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Full-Text Articles in Business
Is Australasia, North And Southeast Asia Becoming A Yen Block?, Colm Kearney, Cal Muckley
Is Australasia, North And Southeast Asia Becoming A Yen Block?, Colm Kearney, Cal Muckley
CRIF Seminar series
We use up to 24 years of weekly data on 11 bilateral yen exchange rates to examine the evidence of an emerging yen bloc in Australasia, North and Southeast Asia. The logarithmic first differences of these exchange rates are modelled in response to variations in their US dollar, German marc, and UK pound counterparts using a general-to-specific dynamic Newey-West estimation strategy. We find strong evidence contrary to the notion of a de facto yen bloc. Each 1 percent rise in the US dollar (German marc, UK pound) effective exchange rate causes a mean 1.27 (1.8, 0.18) percent appreciation in the …
The Purchasing Power Parity Debate, Alan M. Taylor, Mark P. Taylor
The Purchasing Power Parity Debate, Alan M. Taylor, Mark P. Taylor
CRIF Seminar series
No abstract provided.
Deflationary Dynamics In Hong Kong: Evidence From Linear Andneural Network Regime Switching Models, Paul D. Mcnelis, Carrie K.C. Chan
Deflationary Dynamics In Hong Kong: Evidence From Linear Andneural Network Regime Switching Models, Paul D. Mcnelis, Carrie K.C. Chan
CRIF Seminar series
This paper examines deflationary dynamics in Hong Kong with a linear and a nonlinear neural-network regime-switching (NNRS) model. The NNRS model is superior to the linear model in terms of in-sample specification tests as well as out-of-sample forecasting accuracy. As befitting a small and highly open economy, the most important variables affecting inflation and deflation turn out to be the growth rates of import prices and wealth (captured by the rates of growth of residential property prices). The NNRS model indicates that the likelihood of moving out of deflation has been steadily increasing.
The Role Of U.S. Trading In Pricing Internationally Cross-Listed Stocks, Joachim Grammig, Michael Melvin, Christian Schlag
The Role Of U.S. Trading In Pricing Internationally Cross-Listed Stocks, Joachim Grammig, Michael Melvin, Christian Schlag
CRIF Seminar series
No abstract provided.