be much less organized and developed...

Persistent link: https://www.econbiz.de/10015397812

Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates

Afzal, Alia; Sibbertsen, Philipp - In: Open Economies Review 34 (2022) 4, pp. 789-811

This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies in the periodogram suggests the existence of fractional integration. We...

Persistent link: https://www.econbiz.de/10015271520

The PPP hypothesis revisited: Evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - 2013

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for … with the relative version of PPP. …

Persistent link: https://www.econbiz.de/10010293968

Uncover Latent PPP by Dynamic Factor Error Correction Model (DF-ECM) Approach: Evidence from five OECD countries

Qin, Duo - 2007

(PPP) is embedded in latent disequilibrium factors, being extracted from a large set of bilateral price disparities; the … five OECD countries using monthly data show promising results, which reverse the common belief that PPP is at best a very …

Persistent link: https://www.econbiz.de/10010295237

Financial Market Integration and World Economic Stabilization toward Purchasing Power Parity

Okimoto, Tatsuyoshi; Shimotsu, Katsumi - 2007

Purchasing power parity (PPP) is one of the most important, but empirically controversial theories in international … macroeconomics. Although many researchers believe that some variant of PPP holds in the long run, there are diverse empirical results … regarding the PPP hypothesis. We examine the PPP hypothesis from an alternate point of view: We investigate the possibility of …

Persistent link: https://www.econbiz.de/10011940752

PPP in the Medium Run Despite Oil Shocks: The Case of Norway

Akram, Q. Farooq - 2002

Existing studies generally reject purchasing power parity (PPP) on datasets from countries that have been affected by … large real shocks, including Norway. However, we offer strong evidence of PPP between Norway and its trading partners during … appears remarkably consistent with the PPP theory. Moreover, convergence towards PPP is relatively fast; the half-life of a …

Persistent link: https://www.econbiz.de/10012143592

How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach

Beckmann, Joscha; Belke, Ansgar; Kühl, Michael - 2009

This paper examines the significance of different fundamental regimes by applying various monetary models of the exchange rate to one of the politically most important exchange rates, the exchange rate of the US dollar vis-à-vis the euro (the DM). We use monthly data from 1975:01 to 2007:12....

Persistent link: https://www.econbiz.de/10010265822