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PPP in OECD countries : an analysis of real exchange rate stationarity, cross-sectional dependency and structural breaks

Holmes, Mark J.; Otero, Jesús G.; Panagiōtidēs, … - 2011

The stationarity of OECD real exchange rates over the period 1972-2008 is tested using a panel of twenty six member countries. The methodology followed stems from the need to meet several key concerns: (i) the identification of which panel members are stationary; (ii) the presence of...

Persistent link: https://www.econbiz.de/10009388979

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

Dal Bianco, Marcos - 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/10003746940

Purchasing power parity in transition countries : panel stationary test with smooth and sharp breaks

Bahmani-Oskooee, Mohsen; Chang, Tsangyao; Wu, Tsung-pao - In: International Journal of Financial Studies : open … 3 (2015) 2, pp. 153-161

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

Why frequency matters for unit root testing

Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.

volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …

Persistent link: https://www.econbiz.de/10011342578

Optimal Debt and Equilibrium Exchange Rates in a Stochastic Environment : An Overview

Stein, Jerome L. - 2021

The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are applied empirically to answer the following questions:...

Persistent link: https://www.econbiz.de/10013318821

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...

Persistent link: https://www.econbiz.de/10001656178

International Portfolio Choice Under Multi-Factor Stochastic Volatility

Escobar, Marcos - 2016

We develop a model of international portfolio choice in complete and incomplete markets with stochastic covariance between financial asset returns and exchange rates. The optimal investment strategies are derived in closed form. We estimate the model parameters and illustrate the optimal...

Persistent link: https://www.econbiz.de/10013002378

Switching to Non-Affine Stochastic Volatility : A Closed-Form Expansion for the Inverse Gamma Model

Langrené, Nicolas - 2016

This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by … the volatility dynamics dVt = κt.(θt − Vt).dt λt.Vt.dBt. This non-affine model is much more realistic than classical … affine models like the Heston stochastic volatility model, even though both are as parsimonious (only four stochastic …

Persistent link: https://www.econbiz.de/10013004351

An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia

Mouabbi, Sarah - 2015

Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …

Persistent link: https://www.econbiz.de/10013031582

Monte-Carlo Calibration of Hybrid Local Volatility Models

Gurrieri, Sebastien - 2012

We propose a Monte-Carlo calibration method for multi-currency Hybrid Local Volatility models a la Dupire. The …

Persistent link: https://www.econbiz.de/10013103617