The primary focus of this study will be an analysis of the causal links, and an assessment of the causal positioning of the significant variables involved in the interactions, between prices and exchange rates. Do exchange rate movements lead to associated price changes or do price changes lead...

In this chapter, the necessary condition and the necessary and sufficient condition for purchasing power parity (PPP) are sequentially tested for fourteen bilateral exchange rates. This test is undertaken in the framework of subset vector error correction modelling (VECM) with zero coefficients....

We investigate and construct forecasting models for the exchange rate of the Indonesian rupiah against the US dollar. Monthly data for three variables; exchange rate, interest rate and foreign reserves were employed in the Economic Forecasting Program (EFP) to obtain the forecasting results. The...

In this chapter, we analysing and forecasting the New Taiwanese Dollar against the US dollar. Forecasting models were tested using the three variables; exchange rate, money supply and Balance Remittance. Both VAR and VARMA models accurately predicted turning points and no false fluctuations were...

In this chapter, economic forecasting techniques were used to forecast the exchange rate of the New Taiwan (N.T.) dollar, given that there is a tolerable amount of favourable trade balance between Taiwan and the US. To test this monthly data for the economic variables; Taiwanese exchange rate...

In this chapter, the hypotheses of purchasing power parity (PPP) and market efficiency are tested for the bilateral exchange rate between the New Taiwan (N.T.) and the US dollar. Different test results lead to the conclusion that, a PPP relationship over the long term cannot be rejected...

In this paper the techniques of zero-non-zero (ZNZ) patterned vector autoregressive modelling are utilized to examine two issues associated with the European single currency – the euro. First, “Granger causality” is employed to examine the causal linkages between the euro exchange rate,...

Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Specifically, in tests of indirect causality...