The purpose of this paper is to investigate the ability of parameter instability tests in regressions with I(1) processes to discriminate between changes in the cointegrating relationship and changes in the marginal distribution of the regressors. Using annual data for the G-7 countries and the Purchasing Power Parity, we conclude that the regression coefficient between the price level differen...

abstract i n this paper, we investigate the existence and the nature of real exchange rate misalignment in organization of the petroleum exporting countries (opec). to do this we estimated a cross country basic real exchange rate determination model for 1990-2012 and extracted historic trend of misalignment. the results imply that all opec countries have had misalignment -of different kinds tho...

The behavior of exchange rate in various exchange markets is not seemingly predictable, while there are different forecasting methods to do so. One of these methods is to use fractals to identify exchange rate behavior. This paper has made attempts to explore the properties of fractals in Iran’s exchange market in order to it can predict and analyze the trend of exchange rate. Accordingly, th...

The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution illustrates their usefulness in predicting the downside risk of financial assets in the context of mode...

We present an empirical investigation of the hypotheses that exchange rate uncertainty may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries’ bilateral real trade flows over the period 1980–1998. Similar to the findings of earlier theoretical and empirical research, our first set of results shows that the impact of exchange rate ...

We present an empirical investigation of the hypotheses that exchange rate volatility may have an impact on both the volume and variability of trade flows by considering a broad set of industrial countries’ bilateral real trade flows over the period 1980–1998. Similar to the findings of earlier theoretical and empirical research, our first set of results shows that the impact of exchange rate u...

The exchange rate plays an essential role for firms which export goods and import raw materials. In this paper, the effects of real specific exchange rate fluctuations in imports, exports and aggregate trade on industry sector, chemical and transportation industries outputs in 49 OIC countries were investigated by using a panel data model over 1990-2014. Particularly, this paper presents eviden...

exchange rate has the fundamental role as one of the economy key variables in determining the domestic price. so it is important to know how is the empirical relationship between the exchange rate and domestic prices and the factors influencing this relationship. the main objective of this study is to determine the effect of vehichel imports share on the exchange rate pass – through on domestic...

This study re-examines the validity of Purchasing Power Parity (PPP) by focusing on the real effective exchange rates (REERs) for the post-Bretton Woods period, using newly developed unit root tests that account for both nonlinearity and smooth temporary multiple breaks in the data. The tests are applied to the REERs of 23 developed countries and are able to reject the null hypothesis of a unit...

The breakdown of the Bretton Woods system and the adoption of generalized ‡oating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. In the present paper we propose more general STAR transition functions which encompass both threshold nonlineari...