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Fundamental Approach To Exchange Rate Modeling: Toward An Augmented Theory Of Purchasing Power Parity, Jianzhou Zhu
Fundamental Approach To Exchange Rate Modeling: Toward An Augmented Theory Of Purchasing Power Parity, Jianzhou Zhu
Doctoral Dissertations
In this dissertation, I test the homogeneity and symmetry conditions of PPP by applying the Johansen multivariate cointegration methodology to quarterly data for six countries. I perform the tests in the framework of both a traditional version and an augmented version of PPP. The results of tests on the traditional version of PPP reveal that in all cases the theoretical PPP-vector [1, 1, −1] is not contained in the cointegrating space. This finding is consistent with that of existing literature and indicates the empirical failure of the homogeneity and symmetry conditions of PPP. However, when the traditional PPP is augmented …
Two Essays On Exchange -Traded Funds, Natalya Vladimir Delcoure
Two Essays On Exchange -Traded Funds, Natalya Vladimir Delcoure
Doctoral Dissertations
The purpose of this study is twofold. The first objective is to conduct an empirical inquiry into the diversification benefits of exchange-traded funds. The second objective is to examine whether exchange-traded funds exhibit superior performance compared to their rival closed-end country fund and traditional index mutual fund. I document that American investors manifest their preference for WEBS as a substitute for closed-end country funds. While I find that WEBS satisfy their objective of following their home indexes better than their rival closed-end country fund, the two-factor model I employ indicates that, despite some diversification benefits, WEBS also maintain certain risk …