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predicted theoretical correlations. Using Johansen and Juselius (1990) multivariate cointegration tests the study finds that a …
Persistent link: https://www.econbiz.de/10005599752
Upon entry into the European Union, countries become members of the Economic and Monetary Union (EMU), with a derogation from adopting the euro as their currency (that is, each country joining the EU commits to replace its national currency with the euro, but can choose when to request...
Persistent link: https://www.econbiz.de/10005767345
We apply the fundamentals equilibrium exchange rate (FEER) approach and the Johansen cointegration methodology to …
Persistent link: https://www.econbiz.de/10005264103
We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...
Persistent link: https://www.econbiz.de/10005604790
This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...
Persistent link: https://www.econbiz.de/10005769039
Consensus estimates put the half-life of deviations from purchasing power parity (PPP) at about four years (Rogoff, 1996). However, conventional least squares estimates of half-lives are biased downward. Accordingly, as a preferred measure of the persistence of real exchange rate shocks, this...
Persistent link: https://www.econbiz.de/10005604970
applies multivariate vector autoregression and cointegration modeling techniques to test for the short-and long-run influence … resulting error correction exchange rate equation to out-of-sample forecasting exercises. …
Persistent link: https://www.econbiz.de/10005826213
Coordinating macroeconomic policies is a pre-requisite to a successful launch of the common currency in the GCC countries. Relying on the Behavioral Equilibrium Exchange Rate approach as a theoretical framework, we apply the Pooled Mean Group methodology to determine the similarity of the impact...
Persistent link: https://www.econbiz.de/10005604912
Employing cointegration techniques, the long-run determinants of Madagascar's real exchange rate are examined from a …
Persistent link: https://www.econbiz.de/10005825649
, we employ both single-country (Johansen and ARDL) and panel-data (FMOLS and PMG) cointegration techniques. We find that … underscores the need for robustness analyses in exchange rate modeling; and (iii) results from panel-data cointegration may …
Persistent link: https://www.econbiz.de/10005826283