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Nonlinearities and asymmetric adjustment to PPP in an exchange rate model with inflation expectations

Anderl, Christina; Caporale, Guglielmo Maria - 2021

This paper estimates a model of the real exchange rate including standard fundamentals as well as two alternative measures of inflation expectations for five inflation targeting countries (UK, Canada, Australia, New Zealand, Sweden) over the period January 1993-July 2019. Both a benchmark linear...

Persistent link: https://www.econbiz.de/10012438461

Exchange Rate Models, Long Run Equilibrium, Dynamics and Hysteresis

Bouveret, Antoine; Sterdyniak, Henri - 2007

Forecasting exchange rates remains a tricky issue for economists. In spite of a theoretical consistent framework, macroeconomic models fail to beat random walk models and market expectations doesn't have any predictive power. This article addresses some problems of exchange rate macroeconomic...

Persistent link: https://www.econbiz.de/10014062157

Exchange Rate Dynamics in Indonesia : 1980-1998

Saxena, Sweta Chaman - 2004

This paper estimates the equilibirum level of the real exchange rate for Indonesia in order to measure the extent of overvaluation of the rupiah at the time of the Asian crisis in 1997. The equilibrium level of the real exchange rate is measured using cointegration approach, unobserved component...

Persistent link: https://www.econbiz.de/10014073319

Forecasting Commodity Prices with Mixed-Frequency Data : An OLS-Based Generalized ADL Approach

Chen, Yu-chin - 2011

This paper presents a generalized autoregressive distributed lag (GADL) model for conducting regression estimations that involve mixed-frequency data. As an example, we show that daily asset market information - currency and equity market movements - can produce forecasts of quarterly commodity...

Persistent link: https://www.econbiz.de/10013128703

Exchange Rates and Monetary Fundamentals : What Do We Learn from Long-Horizon Regressions?

Kilian, Lutz - 1998

apparent lack of higher power at long horizons suggests that previous findings of increasing long-horizon predictability are … studies, the test provides only weak evidence of exchange rate predictability and no evidence of increasing long …-horizon predictability. Many of the differences in results can be traced to the implementation of the test …

Persistent link: https://www.econbiz.de/10014072162

Cointegrating Tests of Purchasing Power Parity Using Znz Patterned Vecm

Penm, Jack H. W. - 2001

This paper consists of two parts. In the first part the sensitivity of PPP testing to the nature of the unit root tests is demonstrated. Three unit root tests are employed for fourteen real bilateral exchange rates. The first two, the augmented Dickey-Fuller test and the Phillips-Perron test are...

Persistent link: https://www.econbiz.de/10014123436

The long-run validity of PPP in some major advanced and emerging countries using alternative models

Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26

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

Likelihood-based cointegration analysis in panels of vector error correction models

Groen, Jan J. J.; Kleibergen, Frank - 1999 - This version: July 28, 1999

We propose in this paper a likelihood-based framework forcointegration analysis in panels of a fixed number of vector errorcorrection models. Maximum likelihood estimators of thecointegrating vectors are constructed using iterated GeneralizedMethod of Moments estimators. Using these estimators...

Persistent link: https://www.econbiz.de/10011302148

Nonlinear adjustments between exchange rates and external eeserves in Nigeria : a threshold cointegration analysis

Ajibola, Isaiah O.; Udoette, Ubong S.; Omotosho, … - In: CBN journal of applied statistics 6 (2015) 1, pp. 111-132

This study investigates the long run relationship between exchange rate andexternal reserves in Nigeria during 1990Q1 - 2012Q4. We confirm theexistence of threshold cointegration between the variables in Nigeria, asagainst linear cointegration. Consequently, a two-regime threshold vector error...

Persistent link: https://www.econbiz.de/10011473713

Volatility linkages between agricultural commodity prices, oil prices and real USD exchange rate : the case of Colombia

Guellil, Mohammed Seghir; Belmokaddem, Mostéfa; … - In: Revista de métodos cuantitativos para la economía y … 26 (2018), pp. 71-83

This study examines the dynamic nexus betwixt oil prices, twenty-two world agricultural commodity prices and given the evolution of the relative strength of the US dollar in a panel setting. We use panel cointegration and Panel Granger causality methods for a panel of twenty-two agricultural...

Persistent link: https://www.econbiz.de/10012023904