assumption of exchange rate overshooting has significant position in international macroeconomic discussion. this phenomenon is one of the abnormal behaviors of exchange rate that happen in short run. dornbusch (1976) shows that because speed of equilibrium prices is slow relative to asset markets and commodity prices are sticky in the short run, however, over time, commodity prices will rise a...

This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian vector error correction (BVEC) models in forecasting the exchange rates for ve Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Polish Zloty, Slovak Koruna and Slovenian Tolar) agains...

Assumption of exchange rate overshooting has significant position in international macroeconomic discussion. This phenomenon is one of the abnormal behaviors of exchange rate that happen in short run. Dornbusch (1976) shows that because speed of equilibrium prices is slow relative to asset markets and commodity prices are sticky in the short run, However, over time, commodity prices will rise a...

in this paper asymmetric price transmission mechanism and nonlinear adjustment between producer and retail prices of milk were examined in zanjan province of iran. for this purpose, a two-regime threshold vector error correction model (tvecm) and a sup-lm test developed by hansen and seo (2002) were employed for checking presence of a threshold effect. application of unit root tests indicated t...

The longtime perplexing purchasing power parity (PPP) puzzle has been recently resolved empirically by using the pure price inflation rates extracted and estimated by a pioneering financial-asset pricing approach. Applying the same extracted inflation rates, we estimate a vector error-correction (VEC) model of prices and the Japanese yen per U.S. dollar exchange rate, and find strong evidence s...

Abstract The paper is focused on comparing the forecasting performance of two relatively new types Vector Error Correction - Multiplicative Stochastic Factor (VEC-MSF) specifications: VEC-MSF with constant conditional correlations, and VEC-MSF-SBEKK time-varying correlations. For sake comparison, random walks, vector autoregressions (VAR) covariance matrix, VAR-SBEKK models are also considered....

One of Ethiopia’s main challenges is increasing wheat production and productivity by designing implementing an appropriate policy. The country has a supply demand gap, forcing the to spend substantial amount foreign currency for imports, which are primarily derived from coffee oilseed exports. imbalance between presents serious policy issues. purpose this study was evaluate effects policy, proc...

the iranian poultry sector has experienced many significant structural changes in recent years. such changes may have influenced price dynamics and transmission of shocks through marketing channels especially on retail markets. this paper investigate price transmission, threshold behavior and asymmetric adjustment in poultry sector of ardebil (ar), east azerbaijan (ea) and west azerbaijan (wa) ...

this study aims to estimate the function of copper consumption using the johansen approach in time series data, between 1991-2011 in iran. the literature review of specialized consumption and demand functions shows factors influencing the consumption of copper including copper price variables, aluminum price as a substitute commodity, oil price as a complementary commodity, and industrializatio...