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Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors
Hina, Hafsa; Qayyum, Abdul - Volkswirtschaftliche Fakultät, … - 2013
This study employs the Mundell and Fleming (1963) traditional flow model of exchange rate to examine the long run behavior of rupee/US $ for Pakistan economy over the period 1982:Q1 to 2010:Q2.This study investigates the effect of output levels, interest rates and prices and different shocks on...
Persistent link: https://www.econbiz.de/10011112991
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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Testing the monetary model for exchange rate determination in South Africa : evidence from 101 years of data
De Bruyn, Riané; Gupta, Rangan; Stander, Lardo - In: Contemporary economics 7 (2013) 1, pp. 19-32
co-integration tests and the studies on South Africa primarily using short-span data from the post-Bretton Woods era, we … Dollar using annual data from 1910 – 2010. The results provide some support for the monetary model in that long-run co-integration … walk model suggests that the forecasting performance of the monetary model is superior. …
Persistent link: https://www.econbiz.de/10009770376
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different type of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011499608
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Automatic identification of general vector error correction models
Arbués, Ignacio; Ledo, Ramiro; Matilla-García, Mariano - 2016
There are a number of econometrics tools to deal with the different types of situations in which cointegration can …
Persistent link: https://www.econbiz.de/10011554319
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Chapter 11 Forecasting with Trending Data
Elliott, Graham - 2006
imposing cointegration can be more or less useful for different horizons. The problem of forecasting variables with trending …. However expected losses depend on true parameter values. We then review univariate and multivariate forecasting in a framework … of nuisance parameters in the models is clearest. For multivariate models we examine forecasting from cointegrating …
Persistent link: https://www.econbiz.de/10014023695
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Exploring the nexus between oil prices and sectoral stock prices : nonlinear evidence from Kuwait stock exchange
Kisswani, Khalid M.; Elian, Mohammad I. - In: Cogent economics & finance 5 (2017) 1, pp. 1-17
This paper investigates the relationship between oil prices (Brent and West Texas Intermediate (WTI)) and Kuwait Stock Exchange (KSE) prices at the sector level. In a nonlinear autoregressive distributed lag (NARDL) model, ten major sectors in Kuwait are studied using daily data from 3 January...
Persistent link: https://www.econbiz.de/10011598070
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The Impact of Real Exchange Rate Volatility on South African Exports to the United States (U.S.): A Bounds Test Approach
SEKANTSI, Lira - In: Review of Economic and Business Studies (2011) 8, pp. 119-139
rate volatility, this study utilised GARCH. After establishing the existence of cointegration among the variables involved …
Persistent link: https://www.econbiz.de/10010739316
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Validity of purchasing power parity for selected Latin American countries : linear and non-linear unit root tests
Vasconcelos, Claudio Roberto Fóffano; Lima Júnior, … - In: Economia : revista da ANPEC 17 (2016) 1, pp. 114-125
The aim of this study is to examine empirically the validity of PPP in the context of unit root tests based on linear and non-linear models of the real effective exchange rate of Argentina, Brazil, Chile, Colombia, Mexico, Peru and Venezuela. For this purpose, we apply the Harvey et al. (2008)...
Persistent link: https://www.econbiz.de/10011865666
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The long-run validity of PPP in some major advanced and emerging countries using alternative models
Kyei-Mensah, Justice - In: Cogent economics & finance 11 (2023) 1, pp. 1-26
study employed the smooth time-varying cointegration (TVC) and time-varying detrended fluctuation analysis (DFA) methodology …
Persistent link: https://www.econbiz.de/10014500904