Applied Econometrics and International Development. AEID.Vol. 5-3 (2005)

Size: px
Start display at page:

Download "Applied Econometrics and International Development. AEID.Vol. 5-3 (2005)"

Transcription

1 PURCHASING POWER PARITY BASED ON CAPITAL ACCOUNT, EXCHANGE RATE VOLATILITY AND COINTEGRATION: EVIDENCE FROM SOME DEVELOPING COUNTRIES AHMED, Mudabber * Abstract One of the most important and recurrent concept in international macroeconomics is Purchasing Power Parity (PPP) hypothesis. PPP has been used as a theory of domestic price determination under fixed exchange rate regime and a theory of exchange rate determination under flexible exchange rate regime. The main purpose of this study is to examine how well the PPP theory fit to the developing countries. The purpose is accomplished through conducting a battery of tests non-regression based, regression based and co-integration based. An important feature of the study is that test of PPP which relies on capital account is also carried out. In general our findings do not support the PPP theory. PPP is not supported even if we rely on capital account in derivation of PPP. Only the relative version of PPP as a theory of price determination in Pakistan does have some empirical support. The paper also discusses potential reasons for empirical failure of PPP in developing countries. JEL classifications: F30; F31; F40 Keywords: Purchasing Power Parity; Uncovered Interest Rate Parity; Real Exchange Rate; Random Walk Process; Unit Root Test. 1. Introduction One of the most important and recurrent concept in international macroeconomics is Purchasing Power Parity (PPP) hypothesis. It has * Mudabber, Ahmed, Associate Professor, Department of Economics, University of Chittagong, Chittagong , Bangladesh. mudabber_ahmed@yahoo.com 105

2 been used as a theory of domestic price determination under fixed exchange rate regime and a theory of exchange rate determination under flexible exchange rate regime. According to PPP theory same basket of goods should sell for the same price in different countries when measured in a common currency. The PPP theory can be exemplified by presenting two versions, namely, absolute and relative versions. International macroeconomists employ this concept one way or the other and this study is devoted to a comprehensive examination of it 1. Literature on testing validity of PPP in developed countries has grown immensely over the last two decades. But literature on testing relevance of PPP in developing countries is still in its early stages. Previous literature on developing economies mainly tested PPP by employing F-tests and no attempts were made to analyze the possible causes for their findings 2. Moreover, in the previous studies different PPP versions relied for their derivations on items which appear on the current account of the balance of payments. This paper extends the previous efforts at least in three important ways: First, a simple but useful non-regression based approach to test relevance of PPP is carried out. Second, this study relies for PPP derivations on items which appear not only in the current account but also in the capital account. Third, a simple procedure for testing cointegration with a known cointegrating vector (not blindly estimating a cointegrating vector) is applied. Three major South Asian Association for Regional Co-operation (SAARC) countries viz. Bangladesh, India, and Pakistan are selected as cases for this study. They share many common features with other developing countries. All these economies have gone through either fixed exchange rate regime or managed floating regime. All the three countries, at various times during 1980s and 90s, have adopted IMF structural adjustment policies. The experience of these countries is 1 To know about the origin of PPP see Cassel (1928), Myhram (1976), Frenkel (1978), Officer (1982). 2 See Genberg (1978), and Qureshi (1992/93) for example. 106

3 Ahmed, M. PPP based on capital account, exchange rate volatility, and cointegration sufficient, we believe, to make meaningful conclusions regarding the relevance of the PPP hypothesis in developing economies. The rest of the paper is organized as follows: Section 2 outlines the model and methodology. Section 3 gives a brief discussion about the data set used in the present paper. Section 4 discusses the empirical findings. Section 5 concludes. 2. Mode l and methodology This study employs both regression and non-regression based (exchange rate volatility ) tests to examine the validity of PPP theory. Suppose P, P* and S be the home price, foreign price and nominal exchange rate respectively. According to PPP theory we can write P t = S t P t * (1) If the exchange rate is fixed and home country is small compared to foreign country then foreign price will determine the home price. But if the exchange rate is flexible we can write (1) alternatively as S t = P t / P t * (2) The above two equations represent PPP theory in absolute versions as they deal with absolute price levels. However, we derive the relative version of (1) in the following way 3 : Taking natural log in both sides of (1) lnp t = lns t + lnp t * (3) and lnp t-1 = lns t-1 + lnp t-1 * (4) Subtracting (4) from (3), we have p t = s t + p t * (5) where is the first difference operator and p t = lnp t, s t = lns t, and p* t = lnp* t. Similarly relative version of (2) is 3 See Genberg (1978) and Hallwood and MacDonald (1994). 107

4 s t = p t - p t * (6) Stochastic representation of equation (3) and (5) are the following: p t = α + ßp t * + u t (7) p t = a + b p t * + u t (8) if PPP theory holds, ß and b should be equal to unity. In the equations (7) and (8), α+ u t or a + u t amounts to s t or s t where u t is a white noise process. Stochastic representation of equation (2) and (6) are the following: s t = α + ßp t + ß*p t * + u t (9) s t = a + b p t + b* p t * + u t (10) If PPP holds it is expected that ß = b =1 and ß* = b* = -1 and the constants are equal to zero. An F test is appropriate to test the above mentioned hypothesis. The above derivations of PPP rely on current account items only, and this is how the approach has been motivated by most of the earlier studies. But recently researchers opine that PPP may be thought of in terms of certain parity conditions that relate to the capital account 4. Applying the uncovered interest parity condition we have s e t+1 = i t i t * (11) where s e t+1 expected proportionate change in exchange rate to prevail in period t+1, i t and i* t are home nominal interest rate and foreign nominal interest rate respectively. We know real interest rate is nominal interest rate less expected inflation rate r t = i t - p e t+1 (12) r t * = i t * - p e* t+1 (13) 4 See Hallwood and MacDonald (1994, pp ) for details about this methodology. 108

5 Ahmed, M. PPP based on capital account, exchange rate volatility, and cointegration where r is real interest rate and p e t+1 expected inflation rate to prevail in period t+1. Substituting (12) and (13) in (11) and rearranging s e t+1 = (r r*) + ( p e t+1 p e* t+1) (14) By assuming that real interest rates are equalized across countries we get s e t+1 = p e t+1 p e* t+1 (15) equation (15) is slightly modified version of relative PPP. The variables are now expected rather than actual. But expected values are not observable. However, we can employ rational expectations theory to overcome the problem. Actual change in exchange rate and change in price levels can be written as expected value plus a surprise, which is truly random and unpredictable. s t+1 = s e t+1 + ε t+1 (16) p t+1 = p e t+1 + ζ t+1 (17) p* t+1 = p* e t+1 + ζ* t+1 (18) substituting (16) (17) and (18) in (15) and rearranging s t+1 - p t+1 + p* t+1 = ε t+1 - ζ t+1 + ζ* t+1 = η t+1 (19) q t+1 = η t+1 (20) q t+1 - q t = η t+1 (21) where q t = s t - p t + p* t. Equation (21) says that q follows a random walk. The equation can be estimated in the following form: q t = α + βq t-1 + η t (22) where η t is a white noise process. Our null hypothesis is α= 0 and ß =1 and rejection of this implies PPP hold if we rely on capital account. Non-regression based evidence can be checked by focusing on visual evidence: how closely the nominal and real exchange rate move together i.e. by looking the exchange rate volatility. The real exchange rate is defined as Q = SP* / P (23) 109

6 Rearranging we get S = QP / P* (24) If PPP holds, it is expected that Q = 1 (or a constant) i.e., movement of nominal exchange rate should not influence real exchange rate in the same direction. If price ratio P*/P increases then S must fall to keep Q constant. But If S rises along with rise in P*/P then Q rises and PPP does not hold. 3. Data The data used in this study are taken from the IMF, International Financial Statistics (IFS). Quarterly observations comprising the period 1975:Q1-2003:Q4 for India and Pakistan, and 1976:Q2-2003:Q4 for Bangladesh are used to estimate the models. The US data is taken as foreign variables. Exchange rate is defined as the domestic currency price of one unit of foreign exchange (i.e. US dollar). The study uses a similar data set, sample period, and framework for all countries, as far as it is allowed by the availability of data. 4. Empirical Evidence We start our empirical analysis with non-regression based evidence. In figures 1-3, the relationship between real and nominal exchange rates is shown. In figure 1, real and nominal exchange rates move closely together in case of India (a correlation coefficient of 0.97). Thus the nominal appreciation or depreciation is seen to be a real appreciation or depreciation. In case of Pakistan, we can divide the sample period 1975:1 to 2003:4 into two sub-periods: from 1975:1 to 1981:4 when the exchange rate was fixed, from 1982:1 to 2003:4 when exchange rate was flexible. We see no correlation between real and nominal exchange rates during the fixed exchanged rate regime. But during the flexible exchange rate regime they move together (a correlation coefficient of 0.94). In case of Bangladesh the relationship is rather weak (a correlation coefficient of 0.78) but they move more or less in the same direction. 110

7 4.25 Q Ahmed, M. PPP based on capital account, exchange rate volatility, and cointegration Figure 1: Indian rupee and US dollar: Movement of real (Q) and nominal (S) exchange rates 4.00 Q S Figure 2: Pakistani rupee and US dollar: Movement of real (Q) and nominal (S) exchange rates 4.25 Q S Figure 3: Bangladeshi taka and US dollar: Movement of real (Q) and nominal (S) exchange rates S

8 Our broad conclusion from this evidence would be that law of one price does not hold in a floating or managed floating regimes and we can identify two potential reasons behind it: First, over the period demand in Bangladesh, India and Pakistan shifted away from domestic traded goods to foreign traded goods. This created excess demand for foreign goods and excess supply of domestic traded goods. So P*/P increased but it was not offset by nominal exchange rate appreciation. Second, we can exploit the thesis of Balassa-Samuelson to provide an explanation of the empirical failure of PPP in developing countries. Balassa (1964) observed that productivity is higher in the traded goods sector of developed country (taking the USA as DC) compared with developing countries (India, Bangladesh and Pakistan) but productivity is similar in the non-traded goods sector. A weighted average basket of traded and non-traded goods will be cheaper in low wage country in the developing country. Given that nominal exchange rate is determined by relative prices of traded and non traded goods, there will be a divergence between nominal and real exchange rates. An implication of the divergence between nominal and real exchange rates is that a given amount of dollar converted into rupee or taka at the nominal exchange rate will buy a larger basket of commodities in Bangladesh, India or Pakistan than in the USA. This is inconsistent with PPP. Let us now move to regression based evidence. A careful examination of data on exchange rate shows that Pakistan operated under strictly fixed rate regime from 1975: Q1 to 1981:Q4 and therefore equations (7) and (8) was estimated for that period. Equations (9), (10) and (22) was estimated for the period 1982:Q1 to 2003:Q4. Only relative version of PPP under fixed exchange rate regime is supported by data (See table 2) 5. Neither absolute version nor relative version of PPP is supported by India and Bangladesh data (see table 1 and 3). Estimated results of equation (22) reveals that PPP is not supported even if we rely on capital account in 5 These findings do not corroborate the findings of Qureshi (1992/93). 112

9 Ahmed, M. PPP based on capital account, exchange rate volatility, and cointegration derivation of PPP. Real exchange rate follows a random walk process in all the three countries. Table 1: Regression based test of PPP in India Equation Constant Estimated coefficient of F- statistic (P- Value) p* p* p p q t-1 (9) (0.000) (10) (0.000) (22) (0.122) Table 2: Regression based test of PPP in Pakistan Equation Constant Estimated coefficient of F- statistic (P- Value) p* p* p p q t-1 (7) (0.000) (8) (0.172) (9) (0.000) (10) (0.000) (22) (0.1101) Table 3: Regression based test of PPP in Bangladesh Equation Constant Estimated coefficient of F- statistic (P- Value) p* p* p p q t-1 (9) (0.000) (10) (0.000) (22) (0.1507) Finally we move to co-integration based test of PPP following Hamilton (1994). Most of the cointegration testing procedures are based upon a two step procedure of estimating a cointegrating vector and then check whether the residuals are stationary 6. In order for a set of variables to be cointegrated, they must have the same order of integration, i.e., the variables should have a unit root. In general any 6 Adler and Lehman (1983), Abuaf and Jorion (1990), Patel (1990) and Fraser et al. (1991) applied this procedure to test PPP. 113

10 linear combination of them should also have a unit root. But according to Engel and Granger (1987) there is a possibility that certain linear combinations of them might be stationary. In this study, we conduct a simple procedure for testing cointegration with a known cointegrating vector. We test whether the PPP restriction (s - p + p*) is a cointegrating vector. The procedure is to run a battery of unit root tests. In table 4 variables p, p* and s are tested for a unit root with 8 extra lags and trend. All the three variables in all three countries pass the test for the presence of a unit root. Finally, the proposed PPP restriction is tested for the presence of a unit root. Again the proposed PPP restriction passes the test for the presence of a unit root. So no evidence of cointegration among p, p* and s is found. Table 4: Cointegration based test of PPP in India, Pakistan and Bangladesh Variables Estimated Test Statistic (Unit root tests) India Pakistan Bangladesh p p* s s p + p* The critical value of the test statistic at 5% level is and is taken from table of Fuller (1976). Eight lags and trend is employed in the tests. Several factors may be identified for failure of PPP: First, construction of an appropriate price index is an important factor. In Bangladesh, India and Pakistan most of the items included in CPI are domestically traded goods or non-traded goods. PPP version of exchange rate considers the price ratio of traded commodities only. Second, some times expected future monetary development determine current exchange rate. In such case exchange rate moves ahead of price development equation (9) and (10) will not hold. Third, we should turn our attention on the underlying assumptions of the law of one price. Some of the underlying assumptions of law of one price such as homogeneous nature of traded goods, no barrier to 114

11 Ahmed, M. PPP based on capital account, exchange rate volatility, and cointegration trade, no transactions cost, no movement of capital can be put into questions. For example, US trade with Bangladesh, India and Pakistan comprises of non-agricultural commodities and they are not homogeneous in nature. 5. Summary and Conclusion The main purpose of this paper has been to examine the validity of Purchasing Power Parity theory in some developing countries. The purpose is accomplished through conducting a battery of tests nonregression based, regression based and cointegration based. An important feature of the study is that test of PPP which relies on capital account is also carried out. In general our findings do not support the PPP theory. PPP is not supported even if we rely on capital account in derivation of PPP. Only the relative version of PPP as a theory of price determination in Pakistan does have some empirical support. Choice of appropriate price index, change in demand structure, productivity change, monetary development, and structural and institutional impediments to competitive markets are some factors responsible for glaring failure of PPP in the developing countries. This finding has a significant policy implication. The policy maker should be aware of the fact that PPP should not be employed as a theory of exchange rate determination. It should not be employed as a theory of price determination either in the developing countries. Construction of a price index with appropriate weight on traded goods deserves attention in developing economies. References Abuaf, N. and Jorion, P. (1990). Purchasing Power Parity in the Long Run Journal of Finance, 45, pp Adler M. and B. Lehman (1983). Deviations from Purchasing Power Parity in the Long Run Journal of Finance, 38, pp Balassa, B. (1964). The Purchasing Power Parity Doctrine: A Reappraisal Journal of Political Economy, 72, pp Cassel, G. Post-War Monetary Stabilization NewYork: Columbia University Press,

12 Engle, R. and C. W. J. Granger (1987), Co-integration and Error Correction: Representation, Estimation and Testing Econometrica, 55, pp Fraser, P. Taylor, M.P. and Webster, A. (1991) An Empirical Analysis of Long Run Purchasing Power Parity as a Theory of International Commodity Arbitrage Applied Economics, 23, Frenkel J. A. (1978) Purchasing Power Parity Doctrinal Perspectives and Evidence from the 1920s Journal of International Economics, 8. pp Fuller, W. A. Introduction to Statistical Time Series. New York: John Wiley & Sons, Inc, Genberg H. (1978), Purchasing Power Parity under Fixed and Flexible Exchange Rates Journal of International Economics, 8(2), Hallwood, C. P. and R. MacDonald, International Money and Finance Blacwell Publishers Inc. Cambridge, Massachusetts, Hamilton, J. Time Series Analysis Princeton: Princeton University Press,1994. Myhran, J. (1976) Experiences of Flexible Exchange Rate in Earlier Period: Theories, Evidence and New View Scandinavian Journal of Economics, 78(2), pp Officer, L. H. Purchasing Power Parity and Exchange Rates: Theory, Evidence and Relevance, Greenwich, Ct, JAI Press, Patel, J. (1990), Purchasing Power Parity as Long Run Relation Journal of Applied Econometrics, 2, pp Qureshi A. A. (1992/93). Purchasing Power Parity under Fixed and Flexible Exchange Rates in a Developing Country The Indian Economic Journal, 40(3), Journal published by the Euro-American Association of Economic Development

The Dynamics between Government Debt and Economic Growth in South Asia: A Time Series Approach

The Dynamics between Government Debt and Economic Growth in South Asia: A Time Series Approach The Empirical Economics Letters, 15(9): (September 16) ISSN 1681 8997 The Dynamics between Government Debt and Economic Growth in South Asia: A Time Series Approach Nimantha Manamperi * Department of Economics,

More information

MONEY, PRICES AND THE EXCHANGE RATE: EVIDENCE FROM FOUR OECD COUNTRIES

MONEY, PRICES AND THE EXCHANGE RATE: EVIDENCE FROM FOUR OECD COUNTRIES money 15/10/98 MONEY, PRICES AND THE EXCHANGE RATE: EVIDENCE FROM FOUR OECD COUNTRIES Mehdi S. Monadjemi School of Economics University of New South Wales Sydney 2052 Australia m.monadjemi@unsw.edu.au

More information

Purchasing Power Parity: Reasons for Deviations of the Ruble from PPP

Purchasing Power Parity: Reasons for Deviations of the Ruble from PPP Purchasing Power Parity: Reasons for Deviations of the Ruble from PPP Anton A Cheremukhin Published in Russian: 17 January 2005, This Summary: 16 October 2005 Abstract This paper aims at testing of the

More information

Volume 35, Issue 1. Thai-Ha Le RMIT University (Vietnam Campus)

Volume 35, Issue 1. Thai-Ha Le RMIT University (Vietnam Campus) Volume 35, Issue 1 Exchange rate determination in Vietnam Thai-Ha Le RMIT University (Vietnam Campus) Abstract This study investigates the determinants of the exchange rate in Vietnam and suggests policy

More information

Dynamic Relationship between Stock Price and Exchange Rate: Evidence from Pakistan, China and Srilanka

Dynamic Relationship between Stock Price and Exchange Rate: Evidence from Pakistan, China and Srilanka 28 J. Glob. & Sci. Issues, Vol 2, Issue 2, (June 2014) ISSN 2307-6275 Dynamic Relationship between Stock Price and Exchange Rate: Evidence from Pakistan, China and Srilanka Khalil Jebran 1 Abstract This

More information

An Empirical Analysis of the Relationship between Macroeconomic Variables and Stock Prices in Bangladesh

An Empirical Analysis of the Relationship between Macroeconomic Variables and Stock Prices in Bangladesh Bangladesh Development Studies Vol. XXXIV, December 2011, No. 4 An Empirical Analysis of the Relationship between Macroeconomic Variables and Stock Prices in Bangladesh NASRIN AFZAL * SYED SHAHADAT HOSSAIN

More information

Master of Arts in Economics. Approved: Roger N. Waud, Chairman. Thomas J. Lutton. Richard P. Theroux. January 2002 Falls Church, Virginia

Master of Arts in Economics. Approved: Roger N. Waud, Chairman. Thomas J. Lutton. Richard P. Theroux. January 2002 Falls Church, Virginia DOES THE RELITIVE PRICE OF NON-TRADED GOODS CONTRIBUTE TO THE SHORT-TERM VOLATILITY IN THE U.S./CANADA REAL EXCHANGE RATE? A STOCHASTIC COEFFICIENT ESTIMATION APPROACH by Terrill D. Thorne Thesis submitted

More information

Cointegration Tests and the Long-Run Purchasing Power Parity: Examination of Six Currencies in Asia

Cointegration Tests and the Long-Run Purchasing Power Parity: Examination of Six Currencies in Asia Volume 23, Number 1, June 1998 Cointegration Tests and the Long-Run Purchasing Power Parity: Examination of Six Currencies in Asia Ananda Weliwita ** 2 The validity of the long-run purchasing power parity

More information

COINTEGRATION AND MARKET EFFICIENCY: AN APPLICATION TO THE CANADIAN TREASURY BILL MARKET. Soo-Bin Park* Carleton University, Ottawa, Canada K1S 5B6

COINTEGRATION AND MARKET EFFICIENCY: AN APPLICATION TO THE CANADIAN TREASURY BILL MARKET. Soo-Bin Park* Carleton University, Ottawa, Canada K1S 5B6 1 COINTEGRATION AND MARKET EFFICIENCY: AN APPLICATION TO THE CANADIAN TREASURY BILL MARKET Soo-Bin Park* Carleton University, Ottawa, Canada K1S 5B6 Abstract: In this study we examine if the spot and forward

More information

Lecture 3, Part 1 (Bubbles, Portfolio Balance Models)

Lecture 3, Part 1 (Bubbles, Portfolio Balance Models) Lecture 3, Part 1 (Bubbles, Portfolio Balance Models) 1. Rational Bubbles in Theory 2. An Early Test for Price Bubbles 3. Meese's Tests Foreign Exchange Bubbles 4. Limitations of Bubble Tests 5. A Simple

More information

Exchange Rate and Economic Performance - A Comparative Study of Developed and Developing Countries

Exchange Rate and Economic Performance - A Comparative Study of Developed and Developing Countries IOSR Journal of Business and Management (IOSR-JBM) e-issn: 2278-487X. Volume 8, Issue 1 (Jan. - Feb. 2013), PP 116-121 Exchange Rate and Economic Performance - A Comparative Study of Developed and Developing

More information

Determinants of Revenue Generation Capacity in the Economy of Pakistan

Determinants of Revenue Generation Capacity in the Economy of Pakistan 2014, TextRoad Publication ISSN 2090-4304 Journal of Basic and Applied Scientific Research www.textroad.com Determinants of Revenue Generation Capacity in the Economy of Pakistan Khurram Ejaz Chandia 1,

More information

CAN MONEY SUPPLY PREDICT STOCK PRICES?

CAN MONEY SUPPLY PREDICT STOCK PRICES? 54 JOURNAL FOR ECONOMIC EDUCATORS, 8(2), FALL 2008 CAN MONEY SUPPLY PREDICT STOCK PRICES? Sara Alatiqi and Shokoofeh Fazel 1 ABSTRACT A positive causal relation from money supply to stock prices is frequently

More information

An Empirical Study on the Determinants of Dollarization in Cambodia *

An Empirical Study on the Determinants of Dollarization in Cambodia * An Empirical Study on the Determinants of Dollarization in Cambodia * Socheat CHIM Graduate School of Economics, Osaka University 1-7 Machikaneyama, Toyonaka, Osaka, 560-0043, Japan E-mail: chimsocheat3@yahoo.com

More information

A SIMULTANEOUS-EQUATION MODEL OF THE DETERMINANTS OF THE THAI BAHT/U.S. DOLLAR EXCHANGE RATE

A SIMULTANEOUS-EQUATION MODEL OF THE DETERMINANTS OF THE THAI BAHT/U.S. DOLLAR EXCHANGE RATE A SIMULTANEOUS-EQUATION MODEL OF THE DETERMINANTS OF THE THAI BAHT/U.S. DOLLAR EXCHANGE RATE Yu Hsing, Southeastern Louisiana University ABSTRACT This paper examines short-run determinants of the Thai

More information

Personal income, stock market, and investor psychology

Personal income, stock market, and investor psychology ABSTRACT Personal income, stock market, and investor psychology Chung Baek Troy University Minjung Song Thomas University This paper examines how disposable personal income is related to investor psychology

More information

The Balassa-Samuelson Effect and The MEVA G10 FX Model

The Balassa-Samuelson Effect and The MEVA G10 FX Model The Balassa-Samuelson Effect and The MEVA G10 FX Model Abstract: In this study, we introduce Danske s Medium Term FX Evaluation model (MEVA G10 FX), a framework that falls within the class of the Behavioural

More information

The source of real and nominal exchange rate fluctuations in Thailand: Real shock or nominal shock

The source of real and nominal exchange rate fluctuations in Thailand: Real shock or nominal shock MPRA Munich Personal RePEc Archive The source of real and nominal exchange rate fluctuations in Thailand: Real shock or nominal shock Binh Le Thanh International University of Japan 15. August 2015 Online

More information

Asian Economic and Financial Review SOURCES OF EXCHANGE RATE FLUCTUATION IN VIETNAM: AN APPLICATION OF THE SVAR MODEL

Asian Economic and Financial Review SOURCES OF EXCHANGE RATE FLUCTUATION IN VIETNAM: AN APPLICATION OF THE SVAR MODEL Asian Economic and Financial Review ISSN(e): 2222-6737/ISSN(p): 2305-2147 journal homepage: http://www.aessweb.com/journals/5002 SOURCES OF EXCHANGE RATE FLUCTUATION IN VIETNAM: AN APPLICATION OF THE SVAR

More information

Working Paper Series in Finance #00-07 PURCHASING POWER PARITY AND EMERGING SOUTH EAST ASIAN NATIONS. A. Razzaghipour* G.A. Fleming** R.A.

Working Paper Series in Finance #00-07 PURCHASING POWER PARITY AND EMERGING SOUTH EAST ASIAN NATIONS. A. Razzaghipour* G.A. Fleming** R.A. Working Paper Series in Finance #00-07 PURCHASING POWER PARITY AND EMERGING SOUTH EAST ASIAN NATIONS A. Razzaghipour* G.A. Fleming** R.A. Heaney** *Reserve Bank of Australia **Department of Commerce, Australian

More information

Is the real effective exchange rate biased against the PPP hypothesis?

Is the real effective exchange rate biased against the PPP hypothesis? MPRA Munich Personal RePEc Archive Is the real effective exchange rate biased against the PPP hypothesis? Daniel Ventosa-Santaulària and Frederick Wallace and Manuel Gómez-Zaldívar Centro de Investigación

More information

Savings Investment Correlation in Developing Countries: A Challenge to the Coakley-Rocha Findings

Savings Investment Correlation in Developing Countries: A Challenge to the Coakley-Rocha Findings Savings Investment Correlation in Developing Countries: A Challenge to the Coakley-Rocha Findings Abu N.M. Wahid Tennessee State University Abdullah M. Noman University of New Orleans Mohammad Salahuddin*

More information

Discussion Paper Series No.196. An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market.

Discussion Paper Series No.196. An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market. Discussion Paper Series No.196 An Empirical Test of the Efficiency Hypothesis on the Renminbi NDF in Hong Kong Market IZAWA Hideki Kobe University November 2006 The Discussion Papers are a series of research

More information

Testing the Stability of Demand for Money in Tonga

Testing the Stability of Demand for Money in Tonga MPRA Munich Personal RePEc Archive Testing the Stability of Demand for Money in Tonga Saten Kumar and Billy Manoka University of the South Pacific, University of Papua New Guinea 12. June 2008 Online at

More information

Cointegration, structural breaks and the demand for money in Bangladesh

Cointegration, structural breaks and the demand for money in Bangladesh MPRA Munich Personal RePEc Archive Cointegration, structural breaks and the demand for money in Bangladesh B. Bhaskara Rao and Saten Kumar University of the South Pacific 16. January 2007 Online at http://mpra.ub.uni-muenchen.de/1546/

More information

Volume 35, Issue 1. Yu Hsing Southeastern Louisiana University

Volume 35, Issue 1. Yu Hsing Southeastern Louisiana University Volume 35, Issue 1 Short-Run Determinants of the USD/MYR Exchange Rate Yu Hsing Southeastern Louisiana University Abstract This paper examines short-run determinants of the U.S. dollar/malaysian ringgit

More information

The Demand for Money in China: Evidence from Half a Century

The Demand for Money in China: Evidence from Half a Century International Journal of Business and Social Science Vol. 5, No. 1; September 214 The Demand for Money in China: Evidence from Half a Century Dr. Liaoliao Li Associate Professor Department of Business

More information

TESTING WAGNER S LAW FOR PAKISTAN:

TESTING WAGNER S LAW FOR PAKISTAN: 155 Pakistan Economic and Social Review Volume 45, No. 2 (Winter 2007), pp. 155-166 TESTING WAGNER S LAW FOR PAKISTAN: 1972-2004 HAFEEZ UR REHMAN, IMTIAZ AHMED and MASOOD SARWAR AWAN* Abstract. This paper

More information

Why the saving rate has been falling in Japan

Why the saving rate has been falling in Japan October 2007 Why the saving rate has been falling in Japan Yoshiaki Azuma and Takeo Nakao Doshisha University Faculty of Economics Imadegawa Karasuma Kamigyo Kyoto 602-8580 Japan Doshisha University Working

More information

The Relationship between Foreign Direct Investment and Economic Development An Empirical Analysis of Shanghai 's Data Based on

The Relationship between Foreign Direct Investment and Economic Development An Empirical Analysis of Shanghai 's Data Based on The Relationship between Foreign Direct Investment and Economic Development An Empirical Analysis of Shanghai 's Data Based on 2004-2015 Jiaqi Wang School of Shanghai University, Shanghai 200444, China

More information

Hedging Effectiveness of Currency Futures

Hedging Effectiveness of Currency Futures Hedging Effectiveness of Currency Futures Tulsi Lingareddy, India ABSTRACT India s foreign exchange market has been witnessing extreme volatility trends for the past three years. In this context, foreign

More information

Sectoral Analysis of the Demand for Real Money Balances in Pakistan

Sectoral Analysis of the Demand for Real Money Balances in Pakistan The Pakistan Development Review 40 : 4 Part II (Winter 2001) pp. 953 966 Sectoral Analysis of the Demand for Real Money Balances in Pakistan ABDUL QAYYUM * 1. INTRODUCTION The main objective of monetary

More information

Relationship between Oil Price, Exchange Rates and Stock Market: An Empirical study of Indian stock market

Relationship between Oil Price, Exchange Rates and Stock Market: An Empirical study of Indian stock market IOSR Journal of Business and Management (IOSR-JBM) e-issn: 2278-487X, p-issn: 2319-7668. Volume 19, Issue 1. Ver. VI (Jan. 2017), PP 28-33 www.iosrjournals.org Relationship between Oil Price, Exchange

More information

Linkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis

Linkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis Linkage between Gold and Crude Oil Spot Markets in India-A Cointegration and Causality Analysis Narinder Pal Singh Associate Professor Jagan Institute of Management Studies Rohini Sector -5, Delhi Sugandha

More information

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange Theoretical and Applied Economics Volume XX (2013), No. 11(588), pp. 117-126 Prerequisites for modeling price and return data series for the Bucharest Stock Exchange Andrei TINCA The Bucharest University

More information

PUBLIC DEBT AND DEFICIT IN MEXICO: COMMENT* JohnH. Welch. Federal Reserve Bank of Dallas

PUBLIC DEBT AND DEFICIT IN MEXICO: COMMENT* JohnH. Welch. Federal Reserve Bank of Dallas PUBLIC DEBT AND DEFICIT IN MEXICO: A COMMENT* JohnH. Welch Federal Reserve Bank of Dallas Resumen: Este comentario muestra que el balance presupuestario intertemporal de México fue mantenido durante el

More information

ESTIMATING MONEY DEMAND FUNCTION OF BANGLADESH

ESTIMATING MONEY DEMAND FUNCTION OF BANGLADESH BRAC University Journal, vol. VIII, no. 1&2, 2011, pp. 31-36 ESTIMATING MONEY DEMAND FUNCTION OF BANGLADESH Md. Habibul Alam Miah Department of Economics Asian University of Bangladesh, Uttara, Dhaka Email:

More information

Comparative analysis of monetary and fiscal Policy: a case study of Pakistan

Comparative analysis of monetary and fiscal Policy: a case study of Pakistan MPRA Munich Personal RePEc Archive Comparative analysis of monetary and fiscal Policy: a case study of Pakistan Syed Tehseen Jawaid and Imtiaz Arif and Syed Muhammad Naeemullah December 2010 Online at

More information

Government Tax Revenue, Expenditure, and Debt in Sri Lanka : A Vector Autoregressive Model Analysis

Government Tax Revenue, Expenditure, and Debt in Sri Lanka : A Vector Autoregressive Model Analysis Government Tax Revenue, Expenditure, and Debt in Sri Lanka : A Vector Autoregressive Model Analysis Introduction Uthajakumar S.S 1 and Selvamalai. T 2 1 Department of Economics, University of Jaffna. 2

More information

Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities

Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities - The models we studied earlier include only real variables and relative prices. We now extend these models to have

More information

The Effects of Public Debt on Economic Growth and Gross Investment in India: An Empirical Evidence

The Effects of Public Debt on Economic Growth and Gross Investment in India: An Empirical Evidence Volume 8, Issue 1, July 2015 The Effects of Public Debt on Economic Growth and Gross Investment in India: An Empirical Evidence Amanpreet Kaur Research Scholar, Punjab School of Economics, GNDU, Amritsar,

More information

Forecasting Exchange Rates with PPP

Forecasting Exchange Rates with PPP Excess money growth provides a measure of pent up inflation. This measure is useful whenever price controls are in effect, as was true in the U.S. in the 1970's. For PPP to be a useful tool in these cases,

More information

EXAMINING THE RELATIONSHIP BETWEEN SPOT AND FUTURE PRICE OF CRUDE OIL

EXAMINING THE RELATIONSHIP BETWEEN SPOT AND FUTURE PRICE OF CRUDE OIL KAAV INTERNATIONAL JOURNAL OF ECONOMICS,COMMERCE & BUSINESS MANAGEMENT EXAMINING THE RELATIONSHIP BETWEEN SPOT AND FUTURE PRICE OF CRUDE OIL Dr. K.NIRMALA Faculty department of commerce Bangalore university

More information

A study on the long-run benefits of diversification in the stock markets of Greece, the UK and the US

A study on the long-run benefits of diversification in the stock markets of Greece, the UK and the US A study on the long-run benefits of diversification in the stock markets of Greece, the and the US Konstantinos Gillas * 1, Maria-Despina Pagalou, Eleni Tsafaraki Department of Economics, University of

More information

Demand for Money in China with Currency Substitution: Evidence from the Recent Data

Demand for Money in China with Currency Substitution: Evidence from the Recent Data Modern Economy, 2017, 8, 484-493 http://www.scirp.org/journal/me ISSN Online: 2152-7261 ISSN Print: 2152-7245 Demand for Money in China with Currency Substitution: Evidence from the Recent Data Yongqing

More information

The effect of Money Supply and Inflation rate on the Performance of National Stock Exchange

The effect of Money Supply and Inflation rate on the Performance of National Stock Exchange The effect of Money Supply and Inflation rate on the Performance of National Stock Exchange Mr. Ch.Sanjeev Research Scholar, Telangana University Dr. K.Aparna Assistant Professor, Telangana University

More information

Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities

Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities Topic 4: Introduction to Exchange Rates Part 1: Definitions and empirical regularities - The models we studied earlier include only real variables and relative prices. We now extend these models to have

More information

Indian Institute of Management Calcutta. Working Paper Series. WPS No. 797 March Implied Volatility and Predictability of GARCH Models

Indian Institute of Management Calcutta. Working Paper Series. WPS No. 797 March Implied Volatility and Predictability of GARCH Models Indian Institute of Management Calcutta Working Paper Series WPS No. 797 March 2017 Implied Volatility and Predictability of GARCH Models Vivek Rajvanshi Assistant Professor, Indian Institute of Management

More information

Department of Economics Working Paper

Department of Economics Working Paper Department of Economics Working Paper Rethinking Cointegration and the Expectation Hypothesis of the Term Structure Jing Li Miami University George Davis Miami University August 2014 Working Paper # -

More information

Corresponding author: Gregory C Chow,

Corresponding author: Gregory C Chow, Co-movements of Shanghai and New York stock prices by time-varying regressions Gregory C Chow a, Changjiang Liu b, Linlin Niu b,c a Department of Economics, Fisher Hall Princeton University, Princeton,

More information

Analysis of the Relation between Treasury Stock and Common Shares Outstanding

Analysis of the Relation between Treasury Stock and Common Shares Outstanding Analysis of the Relation between Treasury Stock and Common Shares Outstanding Stoyu I. Nancie Fimbel Investment Fellow Associate Professor San José State University Accounting and Finance Department Lucas

More information

GIAN JYOTI E-JOURNAL, Volume 2, Issue 3 (Jul Sep 2012) ISSN X FOREIGN INSTITUTIONAL INVESTORS AND INDIAN STOCK MARKET

GIAN JYOTI E-JOURNAL, Volume 2, Issue 3 (Jul Sep 2012) ISSN X FOREIGN INSTITUTIONAL INVESTORS AND INDIAN STOCK MARKET FOREIGN INSTITUTIONAL INVESTORS AND INDIAN STOCK MARKET Dr Renuka Sharma 1 & Dr. Kiran Mehta 2 Abstract The investment made by FIIs in any capital market has grabbed the attention of researchers to identify

More information

Spending for Growth: An Empirical Evidence of Thailand

Spending for Growth: An Empirical Evidence of Thailand Applied Economics Journal 17 (2): 27-44 Copyright 2010 Center for Applied Economics Research ISSN 0858-9291 Spending for Growth: An Empirical Evidence of Thailand Jirawat Jaroensathapornkul* School of

More information

AnAnalysisofContributionsofHouseholdSectorPrivateCorporateSectorandPublicSectorinGrossDomesticSavingsandThusGrossCapitalFormationofIndia

AnAnalysisofContributionsofHouseholdSectorPrivateCorporateSectorandPublicSectorinGrossDomesticSavingsandThusGrossCapitalFormationofIndia Global Journal of Management and Business Research: B Economics and Commerce Volume 15 Issue 2 Version 1.0 Year 2015 Type: Double Blind Peer Reviewed International Research Journal Publisher: Global Journals

More information

Currency Substitution, Capital Mobility and Functional Forms of Money Demand in Pakistan

Currency Substitution, Capital Mobility and Functional Forms of Money Demand in Pakistan The Lahore Journal of Economics 12 : 1 (Summer 2007) pp. 35-48 Currency Substitution, Capital Mobility and Functional Forms of Money Demand in Pakistan Yu Hsing * Abstract The demand for M2 in Pakistan

More information

Liquidity Risk Management: A Comparative Study between Domestic and Foreign Banks in Pakistan Asim Abdullah & Abdul Qayyum Khan

Liquidity Risk Management: A Comparative Study between Domestic and Foreign Banks in Pakistan Asim Abdullah & Abdul Qayyum Khan A Comparative Study between Domestic and Foreign Banks in Pakistan Asim Abdullah & Abdul Qayyum Khan Abstract The purpose of this study is to establish the firms level aspects which have more influence

More information

Relationship between Inflation and Unemployment in India: Vector Error Correction Model Approach

Relationship between Inflation and Unemployment in India: Vector Error Correction Model Approach Relationship between Inflation and Unemployment in India: Vector Error Correction Model Approach Anup Sinha 1 Assam University Abstract The purpose of this study is to investigate the relationship between

More information

Survey Based Expectations and Uncovered Interest Rate Parity

Survey Based Expectations and Uncovered Interest Rate Parity PRELIMINARY DRAFT Do not cite or circulate Survey Based Expectations and Uncovered Interest Rate Parity by Menzie D. Chinn University of Wisconsin, Madison and NBER October 7, 2009 Abstract: Survey based

More information

Uluslararası Sosyal Aratırmalar Dergisi The Journal of International Social Research Volume: 3 Issue: 14 Fall 2010

Uluslararası Sosyal Aratırmalar Dergisi The Journal of International Social Research Volume: 3 Issue: 14 Fall 2010 Uluslararası Sosyal Aratırmalar Dergisi The Journal of International Social Research Volume: 3 Issue: 14 Fall 2010 REAL INTEREST RATE PARITY HYPOTHESIS: EVIDENCE FROM MALAYSIA AND THAILAND Tamat SARMIDI*

More information

Government expenditure and Economic Growth in MENA Region

Government expenditure and Economic Growth in MENA Region Available online at http://sijournals.com/ijae/ Government expenditure and Economic Growth in MENA Region Mohsen Mehrara Faculty of Economics, University of Tehran, Tehran, Iran Email: mmehrara@ut.ac.ir

More information

How High A Hedge Is High Enough? An Empirical Test of NZSE10 Futures.

How High A Hedge Is High Enough? An Empirical Test of NZSE10 Futures. How High A Hedge Is High Enough? An Empirical Test of NZSE1 Futures. Liping Zou, William R. Wilson 1 and John F. Pinfold Massey University at Albany, Private Bag 1294, Auckland, New Zealand Abstract Undoubtedly,

More information

VARIABILITY OF THE INFLATION RATE AND THE FORWARD PREMIUM IN A MONEY DEMAND FUNCTION: THE CASE OF THE GERMAN HYPERINFLATION

VARIABILITY OF THE INFLATION RATE AND THE FORWARD PREMIUM IN A MONEY DEMAND FUNCTION: THE CASE OF THE GERMAN HYPERINFLATION VARIABILITY OF THE INFLATION RATE AND THE FORWARD PREMIUM IN A MONEY DEMAND FUNCTION: THE CASE OF THE GERMAN HYPERINFLATION By: Stuart D. Allen and Donald L. McCrickard Variability of the Inflation Rate

More information

Exchange Rate Market Efficiency: Across and Within Countries

Exchange Rate Market Efficiency: Across and Within Countries Exchange Rate Market Efficiency: Across and Within Countries Tammy A. Rapp and Subhash C. Sharma This paper utilizes cointegration testing and common-feature testing to investigate market efficiency among

More information

TESTING THE EXPECTATIONS HYPOTHESIS ON CORPORATE BOND YIELDS. Samih Antoine Azar *

TESTING THE EXPECTATIONS HYPOTHESIS ON CORPORATE BOND YIELDS. Samih Antoine Azar * RAE REVIEW OF APPLIED ECONOMICS Vol., No. 1-2, (January-December 2010) TESTING THE EXPECTATIONS HYPOTHESIS ON CORPORATE BOND YIELDS Samih Antoine Azar * Abstract: This paper has the purpose of testing

More information

MONEY, PRICES, INCOME AND CAUSALITY: A CASE STUDY OF PAKISTAN

MONEY, PRICES, INCOME AND CAUSALITY: A CASE STUDY OF PAKISTAN The Journal of Commerce, Vol. 4, No. 4 ISSN: 2218-8118, 2220-6043 Hailey College of Commerce, University of the Punjab, PAKISTAN MONEY, PRICES, INCOME AND CAUSALITY: A CASE STUDY OF PAKISTAN Dr. Nisar

More information

Study of Relationship Between USD/INR Exchange Rate and BSE Sensex from

Study of Relationship Between USD/INR Exchange Rate and BSE Sensex from DOI : 10.18843/ijms/v5i3(1)/13 DOIURL :http://dx.doi.org/10.18843/ijms/v5i3(1)/13 Study of Relationship Between USD/INR Exchange Rate and BSE Sensex from 2008-2017 Hardeepika Singh Ahluwalia, Assistant

More information

THE BEHAVIOUR OF CONSUMER S EXPENDITURE IN INDIA:

THE BEHAVIOUR OF CONSUMER S EXPENDITURE IN INDIA: 48 ABSTRACT THE BEHAVIOUR OF CONSUMER S EXPENDITURE IN INDIA: 1975-2008 DR.S.LIMBAGOUD* *Professor of Economics, Department of Applied Economics, Telangana University, Nizamabad A.P. The relation between

More information

in equilibrium, are supposed to hold across international markets. Covered Interest Rate Parity Purchasing Power Parity y( (also called the Law of

in equilibrium, are supposed to hold across international markets. Covered Interest Rate Parity Purchasing Power Parity y( (also called the Law of Week 4 The Parities The Parities There are three fundamental parity conditions that, in equilibrium, are supposed to hold across international markets. Covered Interest Rate Parity Purchasing Power Parity

More information

THE TRANSMISSION OF IMPORT PRICES TO DOMESTIC PRICES: AN APPLICATION TO INDONESIA * Peter Warr

THE TRANSMISSION OF IMPORT PRICES TO DOMESTIC PRICES: AN APPLICATION TO INDONESIA * Peter Warr forthcoming: Applied Economics Letters THE TRANSMISSION OF IMPORT PRICES TO DOMESTIC PRICES: AN APPLICATION TO INDONESIA * Peter Warr Australian National University July 2005 Abstract The manner in which

More information

CFA Level II - LOS Changes

CFA Level II - LOS Changes CFA Level II - LOS Changes 2018-2019 Topic LOS Level II - 2018 (465 LOS) LOS Level II - 2019 (471 LOS) Compared Ethics 1.1.a describe the six components of the Code of Ethics and the seven Standards of

More information

CFA Level II - LOS Changes

CFA Level II - LOS Changes CFA Level II - LOS Changes 2017-2018 Ethics Ethics Ethics Ethics Ethics Ethics Ethics Ethics Ethics Topic LOS Level II - 2017 (464 LOS) LOS Level II - 2018 (465 LOS) Compared 1.1.a 1.1.b 1.2.a 1.2.b 1.3.a

More information

Inflation and Stock Market Returns in US: An Empirical Study

Inflation and Stock Market Returns in US: An Empirical Study Inflation and Stock Market Returns in US: An Empirical Study CHETAN YADAV Assistant Professor, Department of Commerce, Delhi School of Economics, University of Delhi Delhi (India) Abstract: This paper

More information

Investigating Causal Relationship between Indian and American Stock Markets , Tamilnadu, India

Investigating Causal Relationship between Indian and American Stock Markets , Tamilnadu, India Investigating Causal Relationship between Indian and American Stock Markets M.V.Subha 1, S.Thirupparkadal Nambi 2 1 Associate Professor MBA, Department of Management Studies, Anna University, Regional

More information

Empirical Evidence of International Fisher Effect in Bangladesh with India and China

Empirical Evidence of International Fisher Effect in Bangladesh with India and China Empirical Evidence of International Fisher Effect in Bangladesh with India and China Md. Mahmudul Alam* PhD Research Fellow Institute for Environment and Development (LESTARI) National University of Malaysia,

More information

DEVELOPMENT OF FINANCIAL SECTOR AN EMPIRICAL EVIDENCE FROM SAARC COUNTRIES

DEVELOPMENT OF FINANCIAL SECTOR AN EMPIRICAL EVIDENCE FROM SAARC COUNTRIES International Journal of Economics, Commerce and Management United Kingdom Vol. II, Issue 11, Nov 2014 http://ijecm.co.uk/ ISSN 2348 0386 DEVELOPMENT OF FINANCIAL SECTOR AN EMPIRICAL EVIDENCE FROM SAARC

More information

Interest Rate Linkages and Capital Market Integration: Evidence from the Americas

Interest Rate Linkages and Capital Market Integration: Evidence from the Americas Interest Rate Linkages and Capital Market Integration: Evidence from the Americas Bharat Bhalla, Ph. D. Fairfield University Bbhalla@mail.fairfield.edu 203 254 4000 Anand Shetty, Ph. D., Iona College Ashetty@iona.edu

More information

Impact of Fed s Credit Easing on the Value of U.S. Dollar

Impact of Fed s Credit Easing on the Value of U.S. Dollar Impact of Fed s Credit Easing on the Value of U.S. Dollar Deergha Raj Adhikari Abstract Our study tests the monetary theory of exchange rate determination between the U.S. dollar and the Canadian dollar

More information

RE-EXAMINE THE INTER-LINKAGE BETWEEN ECONOMIC GROWTH AND INFLATION:EVIDENCE FROM INDIA

RE-EXAMINE THE INTER-LINKAGE BETWEEN ECONOMIC GROWTH AND INFLATION:EVIDENCE FROM INDIA 6 RE-EXAMINE THE INTER-LINKAGE BETWEEN ECONOMIC GROWTH AND INFLATION:EVIDENCE FROM INDIA Pratiti Singha 1 ABSTRACT The purpose of this study is to investigate the inter-linkage between economic growth

More information

Testing Forward Rate Unbiasedness in India an Econometric Analysis of Indo-US Forex Market

Testing Forward Rate Unbiasedness in India an Econometric Analysis of Indo-US Forex Market International Research Journal of Finance and Economics ISSN 1450-2887 Issue 12 (2007) EuroJournals Publishing, Inc. 2007 http://www.eurojournals.com/finance.htm Testing Forward Rate Unbiasedness in India

More information

AN EMPIRICAL ANALYSIS OF THE PUBLIC DEBT RELEVANCE TO THE ECONOMIC GROWTH OF THE USA

AN EMPIRICAL ANALYSIS OF THE PUBLIC DEBT RELEVANCE TO THE ECONOMIC GROWTH OF THE USA AN EMPIRICAL ANALYSIS OF THE PUBLIC DEBT RELEVANCE TO THE ECONOMIC GROWTH OF THE USA Petar Kurečić University North, Koprivnica, Trg Žarka Dolinara 1, Croatia petar.kurecic@unin.hr Marin Milković University

More information

Are Bitcoin Prices Rational Bubbles *

Are Bitcoin Prices Rational Bubbles * The Empirical Economics Letters, 15(9): (September 2016) ISSN 1681 8997 Are Bitcoin Prices Rational Bubbles * Hiroshi Gunji Faculty of Economics, Daito Bunka University Takashimadaira, Itabashi, Tokyo,

More information

INFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE

INFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE INFORMATION EFFICIENCY HYPOTHESIS THE FINANCIAL VOLATILITY IN THE CZECH REPUBLIC CASE Abstract Petr Makovský If there is any market which is said to be effective, this is the the FOREX market. Here we

More information

Threshold cointegration and nonlinear adjustment between stock prices and dividends

Threshold cointegration and nonlinear adjustment between stock prices and dividends Applied Economics Letters, 2010, 17, 405 410 Threshold cointegration and nonlinear adjustment between stock prices and dividends Vicente Esteve a, * and Marı a A. Prats b a Departmento de Economia Aplicada

More information

Market Integration, Price Discovery, and Volatility in Agricultural Commodity Futures P.Ramasundaram* and Sendhil R**

Market Integration, Price Discovery, and Volatility in Agricultural Commodity Futures P.Ramasundaram* and Sendhil R** Market Integration, Price Discovery, and Volatility in Agricultural Commodity Futures P.Ramasundaram* and Sendhil R** *National Coordinator (M&E), National Agricultural Innovation Project (NAIP), Krishi

More information

Estimating a Monetary Policy Rule for India

Estimating a Monetary Policy Rule for India MPRA Munich Personal RePEc Archive Estimating a Monetary Policy Rule for India Michael Hutchison and Rajeswari Sengupta and Nirvikar Singh University of California Santa Cruz 3. March 2010 Online at http://mpra.ub.uni-muenchen.de/21106/

More information

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay. Solutions to Final Exam

The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay. Solutions to Final Exam The University of Chicago, Booth School of Business Business 41202, Spring Quarter 2009, Mr. Ruey S. Tsay Solutions to Final Exam Problem A: (42 pts) Answer briefly the following questions. 1. Questions

More information

Chapter 5 Mean Reversion in Indian Commodities Market

Chapter 5 Mean Reversion in Indian Commodities Market Chapter 5 Mean Reversion in Indian Commodities Market 5.1 Introduction Mean reversion is defined as the tendency for a stochastic process to remain near, or tend to return over time to a long-run average

More information

The Purchasing Power Parity Hypothesis:

The Purchasing Power Parity Hypothesis: Is there evidence from the Bilateral Real Exchange Rate between Mexico and the United States of America? Abstract Nicholas Addai Boamah Department of Real Estate and Land Management University for Development

More information

The efficiency of emerging stock markets: empirical evidence from the South Asian region

The efficiency of emerging stock markets: empirical evidence from the South Asian region University of Wollongong Research Online Faculty of Commerce - Papers (Archive) Faculty of Business 2007 The efficiency of emerging stock markets: empirical evidence from the South Asian region Arusha

More information

What Are Equilibrium Real Exchange Rates?

What Are Equilibrium Real Exchange Rates? 1 What Are Equilibrium Real Exchange Rates? This chapter does not provide a definitive or comprehensive definition of FEERs. Many discussions of the concept already exist (e.g., Williamson 1983, 1985,

More information

Understanding the behavioral equilibrium exchange rate model via its application to the valuation of Chinese renminbi

Understanding the behavioral equilibrium exchange rate model via its application to the valuation of Chinese renminbi MPRA Munich Personal RePEc Archive Understanding the behavioral equilibrium exchange rate model via its application to the valuation of Chinese renminbi Zhibai Zhang 1 January 2010 Online at https://mpra.ub.uni-muenchen.de/40648/

More information

Final Exam. Consumption Dynamics: Theory and Evidence Spring, Answers

Final Exam. Consumption Dynamics: Theory and Evidence Spring, Answers Final Exam Consumption Dynamics: Theory and Evidence Spring, 2004 Answers This exam consists of two parts. The first part is a long analytical question. The second part is a set of short discussion questions.

More information

GDP, Share Prices, and Share Returns: Australian and New Zealand Evidence

GDP, Share Prices, and Share Returns: Australian and New Zealand Evidence Journal of Money, Investment and Banking ISSN 1450-288X Issue 5 (2008) EuroJournals Publishing, Inc. 2008 http://www.eurojournals.com/finance.htm GDP, Share Prices, and Share Returns: Australian and New

More information

Impact of Exports and Imports on USD, EURO, GBP and JPY Exchange Rates in India

Impact of Exports and Imports on USD, EURO, GBP and JPY Exchange Rates in India Impact of Exports and Imports on USD, EURO, GBP and JPY Exchange Rates in India Ms.SavinaA Rebello 1 1 M.E.S College of Arts and Commerce, (India) ABSTRACT The exchange rate has an effect on the trade

More information

1+R = (1+r)*(1+expected inflation) = r + expected inflation + r*expected inflation +1

1+R = (1+r)*(1+expected inflation) = r + expected inflation + r*expected inflation +1 Expecting a 5% increase in prices, investors require greater nominal returns than real returns. If investors are insensitive to inflation risk, then the nominal return must compensate for expected inflation:

More information

Has Australia's floating exchange rate regime been optimal?

Has Australia's floating exchange rate regime been optimal? Has Australia's floating exchange rate regime been optimal? Author Makin, Tony, Rohde, Nicholas Published 2012 Journal Title Economic Modelling DOI https://doi.org/10.1016/j.econmod.2012.03.006 Copyright

More information

Capital structure and profitability of firms in the corporate sector of Pakistan

Capital structure and profitability of firms in the corporate sector of Pakistan Business Review: (2017) 12(1):50-58 Original Paper Capital structure and profitability of firms in the corporate sector of Pakistan Sana Tauseef Heman D. Lohano Abstract We examine the impact of debt ratios

More information

THE IMPACT OF IMPORT ON INFLATION IN NAMIBIA

THE IMPACT OF IMPORT ON INFLATION IN NAMIBIA European Journal of Business, Economics and Accountancy Vol. 5, No. 2, 207 ISSN 2056-608 THE IMPACT OF IMPORT ON INFLATION IN NAMIBIA Mika Munepapa Namibia University of Science and Technology NAMIBIA

More information

A Rising Tide Lifts All Boats

A Rising Tide Lifts All Boats Global Journal of Management and Business Research Marketing Volume 13 Issue 3 Version 1.0 Year 2013 Type: Double Blind Peer Reviewed International Research Journal Publisher: Global Journals Inc. (USA)

More information

Volatility Clustering of Fine Wine Prices assuming Different Distributions

Volatility Clustering of Fine Wine Prices assuming Different Distributions Volatility Clustering of Fine Wine Prices assuming Different Distributions Cynthia Royal Tori, PhD Valdosta State University Langdale College of Business 1500 N. Patterson Street, Valdosta, GA USA 31698

More information