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A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information
Macchiarelli, Corrado - 2011
This study revisits the relation between the uncovered interest parity (UIP), the ex ante purchasing power parity …-based tests for the three parities conditions at a long horizon. Particularly, test results are derived by rewriting the UIP, the … among the above three parities, we find a ”forward premium” bias in both the UIP - as it is normally found in empirical …
Persistent link: https://www.econbiz.de/10011605449
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Bond market co-movements, expected inflation and the equilibrium real exchange rate
Macchiarelli, Corrado - 2011
Since the end of the fixed rates in 1973 and after the EMS sterling dismissal in 1992, the value of the pound has undergone large cyclical fluctuations on average. Of particular interest to policy makers is the understanding of whether such movements are consistent with the lack or not of a...
Persistent link: https://www.econbiz.de/10011605450
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Do PPP and UIP Need Each Other in a Financially Open Economy? The Turkish Evidence
Gökcan, I. Aysun; Özmen, Erdal - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2001
vector contains uncovered interest parity (UIP) and the second vector contains purchasing power parity (PPP) with …
Persistent link: https://www.econbiz.de/10005812871
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Fundamentals and Exchange Rates: Evidence from ASEAN-5
Rashid, Abdul; Ling, Jeffrey - Volkswirtschaftliche Fakultät, … - 2009
Utilizing the combined-form of PPP and UIP we estimate the cointegrating relations for ASEAN-5 economies. The study … are cointegrated, implying that there is co-movement among them in the long run. We also find that the hypothesis – PPP … capital enhanced equilibrium exchange rates (CHEERs) approach, which states that the deviations from PPP can be explained by …
Persistent link: https://www.econbiz.de/10008560982
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Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period
Bevilacqua, Franco - United Nations University-Maastricht Economic Research … - 2006
Juselius (1995), MacDonald (2000), Juselius and MacDonald (2000) provided an explanation to some basic issues in international monetary economics concerning the validity of parity conditions. This paper instead restricts the analysis to the years between 1957 and 1969 and the countries under...
Persistent link: https://www.econbiz.de/10010712001
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Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period
Bevilacqua, Franco - United Nations University-Maastricht Economic Research … - 2006
modelling of international parity conditions, namely ppp and uip, produces stationary relations showing an important interaction … cointegration relation found between ppp and uip still holds notwithstanding of how ppp is measured. …
Persistent link: https://www.econbiz.de/10010712296
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International parity relations between Poland and Germany: a cointegrated VAR approach
Stazka, Agnieszka - Volkswirtschaftliche Fakultät, … - 2008
the real exchange rate from the PPP and the strong exogeneity of the German interest rate. …
Persistent link: https://www.econbiz.de/10008599102
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Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period
Bevilacqua, Franco - United Nations University, Maastricht Economic and … - 2006
Juselius (1995), MacDonald (2000), Juselius and MacDonald (2000) provided an explanation to some basic issues in international monetary economics concerning the validity of parity conditions. This paper instead restricts the analysis to the years between 1957 and 1969 and the countries under...
Persistent link: https://www.econbiz.de/10005451564
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Random walks and cointegration relationships in international parity conditions between Germany and USA for the post Bretton-Woods period
Bevilacqua, Franco - United Nations University, Maastricht Economic and … - 2006
modelling of international parity conditions, namely ppp and uip, produces stationary relations showing an important interaction … cointegration relation found between ppp and uip still holds notwithstanding of how ppp is measured. …
Persistent link: https://www.econbiz.de/10005150862
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The process of convergence towards the euro for the Visegrad-4 countries
Passamani, Giuliana - Dipartimento di Economia e Management, Università … - 2008
The aim of the paper is to analyze the foreign transmission mechanism between each of the Visegrad-4 countries and the eurozone, through an empirical analysis of the basic international parity conditions linking Czech, Hungarian, Polish and Slovakian inflations and interest rates with the ones...
Persistent link: https://www.econbiz.de/10005628796