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Nonlinear exchange rate pass-through in Mexico
Jaramillo Rodríguez, Jorge; Pech Moreno, Luis Alberto; … - 2019
This paper aims to investigate if the exchange rate pass-through (ERPT) to consumer prices follows a nonlinear behavior in Mexico. To look for nonlinearities, we employ a Threshold VAR approach (TVAR). The threshold allows us to differentiate regimes of "high" or "low" depreciation and the...
Persistent link: https://www.econbiz.de/10012167284
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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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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - Center for European, Governance and Economic … - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010980784
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Cointegration in the foreign exchange market and market efficiency since the introduction of the Euro: Evidence based on bivariate cointegration analyses
Kühl, Michael - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10010300150
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Cointegration in the Foreign Exchange Market and Market Efficiency since the Introduction of the Euro: Evidence based on bivariate Cointegration Analyses
Kühl, Michael - Center for Globalization and Europeanization of the … - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be …
Persistent link: https://www.econbiz.de/10005635356
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Cointegration in the foreign exchange market and market efficiency since the introduction of the euro : evidence based on bivariate cointegration analyses
Kühl, Michael (contributor) - 2007
the Euro by applying the cointegration analysis to exchange rates. The introduction of the Euro has changed the structure … the introduction of a new currency has resulted in inefficient markets, a bivariate cointegration analysis should be … adjustment to the long-run equilibrium. -- foreign exchange market ; market efficiency ; cointegration …
Persistent link: https://www.econbiz.de/10003582754
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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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Cross-Market Spillovers with 'Volatility Surprise'
Aboura, Sofiane; Chevallier, Julien - Université Paris-Dauphine (Paris IX) - 2014
This article adopts the asymmetric DCC with one exogenous variable (ADCCX) model developed by Vargas (2008), by updating the concept of ‘volatility surprise’ to capture cross-market relationships. Current methods for measuring spillovers do not focus on volatility interactions, and neglect...
Persistent link: https://www.econbiz.de/10011205314
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The long-run exchange rate for NOK: a BEER approach
Alstad, Geir E. - Norges Bank - 2010
cointegration that is robust to mixed orders of integration in the data. The estimated long-run relation can be considered a …
Persistent link: https://www.econbiz.de/10008671510
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Information Spillover, Volatility and the Currency Markets for the Binary Choice Model
Omrane, Walid Ben; Hafner, Christian M. - In: International Econometric Review (IER) 1 (2009) 1, pp. 50-62
We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...
Persistent link: https://www.econbiz.de/10009195486