Cointegration Tests Of The Monetary Exchange Rate Model: The Canadian—U.S. Dollar, 1970 – 1994

1996 ◽  
Vol 10 (4) ◽  
pp. 83-97 ◽  
Author(s):  
Panayiotis F Diamandis ◽  
Dimitris A. Georgoutsos ◽  
Georgios.P Kouretas
Keyword(s):  
Exchange Rate ◽  
Rate Model ◽  
Cointegration Tests

COINTEGRATION TESTS OF THE MONETARY EXCHANGE RATE MODEL: THE CANADIAN - U.S. DOLLAR, 1970–1994

1996 ◽  
Vol 10 (4) ◽  
pp. 83-97 ◽  
Author(s):  
PANAYIOTIS F. DIAMANDIS ◽  
DIMITRIS A. GEORGOUTSOS ◽  
GEORGIOS P. KOURETAS
Keyword(s):  
Exchange Rate ◽  
Rate Model ◽  
Cointegration Tests

Does productivity drive the real exchange rate movements? A re-examination of the Balassa–Samuelson hypothesis

2020 ◽  
Vol 47 (5) ◽  
pp. 1093-1118
Author(s):  
Bhushan Praveen Jangam ◽  
Badri Narayan Rath
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Fixed Effects ◽  
Traditional Approach ◽  
Threshold Model ◽  
Annual Data ◽  
Content Type ◽  
Cointegration Tests ◽  
Increase In Productivity

PurposeThe primary purpose of this study is to examine whether the classification of industries into the tradable and nontradable matters for the Balassa–Samuelson (BS) effect.Design/methodology/approachThe study uses annual data for 38 countries from 1995 to 2014. To examine whether the classification of industries matter, the study proceeds with two approaches, that is, “traditional” and “benchmark”.FindingsFirst, by applying panel cointegration tests of Pedroni and Westerlund, the results validate the BS hypothesis. However, the coefficients of long-run elasticities show appreciation of real exchange rate (RER) due to increase in productivity in the case of “traditional approach”, whereas depreciation of RER in the case of “benchmark approach”. Second, by applying the Dumitrescu-Hurlin panel Granger causality test, the results reveal the bi-directional causality among RER and productivity for both the approaches. Further, to provide more insights, the study employs a fixed-effects panel threshold model. The results indicate that increase in productivity leads to both appreciation and depreciation of RER depending on threshold regimes.Practical implicationsThe study ascertains that the evidence of BS effect depends on the choice of approach considered. However, irrespective of the classification, there exists a BS effect beyond a threshold.Originality/valueAlthough the BS effect is well established in the literature; there is no study examining the importance of classification of industries at a disaggregated level. Furthermore, there is no consideration of threshold effects.

scholarly journals A Multidude of Econometric Tests: Forecasting the Dutsch Guilder

2017 ◽  
Vol 9 (9) ◽  
pp. 94
Author(s):  
Augustine C. Arize ◽  
Ioannis N. Kallianiotis ◽  
Ebere Eme Kalu ◽  
John Malindretos ◽  
Moschos Scoullis
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Forecast Error ◽  
Predictive Performance ◽  
Mean Square ◽  
Rate Model ◽  
Long Run ◽  
Exchange Rate Models ◽  
Econometric Tests ◽  
Nonparametric Techniques

This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models’ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models’ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model’s fundamental variables.

An Exchange Rate Model with Market Pressures and a Contagion Effect

2016 ◽  
Vol 52 (12) ◽  
pp. 2706-2720 ◽  
Author(s):  
Wojciech Grabowski ◽  
Aleksander Welfe
Keyword(s):  
Exchange Rate ◽  
Rate Model ◽  
Contagion Effect ◽  
Market Pressures
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