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The influence of the real effective exchange rate and relative prices on South Africa’s import demand function : an ARDL approach
Matlasedi, Tony Nchokoe - In: Cogent economics & finance 5 (2017) 1, pp. 1-16
. Real GDP and Foreign reserves were also added to the models as control variables. The Bounds test proved cointegration and …
Persistent link: https://www.econbiz.de/10011887547
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Market efficiency of euro exchange rates and trading strategies
Bošnjak, Mile; Novak, Ivan; Vlajčić, Davor - In: Naše gospodarstvo : NG 67 (2021) 2, pp. 10-19
This paper tests the hypothesis on market efficiency for returns on the euro against fifteen currencies while assuming predictability of returns, dependent on the sign and magnitude of endogenous shocks. Considering the properties of exchange rate returns, the quantile autoregression approach...
Persistent link: https://www.econbiz.de/10012619841
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Exchange rate pass-through to inflation in Nigeria
Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70
prices in Nigeria for the period 1995Q1 - 2015Q1. Utilizing the Johansen approach to cointegration and a vector error …
Persistent link: https://www.econbiz.de/10011460225
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The ASEAN experience of the purchasing power parity theory
Murad, S. M. Woahid; Hossain, Mohammad Amzad - In: Financial innovation : FIN 4 (2018) 23, pp. 1-10
Appl Econ 22:265-312, 2007). For panel cointegration analysis, we employed the four error-correction-based Westerlund (Oxf … Bull Econ Stat 69:709-748, 2007) panel cointegration tests. The Westerlund (Oxf Bull Econ Stat 69:709-748, 2007) tests are … estimated the cointegration test excluding Indonesia and Brunei. The findings support our initial results. Further, all the …
Persistent link: https://www.econbiz.de/10011921966
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
co-integration tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run co-integration …
Persistent link: https://www.econbiz.de/10009770376
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Testing j-curve effect on trade balance in Turkish economy
Kansel, Zubeyir Can; Bari, Bilgin - In: Financial studies 24 (2020) 1, pp. 53-69
This study researches the effects of changes in the exchange rate on the trade balance after the transition to the floating exchange rate in the Turkish economy. For this purpose, ARDL and ECM models have been developed by using quarterly data from 2003 through 2018. The starting point of the...
Persistent link: https://www.econbiz.de/10012210658
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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The profitability of technical analysis : evidence from the piercing line and dark cloud cover patterns in the forex market
Alanazi, Ahmed S.; Alanazi, Ammar S. - In: Cogent economics & finance 8 (2020) 1, pp. 1-21
We examine 112,792 daily candles using more than one million spot quotes among 24 currency pairs between 2000 and 2018. We find that chart patterns are profitable. Relying on these visually based patterns achieves returns of more than 600% after accounting for the transaction costs....
Persistent link: https://www.econbiz.de/10012440320
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Timing foreign exchange markets
Malone, Samuel W.; Gramacy, Robert B.; Horst, Enrique ter - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23
To improve short-horizon exchange rate forecasts, we employ foreign exchange market risk factors as fundamentals, and Bayesian treed Gaussian process (BTGP) models to handle non-linear, time-varying relationships between these fundamentals and exchange rates. Forecasts from the BTGP model...
Persistent link: https://www.econbiz.de/10011505885
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Is there a relationship between fiscal sustainability and currency crises? : international evidence based on causality tests
Cruz-Rodriguez, Alexis - In: International journal of economic sciences and applied … 7 (2014) 1, pp. 69-87
This paper uses Granger causality tests on a fiscal sustainability indicator (FSI) and currency crises for 17 countries to evaluate the direction of causality between the FSI and currency crises. The FSI developed by Croce and Juan-Ramón (2003) is used. Also, different definitions for currency...
Persistent link: https://www.econbiz.de/10010459806