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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies 6 (2018) 2, pp. 1-21
period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks …-Panchenko test, while the causality in variance is checked with the Hafner-Herwartz test. …
Persistent link: https://www.econbiz.de/10012009834
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Stock prices, exchange rates and causality in Malaysia: a note
Azman-Saini, W.N.W.; Habibullah, M.S.; Law, Siong Hook; … - Volkswirtschaftliche Fakultät, … - 2006
using a new Granger non-causality test proposed by Toda and Yamamoto (Journal of Econometrics, 66, 225-50, 1995). Among the …
Persistent link: https://www.econbiz.de/10005619402
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Exchange rate and oil price interactions in selected CEE countries
Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21
period between 2000 and 2015 is analyzed. The methodology is based on the Granger causality test, and the non-linear Diks …–Panchenko test, while the causality in variance is checked with the Hafner–Herwartz test. …
Persistent link: https://www.econbiz.de/10011854772
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Exchange Rates and Fundamentals: Co-Movement, Long-Run Relationships and Short-run Dynamics
Bekiros, Stelios - Department of Economics, European University Institute - 2011
/VECM-GARCH multivariate filtering approach is implemented, whilst linear and nonlinear non-causality is tested on the time series. In addition … to pairwise causality testing, several different groupings of variables are explored. The methodology is extensively …
Persistent link: https://www.econbiz.de/10009024974
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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and economic growth in South Africa. By using data collected from 1970 to 2016 applied to a smooth transition regression (STR) model, we are able to prove that the exchange...
Persistent link: https://www.econbiz.de/10012157206
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Nonlinear relationship between exchange rate volatility and economic growth
Phiri, Andrew - 2018
In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and economic growth in South Africa. By using data collected from 1970 to 2016 applied to a smooth transition regression (STR) model, we are able to prove that the exchange...
Persistent link: https://www.econbiz.de/10011870188
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A time-varying parameter vector autoregression model for forecasting emerging market exchange rates
Kumar, Manish - In: International Journal of Economic Sciences and Applied … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10010289449
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A Time-Varying Parameter Vector Autoregression Model for Forecasting Emerging Market Exchange Rates
Kumar, Manish - In: International Journal of Business and Economic Sciences … 3 (2010) 2, pp. 21-39
In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a...
Persistent link: https://www.econbiz.de/10008800065
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A nonlinear alternative to the unit root hypothesis
Eklund, Bruno - 2003
This paper considers testing the unit root hypothesis against a smooth transition autoregressive model as the alternative. The model specification makes it possible to discriminate between nonstationary random walk and stationary nonlinear processes. Some new limit results are presented,...
Persistent link: https://www.econbiz.de/10010281382
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Nonlinear pass-through of exchange rate shocks on inflation: A Bayesian smooth transition VAR approach
Rincón, Hernán; Rodríguez, Norberto - 2016
endogeneity, nonlinearity and asymmetry. The econometric model is a smooth transition autoregressive vector estimated by Bayesian …
Persistent link: https://www.econbiz.de/10011621563