Similar Search Results

The PPP hypothesis revisited: Evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Lovcha, … - 2013

This paper examines the PPP hypothesis analysing the behaviour of the real exchange rates vis-à-vis the US dollar for … with the relative version of PPP. …

Persistent link: https://www.econbiz.de/10010293968

European Real Exchange Rates after Bretton Woods: A Re-examination

Rey, Serge; Varachaud, Pascal - In: Journal of Economic Integration 17 (2002), pp. 185-221

This paper examines the hypothesis of Purchasing Power Parity (PPP), i.e. the proposition that the equilibrium real … show that globally there is little evidence to support PPP, i. e. the stationarity hypothesis of real exchange rates is … with ULC. Furthermore, general PPP with consumer prices is verified in only one case, namely between France and Germany …

Persistent link: https://www.econbiz.de/10010840685

The PPP hypothesis revisited : evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - 2013

Persistent link: https://www.econbiz.de/10009731975

The PPP hypothesis revisited : evidence using a multivariate long-memory model

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Lovcha, … - In: The empirical economics letters : a monthly … 17 (2018) 5, pp. 563-567

Persistent link: https://www.econbiz.de/10011913379

Exploring long memory and nonlinearity in Irish real exchange rates using tests based on semiparametric estimation

Bond, Derek; Harrison, Michael J.; O'Brien, Edward J. - 2009

Deciding whether a time series that appears nonstationary is in fact fractionally integrated or subject to structural change is a diffcult task. However, various tests have recently been introduced for distinguishing long memory from level shifts and nonlinearity. In this paper, three testing...

Persistent link: https://www.econbiz.de/10010292859

Long memory and fractional integration in high frequency data on the US Dollar / British Pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013

This paper analyses the long-memory properties of a high-frequency financial time series dataset. It focuses on temporal aggregation and other features of the data, and how they might affect the degree of dependence of the series. Fractional integration or I(d) models are estimated with a...

Persistent link: https://www.econbiz.de/10010293969

Long Memory and Fractional Integration in High Frequency Data on the US Dollar

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2013

Persistent link: https://www.econbiz.de/10010293980

Long Memory and Structural Changes in the Forward Discount: An Empirical Investigation

Choi, Kyongwook; Zivot, Eric - 2003

Many empirical studies find a negative correlation between the returns on the nominal spot exchange rate and the lagged forward discount. This forward discount anomaly implies that the current forward rate is a biased predictor of the future spot rate. A large number of studies in the existing...

Persistent link: https://www.econbiz.de/10011496033

Long memory or structural breaks: Can either explain nonstationary real exchange rates under the current float?

Baum, Christopher F.; Barkoulas, John T.; Caglayan, Mustafa - Department of Economics, Boston College - 1998

This paper considers two potential rationales for the apparent absence of mean reversion in real exchange rates in the post-Bretton Woods era. We allow for (i) fractional integration and (ii) a double mean shift in the real exchange rate process. These methods, applied to CPI-based rates for 17...

Persistent link: https://www.econbiz.de/10004968820

On the macroeconomic causes of exchange rates volatility

Morana, Claudio - International Centre for Economic Research (ICER) - 2007

What are the causes of exchange rate volatility? When second moments implications of theories of exchange rates determination are considered, long-term fundamental linkages between macroeconomic and exchange rate volatility can be envisaged. Moreover, as the exchange rate is an important...

Persistent link: https://www.econbiz.de/10004972533