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Full-Text Articles in Social and Behavioral Sciences
It's Not Yen, Euro Or Koala Bloc: Greenback Is Still Dominant In East Asia, Gulasekaran Rajaguru, Ahmed Khalid, Frank Barbera
It's Not Yen, Euro Or Koala Bloc: Greenback Is Still Dominant In East Asia, Gulasekaran Rajaguru, Ahmed Khalid, Frank Barbera
Gulasekaran Rajaguru
Given the nature of East Asia’s economic structure, interregional exchange rate stability is an essential requirement for regional economic integration. One way to achieve exchange rate stability is for the region to adopt an anchor currency. However, the choice of a potential anchor is an important question for policy planners. This paper examines the role of 5 major currencies as candidates for an anchor currency in the East Asian region. In particular, the paper examines the dynamic linkages between a selected sample of East Asian currencies with each potential anchor currency, the Australian dollar, Japanese yen, euro, US dollar and …
A Gaussian Test For Unit Roots With An Application To Great Ratios, Tilak Abeysinghe, Gulasekaran Rajaguru
A Gaussian Test For Unit Roots With An Application To Great Ratios, Tilak Abeysinghe, Gulasekaran Rajaguru
Gulasekaran Rajaguru
Non-standard distributions are a common feature of many tests for unit-roots and cointegration that are currently available. The main problem with non-standard distributions is that when the true data generating process is unknown, which is the case in general, it is not easy to engage in a specification search because the distribution changes as the specification changes, especially with respect to deterministic components. We use a mixed-frequency regression technique to develop a test for cointegration under the null of stationarity of the deviations from a long-run relationship. What is noteworthy about this MA unit root test, based on a variance-difference, …
Temporal Aggregation, Cointegration And Causality Inference, Gulasekaran Rajaguru, Tilak Abeysinghe
Temporal Aggregation, Cointegration And Causality Inference, Gulasekaran Rajaguru, Tilak Abeysinghe
Gulasekaran Rajaguru
Temporal aggregation creates contemporaneous correlations, alters dynamic links and may distort causality inference. Since cointegration is invariant to temporal aggregation and implies Granger causality this paper presents a sign rule for causal inference and contemporaneous conditioning in regression models.