scholarly journals A VAR Analysis for the Uncovered Interest Parity and the Ex-Ante Purchasing Power Parity: The Role of Macroeconomic and Financial Information

2011 ◽  
Author(s):  
Corrado Macchiarelli
Keyword(s):  
Purchasing Power Parity ◽  
Financial Information ◽  
Purchasing Power ◽  
Uncovered Interest Parity ◽  
Power Parity ◽  
Var Analysis ◽  
Ex Ante ◽  
Interest Parity

Purchasing power parity and uncovered interest parity: The Spanish case

1998 ◽  
Vol 4 (4) ◽  
pp. 335-348
Author(s):  
Francisco J. Ledesma ◽  
Manuel Navarro ◽  
Jorge V. Perez ◽  
Simón Sosvilla
Keyword(s):  
Purchasing Power Parity ◽  
Purchasing Power ◽  
Uncovered Interest Parity ◽  
Power Parity ◽  
Interest Parity

scholarly journals ANALISIS PEMBENTUKAN UNI MONETER ASEAN-5 DENGAN PENDEKATAN PARITAS INTERNASIONAL DALAM HUBUNGAN KESEIMBANGAN NILAI TUKAR JANGKA PANJANG (1980.01 – 2004.12)

2007 ◽  
Vol 8 (2) ◽  
pp. 128
Author(s):  
Siti Aisyah Tri Rahayu ◽  
Lukman Hakim
Keyword(s):  
Purchasing Power Parity ◽  
Market Integration ◽  
Purchasing Power ◽  
Power Parity ◽  
Economic Market ◽  
General Hypothesis ◽  
Interest Parity ◽  
Economic Union ◽  
Parity Condition ◽  
Existing Data

In order to strengthening cooperation regional and form the strength regional in ASEAN, likely require to relate at successful European Union in forming financial and economic market integration (EMU). ME become the “model" a success economic integration. We can conclude that to reach monetary union have to beforehand realized by economic union supported by union and strong politics willingness, where this matter have been blazed the way old in such a way by leaders of European countries of West which is merged into EMU. Intention of this research is to see the international parity condition of Purchasing Power Parity (PPP) and rate of interest parity (UIP) of among currency in ASEAN-5 with the currency of United States. Result of this research obtained is show that the goodness of theory of Purchasing Power Parity (PPP) and rate of interest parity (UIP) cannot be holded for the nations of ASEAN-5. In general, hypothesis ß 1=1 refused by existing data. This fact is indication that PPP and UIP cannot be holded during period 1980.01 until 2004.12. With do not hold of two the parity (PPP and UIP) hence possibility to existing of monetary uni ASEAN likely still will passing sufficient process.

scholarly journals The Quanto Theory of Exchange Rates

2019 ◽  
Vol 109 (3) ◽  
pp. 810-843 ◽  
Author(s):  
Lukas Kremens ◽  
Ian Martin
Keyword(s):  
Random Walk ◽  
Exchange Rates ◽  
Purchasing Power Parity ◽  
Uncovered Interest Parity ◽  
Power Parity ◽  
Panel Regressions ◽  
Out Of Sample ◽  
Covariance Term ◽  
Interest Parity ◽  
Forecast Variable

We present a new identity that relates expected exchange rate appreciation to a risk-neutral covariance term, and use it to motivate a currency forecasting variable based on the prices of quanto index contracts. We show via panel regressions that the quanto forecast variable is an economically and statistically significant predictor of currency appreciation and of excess returns on currency trades. Out of sample, the quanto variable outperforms predictions based on uncovered interest parity, on purchasing power parity, and on a random walk as a forecaster of differential (dollar-neutral) currency appreciation. (JEL C53, E43, F31, F37, G12, G15)

scholarly journals The Big Mac Index And Real-Income Disparity

2014 ◽  
Vol 12 (3) ◽  
pp. 231 ◽  
Author(s):  
Vidya Atal
Keyword(s):  
Czech Republic ◽  
Purchasing Power Parity ◽  
Real Income ◽  
Purchasing Power ◽  
Income Disparity ◽  
Power Parity ◽  
Per Capita ◽  
The Government ◽  
Role Of The Government

The Big Mac Index was introduced to (semi-humorously) test the theory of purchasing power parity and measure the disparity in currency values. Instead, in this paper, we consider this index to find out the per capita real-income disparity across 54 countries. We find that the per capita real-income can be very low in some countries even when Big Mac burgers are very cheap, like in India. Among these countries, Hong Kongs per capita Big Mac affordability is the highest with 47 burgers daily whereas Pakistans people could afford just one a day. Additionally, we find that Russia and Chinas Big Mac affordability has been significantly increasing over the last decade, Brazils has remained more or less constant, however USAs Big Mac affordability has been falling, indicating that per capita real-income of Americans has been decreasing over the last decade. Finally, we find that increased role of the government might be negatively correlated to per capita real-income. Czech Republic has been experiencing increased Big Mac affordability as the country has been reducing the governments role; whereas Argentina has been experiencing reduced Big Mac affordability as the country has been moving left and increasing the governments power.

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