Purchasing Power Parity: Granger Causality Tests for the Yen-Dollar Exchange Rate

Purchasing Power Parity and the Real Rand-dollar Exchange Rate

his paper tests for evidence in support of the purchasing power parity (PPP) in the bilateral real exchange rate series of the South African rand against the US dollar. The importance of considering structural breaks in the PPP test is illustrated. Using standard unit root tests without considering structural breaks, the study is unable to reject the null hypothesis of a unit root in the exchan...

Testing for Long-term Memory in Yen / Dollar Exchange Rate

ABSRTRACT This paper exmines evidence of long-term memory in the yen/dollar price change as well as in the daily estimate of volatility of the exchange rate series. The methodology used is due to Lo (1989) which is robust to the presence of heteroscedasticity and is applied to a ten year data set. The result shows no evidence of long-term memory in the price change series indicating efficient p...

Heterogeneous Expectations and Tests of Efficiency in the Yen/dollar Forward Exchange Rate Market By

Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market Abstract This paper examines the efficiency of the forward yen/dollar market using micro survey data. Conventional tests of unbiasedness do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate potential profits of individual forecasters based on a natur...

Purchasing Power Parity Tests in Cointegrated Panels

This paper employs recently developed techniques for testing hypotheses in cointegrated panels to test the strong version of purchasing power parity for a panel of post Bretton Woods data. We compare results using fully modiŽ ed and dynamic OLS approaches , and strongly reject the hypothesis . We also introduce a new between-dimensio n dynamic OLS estimator and Ž nd that the between-dimensio n ...

Nonlinear Adjustment Towards Purchasing Power Parity