Showing 1 - 10 of 122,522
This study examines whether the long-run purchasing power parity (PPP) holds in transition economies (Bulgaria, the Czech Republic, Hungary, Latvia, Lithuania, Poland, Romania and Russia) using monthly data over the 1995 - 2011 period. We apply a recently introduced panel stationary test, which...
Persistent link: https://www.econbiz.de/10011308453
estimation of nonlinear threshold models is developed. Unlike standard grid-based estimation, the Bayesian approach fully …
Persistent link: https://www.econbiz.de/10013083326
The study examines whether the long-run validity of PPP holds in some major advanced and developing economies. The study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology, and we are not aware of any study that has applied TVC...
Persistent link: https://www.econbiz.de/10014500904
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 eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...
Persistent link: https://www.econbiz.de/10011523710
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011342578
The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008)...
Persistent link: https://www.econbiz.de/10011865666
This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected...
Persistent link: https://www.econbiz.de/10011785059
This study explores the stationarity of monthly Turkish real exchange rates based on both wholesale price indices and consumer price indices for the period 1990:1-2007:4. While the results from the conventional unit root tests fail to support stationarity of real exchange rates, the unit root...
Persistent link: https://www.econbiz.de/10014208118
Persistent link: https://www.econbiz.de/10010190000
The paper examines the unconditional sigma and time-series convergence of real GDP per capita (measured in national currencies and euros) for CEE8 countries during the 1995 : Q1 - 2011 : Q1 period by applying the unit root framework using the DF-GLS test and the Lee and Strazicich (2003; 2004) test,...
Persistent link: https://www.econbiz.de/10011638347