Similar Search Results

Ca' Zorzi, Michele; Rubaszek, Michał - 2018

This paper shows that there are two regularities in foreign exchange markets in advanced countries with flexible regimes. First, real exchange rates are mean-reverting, as implied by the Purchasing Power Parity model. Second, the adjustment takes place via nominal exchange rates. These features...

Persistent link: https://www.econbiz.de/10011916855

Exchange rate risk, distribution asymmetry and deviations from purchasing power parity

Arghyrou, Michael Georgiou; Lu, Wenna; Pourpourides, … - 2020

Firstly, we show that domestic prices of net importer countries incorporate a risk premium, driven by higher moments of future nominal exchange rate returns and secondly, using US dollar exchange rates against three currencies of major net exporting countries to the US such as Canada, Japan and...

Persistent link: https://www.econbiz.de/10012876000

Argentinean real exchange rate 1900 - 2006: Testing purchasing power parity theory

dal Bianco, Marcos José - In: Estudios de Economía 35 (2008) 1, pp. 33-64

This paper tests the Purchasing Power Parity Theory of Exchange Rates dealing with Argentinean data for the period 1900-2006. This is equivalent to testing if the Real Exchange Rate is a stationary variable or if its components (the nominal exchange rate and the relative prices) are...

Persistent link: https://www.econbiz.de/10010289485

Time-varying Cointegration Models and Exchange Rate Predictability in Korea

Park, Soo Kyung; Park, Choel Beom - In: KDI Journal of Economic Policy 37 (2015) 4, pp. 1-20

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for both models based on time-varying...

Persistent link: https://www.econbiz.de/10012034789

The ASEAN experience of the purchasing power parity theory

Murad, S. M. Woahid; Hossain, Mohammad Amzad - In: Financial Innovation 4 (2018) 1, pp. 1-10

We used panel data analysis to evaluate the relative purchasing power parity (PPP) hypothesis of the ten ASEAN member countries between 1973 and 2015. We incorporated the cross-sectionally augmented panel unit root test as proposed by Pesaran (J Appl Econ 22:265-312, 2007). For panel...

Persistent link: https://www.econbiz.de/10012602789

Real exchange rate forecasting: a calibrated half-life PPP model can beat the random walk

Ca' Zorzi, Michele; Muck, Jakub; Rubaszek, Michał - 2013

This paper brings three new insights into the Purchasing Power Parity (PPP) debate. First, we show that a half-life PPP model is able to forecast real exchange rates (RER) better than the random walk (RW) model at both short and long-term horizons. Secondly, we find that this result holds only...

Persistent link: https://www.econbiz.de/10011605621

Purchasing Power Parity Influence on Real Exchange Rate Behavior in Romania

Ghiba, Nicolae - In: CES Working Papers 3 (2011) 4, pp. 524-536

-Fuller and Phillips-Perron stationarity tests in order to check real exchange deviations from PPP. Also, we investigate the … euro area. The main conclusions of this research highlight that PPP doesn’t holds; real exchange rate stationarity tests … doest not confirm the stationarity, thus between the aforementioned three variables it doesn’t exists any equilibrium …

Persistent link: https://www.econbiz.de/10012016973

Economic integration and the foreign exchange

Weber, Enzo - 2007

This paper demonstrates effects of economic convergence processes on the foreign exchange behaviour in a monetary modelling approach. Since the exchange rate represents the relative price of two currencies, commonness of stochastic trends between the fundamental determinants of supply and demand...

Persistent link: https://www.econbiz.de/10010263691

Does the nominal exchange rate regime affect the long Run properties of real exchange rates?

Dreger, Christian; Girardin, Eric - 2007

This paper examines whether the behaviour of the real exchange rate is associated with a particular regime for the nominal exchange rate, like fixed and flexible exchange rate arrangements. The analysis is based on 16 annual real exchange rates and covers a long time span, 1870-2006. Four...

Persistent link: https://www.econbiz.de/10010264984

The predictive power of equilibrium exchange rate models

Ca' Zorzi, Michele; Cap, Adam; Mijakovic, Andrej; … - 2020

In this paper we evaluate the predictive power of the three most popular equilibrium exchange rate concepts: Purchasing Power Parity (PPP), Behavioral Equilibrium Exchange Rate (BEER) and the Macroeconomic Balance (MB) approach. We show that there is a clear trade-off between storytelling and...

Persistent link: https://www.econbiz.de/10012389561