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Purchasing Power Parity in High Inflation Countries : A Cointegration Analysis of Integrated Variables with Trend Breaks
Zhou, Su - 1998
test PPP using Johansen's (1988) multivariate cointegration technique. The cointegration tests are conducted with the …
Persistent link: https://www.econbiz.de/10014071881
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Testing for complete pass-through of exchange rate without trade barriers
Zhang, Tengfei; Li, Tianxiang; Baležentis, Tomas; … - In: Journal of business economics and management 21 (2020) 2, pp. 543-563
The objective of this paper is to test whether the complete pass-through of exchange rate exists when there are almost no transaction costs and in the environment of competitive market. In general, the literature claims that the pass-through of exchange rate is incomplete due to imperfect...
Persistent link: https://www.econbiz.de/10012197615
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A Jackknife Model Averaging Analysis of RMB Misalignment Estimates
Cheung, Yin-Wong - 2019
We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB …) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows … misalignment estimates are found to be systematically affected by the choices of data, the theoretical setup and the empirical …
Persistent link: https://www.econbiz.de/10012861432
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A Jackknife Model Averaging analysis of RMB misalignment estimates
Cheung, Yin-Wong; Wang, Wenhao - 2019
We adopt the Jackknife Model Averaging (JMA) technique to conduct a meta-regression analysis of 925 renminbi (RMB …) misalignment estimates generated by 69 studies. The JMA method accounts for model selection and sampling uncertainties, and allows … misalignment estimates are found to be systematically affected by the choices of data, the theoretical setup and the empirical …
Persistent link: https://www.econbiz.de/10012103616
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Challenging the Empirical Evidence from Present Value Models of the Current Account
Mercereau, Benoît - 2006
Under near-singularity conditions typically generated by persistence in current account data the predictions of present value models become extremely sensitive to small sample estimation error. Moreover, traditional Wald tests will distort the likelihood that the model is true. Using OECD data...
Persistent link: https://www.econbiz.de/10012783079
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Symmetry and separability in two-country cointegrated VAR models : representation and testing
Krolzig, Hans-Martin; Heinlein, Reinhold - 2013
five different country pairs in the post-Bretton-Woods era. We find evidence for the symmetry of the cointegration space …, which is of practical importance as it allows for the identification of the cointegration vectors in much smaller systems …
Persistent link: https://www.econbiz.de/10010228330
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The Impact of Foreign Reserves on the Real Growth Function of Jamaica (1992-2011) Using Vector Auto Regressive Model, Granger Causality Test and Co-Integration Analysis
Bamikole, Oluwafemi Olanrewaju - 2015
The paper examines the short-run and the long-run impacts of net international reserves on the real gross domestic product of Jamaica from 1990 to 2011. The variables used in this study are the logarithms of exchange rate, imports, foreign reserves, government capital expenditure, real gross...
Persistent link: https://www.econbiz.de/10013038109
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A study of the causal relationship between real exchange rate of Renminbi and Hong Kong stock market index
Lee, Wai-choi - In: Modern economy 3 (2012) 5, pp. 563-566
Persistent link: https://www.econbiz.de/10009720541
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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/10010207061
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Chapter 6 Forecasting with VARMA Models
Lütkepohl, Helmut - 2006
Vector autoregressive moving-average (VARMA) processes are suitable models for producing linear forecasts of sets of time series variables. They provide parsimonious representations of linear data generation processes. The setup for these processes in the presence of stationary and cointegrated...
Persistent link: https://www.econbiz.de/10014023700