Download or read book Examining Finite sample Problems in the Application of Cointegration Tests for Long run Bilateral Exchange Rates written by Angela Huang and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reconsidering Cointegration in International Finance written by Godbout, Marie-Josée and published by . This book was released on 1997-01-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book OECD Economic Surveys New Zealand 2007 written by OECD and published by OECD Publishing. This book was released on 2007-06-01 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 2007 edition of the OECD Economic Survey for New Zealand focuses on raising New Zealand’s living standards, public pensions and retirement savings, deepening financial markets, toward a more efficient taxation system.

Download or read book Real Exchange Rate Levels Productivity and Demand Shocks written by Menzie David Chinn and published by . This book was released on 1996 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the determinants of the real exchange rate using a panel of disaggregated data for the OECD countries. It also marries two literatures - one which uses panel data to measure relationships between changes in exchange rates to changes in the determinants, and the other which uses cointegration techniques to measure the long-run relationship between the level of the exchange rate and the level of the determining factors. The previous panel studies cannot account for deviations from long-run trend levels, while the extant literature using time series cointegration techniques can only intermittently detect and measure posited relationships. Estimating the relationships in levels is an interesting activity because it allows one to calculate trend real exchange rates. After surveying the previous litera- ture, a dynamic model of the real exchange rate is used to motivate the empi- rical exercise. In examining this problem, we exploit recent developments in the econometric analysis of nonstationary variables in panel data. The results indicate that under certain assumptions it is easier to detect cointegration in panel data than in the available time series; moreover, the estimates of reversion to trend are also estimated with greater precision. The most empirically successful models include productivity measures, government spend- ing ratios, and either the terms of trade, or the real price of oil. Using this latter model, we find that the implied equilibrium exchange rates indicate less overvaluation of the dollar than that implied by a naive version of purchasing power parity.

Download or read book Practical Issues in Cointegration Analysis written by Michael McAleer and published by Wiley-Blackwell. This book was released on 1999-08-03 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book comprises of seven up-to-date comprehensive surveys from leading scholars in Econometrics.

Download or read book UIP Expectations and the Kiwi written by Anella Munro and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Monetary Model of Exchange Rates and Cointegration written by Javier Gardeazabal and published by Springer. This book was released on 1992 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Reserve Bank of New Zealand Bulletin written by and published by . This book was released on 2005 with total page 464 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling the US A Exchange Rate Using Cointegration Techniques written by Costas I. Karfakis and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Unit Roots Cointegration and Structural Change written by G. S. Maddala and published by Cambridge University Press. This book was released on 1998 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

Download or read book Multilateral Versus Bilateral Testing for Long Run Purchasing Power Parity written by Dimitrios Sideris and published by . This book was released on 1997 with total page 76 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book OECD Economic Surveys written by Organisation for Economic Co-operation and Development and published by . This book was released on 2007 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Recent Developments in Nonlinear Cointegration with Applications to Macroeconomics and Finance written by Gilles Dufrénot and published by Springer Science & Business Media. This book was released on 2002-04-30 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides new insights on nonlinear cointegration and error correction models. It seeks to bring together recent developments on the subject that are, up until today, scattered throughout the literature. The authors demonstrate the importance of NECM models for studying partial adjustment problems in macroeconomics and the efficient market hypothesis in finance. Even though papers on nonlinear cointegration are numerous a survey can still be made on the topic. This book is accessible to a large audience that includes academics working on applied econometrics, practitioners of financial markets and econometric modelling and all persons interested in time series analysis.

Download or read book Long Run Real Exchange Rates written by Annika Alexius and published by . This book was released on 1998 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-run purchasing power is tested on 16 OECD countries using data from 1960 to 1994; PPP is rejected for some countries (Canada, Japan, Switzerland, Austria, Italy and Spain) and not rejected for others (Sweden, France, Holland and the United Kingdom). For the latter countries, impulse response functions show that half of a disturbance to the equilibrium real exchange rate disappears within three years. The method used is Johansen's maximum likelihood approach to cointegration. Simulations are used to obtain empirical critical values of the tests.

Download or read book On Some Simple Tests for Cointegration written by Anindya Banerjee and published by . This book was released on 1992 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Power of Cointegration Tests written by Jeroen J. M. Kremers and published by . This book was released on 1992 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Internal and External Exchange Rate Equilibrium in a Cointegration Framework written by Enrique Alberola Ila and published by . This book was released on 1999 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theoretical framework; The empirical model; Estimation and orthogonal decomposition; Empirical analysis.