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All Outputs (3)

Is the relationship between prices and exchange rates homogeneous? (2013)
Journal Article
Hall, S. G., Hondroyiannis, G., Kenjegaliev, A., Swamy, P. A. V. B., & Tavlas, G. S. (2013). Is the relationship between prices and exchange rates homogeneous?. Journal of International Money and Finance, 37, 411-438. https://doi.org/10.1016/j.jimonfin.2013.06.014

Empirical tests of purchasing power parity (PPP) are implicitly based on the conditions of symmetry and proportionality of the price coefficients. We investigate a separate condition, which we term homogeneity. Specifically, while there may be factor... Read More about Is the relationship between prices and exchange rates homogeneous?.

Measuring currency pressures: the cases of the Japanese yen, the Chinese yuan, and the UK pound (2013)
Journal Article
Hall, S. G., Kenjegaliev, A., Swamy, P. A. V. B., & Tavlas, G. S. (2013). Measuring currency pressures: the cases of the Japanese yen, the Chinese yuan, and the UK pound. Journal of the Japanese and International Economies, 29(September), 1-20. https://doi.org/10.1016/j.jjie.2013.04.001

We investigate bilateral currency pressures against the US dollar for three currencies: the Japanese yen, the Chinese yuan, and the UK pound during the period 2000:Q1 to 2009:Q4. We employ a model-based methodology to measure exchange market pressure... Read More about Measuring currency pressures: the cases of the Japanese yen, the Chinese yuan, and the UK pound.

The forward rate premium puzzle: a case of misspecification? (2013)
Journal Article
Hall, S. G., Kenjegaliev, A., Swamy, P. A. V. B., & Tavlas, G. S. (2013). The forward rate premium puzzle: a case of misspecification?. Studies in nonlinear dynamics and econometrics / sponsored by the MIT Press and the Society for Nonlinear Dynamics and Econometrics, 17(3), 265-279. https://doi.org/10.1515/snde-2013-0009

Empirical studies often report a negative relationship between the difference in the spot exchange rate and the forward premium, violating the forward-rate unbiasedness hypothesis. Using standard regression on a sample of ten exchange rates, we obtai... Read More about The forward rate premium puzzle: a case of misspecification?.