Nothing Special   »   [go: up one dir, main page]
create a website
Global and country-specific factors in real effective exchange rates. (2015). Nagayasu, Jun.
In: MPRA Paper.
RePEc:pra:mprapa:64217.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 51

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Alessi, L., M. Barigozzi and M. Capasso (2010). Improved penalization for determining the number of factors in approximate factor models. Statistics and Probability Letters 80, 1806-1813.

  2. Andrews, D. W. K. (1993). Tests for parameter instability and structural change with unknown change point. Econometrica 61 (4), 821–856.

  3. Andrews, D. W. K. and W. Ploberger (1994). Optimal tests when a nuisance parameter is present only under the alternative, Econometrica 62(6), 1383-1414.

  4. Bai, J. and S. Ng (2002). Determining the number of factors in approximate factor models. Econometrica 70, 191-221.

  5. Bayoumi, T., G. Fazio, M. Kumar, and R. MacDonald (2007). Fatal attraction: Using distance to measure contagion in good times as well as bad. Review of Financial Economics 16 (3), 259 – 273.

  6. Bernanke, B., J. Boivin, and P. S. Eliasz (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. The Quarterly Journal of Economics 120 (1), 387–422.

  7. Bhalla, S. S. (2008). Economic development and the role of currency undervaluation. Cato Journal 28, 313–340.

  8. Brixiova, Z., B. Egert, and T. H. A. Essid (2013). The real exchange rate and external com- petitiveness in Egypt, Morocco and Tunisia. African Development Bank Group Working Paper 187.

  9. Byrne, J. P. and J. Nagayasu (2010). Structural breaks in the real exchange rate and real interest rate relationship. Global Finance Journal 21 (2), 138–151.

  10. Canova, F. and M. Ciccarelli (2009). Estimating multicountry VAR models. International Economic Review 50 (3), 929–959.

  11. Cayen, J.-P., D. Coletti, R. Lalonde, and P. Maier (2010). What drives exchange rates? new evidence from a panel of U.S. dollar bilateral exchange rates. Technical report, Bank of Canada Working Paper 2010-5.

  12. Chinn, M. D. and J. A. Frankel (1995). Who drives real interest rates around the Pacific Rim: the USA or Japan? Journal of International Money and Finance 14(6), 801-821.

  13. Choi, I. (2001). Unit root tests for panel data. Journal of International Money and Finance 20, 249–272.

  14. Cumby, R. E. and F. S. Mishkin (1986). The international linkage of real interest rates: the European-US connection. Journal of International Money and Finance 5(1), 5-23.

  15. Dungey, M. (1999). Decomposing exchange rate volatility around the Pacific Rim. Journal of Asian Economics 10 (4), 525 – 535.

  16. Eberhardt, M. and S. Bond, 2009, Cross-section dependence in nonstationary panel models: a novel estimator, MPRA No. 17870.

  17. Edison, H. J. and B. D. Pauls (1993). A re-assessment of the relationship between real exchange rates and real interest rates: 1974–1990. Journal of Monetary Economics 31, 165–87.

  18. Edison, H. J. and W. R. Melick (1999). Alternative approaches to real exchange rates and real interest rates: three up and three down. International Journal of Finance & Economics 4(2), 93-111.

  19. Fisher, R. A. (1932). Statistical Methods for Research Workers 4th ed. Edinburgh: Oliver & Boyd.
    Paper not yet in RePEc: Add citation now

  20. Foerster, A. T., P.-D. G. Sarte, and M. W. Watson (2011). Sectoral versus aggregate shocks: A structural factor analysis of industrial production. Journal of Political Economy 119, 1 – 38.

  21. Forbes, K. J. and R. Rigobon (2002). No contagion, only interdependence: Measuring stock market comovements. Journal of Finance 57 (5), 2223–2261.

  22. Forni, M., M. Hallin, M. Lippi, and L. Reichlin (2000). The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics 82 (4), pp. 540–554.

  23. Frankel, J. and S.-J. Wei (2008). Estimation of de facto exchange rate regimes: Synthesis of the techniques for inferring flexibility and basket weights. IMF Staff Papers 55 (3), 384–416.

  24. Gagnon, J. E. and M. D. Unferth (1995). Is there a world real interest rate? Journal of International Money and Finance 14(6), 845-855.

  25. Gerlach, S. and F. Smets (1995). Contagious speculative attacks. European Journal of Political Economy 11 (1), 45–63.

  26. Geweke, J. and G. Zhou (1996). Measuring the pricing error of the arbitrage pricing theory. Review of Financial Studies 9, 557-587.

  27. Geweke, J. and S. Porter-Hudak (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, 221-238.
    Paper not yet in RePEc: Add citation now

  28. Goodwin, B. K. and T. J. Grennes (1994). Real interest rate equalization and the integration of international financial markets. Journal of International Money and Finance 13(1), 107-124.

  29. Granger, C. W. J and R. Joyeux (1980). An introduction to long-memory time series models and fractional differencing. Journal of Time Series Analysis 1(1), 15-29.

  30. Hallwood, C. P. and R. MacDonald, 2000, International Money and Finance, 3rd ed., Oxford: Blackwell.
    Paper not yet in RePEc: Add citation now

  31. Hansen, B. E. (1997). Approximate asymptotic p values for structural-change tests. Journal of Business & Economic Statistics 15(1), 60-67.

  32. Koedijk, K. and P. Schotman (1989). Dominant real exchange rate movements. Journal of International Money and Finance 8 (4), 517 – 531.

  33. Koop, G. (2003). Bayesian Econometrics. John Wiley & Sons.
    Paper not yet in RePEc: Add citation now

  34. Kose, M. A., C. Otrok, and C. H. Whiteman (2003). International business cycles: World, region, and country-specific factors. American Economic Review 93 (4), 1216–1239.

  35. Levin, A., C.-F. Lin, and C.-S. J. Chu (2002). Unit root tests in panel data: Asymptotic and finite-sample properties, Journal of Econometrics 108, 1–24.

  36. Liu, Y., M.-S. Pan, and J. Shieh (1998). International transmission of stock price movements: Evidence from the U.S. and five Asian-Pacific markets. Journal of Economics and Finance 22, 59–69.

  37. Longin, F. and B. Solnik (1995). Is the correlation in international equity returns constant: 1960-1990? Journal of International Money and Finance 14 (1), 3–26.

  38. MacDonald, R., and J. Nagayasu (2000). The long-run relationship between real exchange rates and real interest rate differentials: a panel study. IMF Staff Papers 47(1), 116-128.

  39. Masson, P. R. (1998). Contagion-monsoonal effects, spillovers, and jumps between multiple equilibria. IMF Working Papers 98/142, International Monetary Fund.

  40. Mbaye, S. (2013). Currency uundervaluation and growth: is there a productivity channel? International Economics 133, 8-28.

  41. McKinnon, R. and G. Schnabl (2003). Synchronised business cycles in east asia and fluctuations in the yen/dollar exchange rate. The World Economy 26 (8), 1067–1088.

  42. Monadjemi M. (1997). International interest rates linkages: evidence from OECD countries. International Review of Financial Analysis 6(3), 229-240.

  43. Mumtaz, H. and P. Surico (2012). Evolving international inflation dynamics: world and country- specific factors. Journal of the European Economic Association 10 (4), 716–734.

  44. Nellis, J. G. (1982). A principal components analysis of international financial integration under fixed and floating exchange rate regimes. Applied Economics 14 (4), 339–354.
    Paper not yet in RePEc: Add citation now

  45. Obstfeld, M. and R. S. Kenneth (1996). Foundations of International Macroeconomics. MIT Press.

  46. Pesaran, M. H. and R. Smith (1995). Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 68(1), 79-113.

  47. Phillips, P. C.B., 1999, Discrete fourier transforms of fractional processes, 1999, Working paper No. 1243, Cowles Foundation for Research in Economics, Yale University.

  48. Reinhart, C. M. and S. Calvo (1996). Capital flows to Latin America: Is there evidence of contagion effects? In G. A. Calvo, M. Goldstein, and E. Hochreiter (Eds.), Private Capital Flows to Emerging Markets After the Mexican Crisis, Peterson Institute Press: Chapters, pp. 151–171. Peterson Institute for International Economics.

  49. Rodrik, D. (2008). The real exchange rate and growth. Harvard University .

  50. UNCTAD (2012). Development and globalization: facts and figures 2012. UNCTAD: Geneva.
    Paper not yet in RePEc: Add citation now

  51. Volosovych, V. (2013). Learning about financial market integration from principal components analysis. CESifo Economic Studies 59 (2), 360–391.

Cocites

Documents in RePEc which have cited the same bibliography

  1. On the applicability of dynamic factor models for forecasting real GDP growth in Armenia. (2021). Poghosyan, Karen.
    In: Applied Econometrics.
    RePEc:ris:apltrx:0411.

    Full description at Econpapers || Download paper

  2. Housing Demand Shocks and Households’ Balance Sheets. (2021). Anderes, Marc.
    In: KOF Working papers.
    RePEc:kof:wpskof:21-492.

    Full description at Econpapers || Download paper

  3. Nonlinear factor models for network and panel data. (2021). Fernandez-Val, Ivan ; Weidner, Martin ; Chen, Mingli.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:220:y:2021:i:2:p:296-324.

    Full description at Econpapers || Download paper

  4. Sequential testing for structural stability in approximate factor models. (2018). Trapani, Lorenzo ; Barigozzi, Matteo.
    In: Papers.
    RePEc:arx:papers:1708.02786.

    Full description at Econpapers || Download paper

  5. Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

    Full description at Econpapers || Download paper

  6. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201543.

    Full description at Econpapers || Download paper

  7. Global and country-specific factors in real effective exchange rates. (2015). Nagayasu, Jun.
    In: MPRA Paper.
    RePEc:pra:mprapa:64217.

    Full description at Econpapers || Download paper

  8. Forecasting Core Inflation: The Case of South Africa. (2015). Ruch, Franz ; GUPTA, RANGAN ; Balcilar, Mehmet ; Modise, Mampho P ; Balcilarauthor-Name, Mehmet .
    In: Working Papers.
    RePEc:emu:wpaper:15-08.pdf.

    Full description at Econpapers || Download paper

  9. Geographical diversification with a World Volatility Index. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:30:y:2015:i:c:p:62-82.

    Full description at Econpapers || Download paper

  10. A cross-volatility index for hedging the country risk. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:38:y:2015:i:c:p:25-41.

    Full description at Econpapers || Download paper

  11. Cross-market volatility index with Factor-DCC. (2015). Chevallier, Julien ; Aboura, Sofiane.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:132-140.

    Full description at Econpapers || Download paper

  12. Asymptotic analysis of the squared estimation error in misspecified factor models. (2015). Onatski, Alexei.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:186:y:2015:i:2:p:388-406.

    Full description at Econpapers || Download paper

  13. Dynamic factor models with infinite-dimensional factor spaces: One-sided representations. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:185:y:2015:i:2:p:359-371.

    Full description at Econpapers || Download paper

  14. Empirical Analysis of Agricultural Commodity Prices, Crude Oil Prices and US Dollar Exchange Rates using Panel Data Econometric Methods. (2015). Rezitis, Anthony.
    In: International Journal of Energy Economics and Policy.
    RePEc:eco:journ2:2015-03-28.

    Full description at Econpapers || Download paper

  15. Labour market adjustments in Europe and the US: How different?. (2015). Smets, Frank ; Beyer, Robert ; Beyer, Robert C. M., .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20151767.

    Full description at Econpapers || Download paper

  16. Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment. (2015). Ruiz, Esther ; Poncela, Pilar.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1502.

    Full description at Econpapers || Download paper

  17. Dynamic Factor Models with Infinite-Dimensional Factor Space: Asymptotic Analysis. (2015). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:10618.

    Full description at Econpapers || Download paper

  18. Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2015). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-58.

    Full description at Econpapers || Download paper

  19. Supervision in Factor Models Using a Large Number of Predictors. (2015). Hillebrand, Eric ; Boldrini, Lorenzo .
    In: CREATES Research Papers.
    RePEc:aah:create:2015-38.

    Full description at Econpapers || Download paper

  20. Lending standards, credit booms and monetary policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
    In: IMFS Working Paper Series.
    RePEc:zbw:imfswp:85.

    Full description at Econpapers || Download paper

  21. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities. (2014). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:19792.

    Full description at Econpapers || Download paper

  22. Lending Standards, Credit Booms and Monetary Policy. (2014). Güntner, Jochen ; Afanasyeva, Elena ; Guntner, Jochen.
    In: Economics working papers.
    RePEc:jku:econwp:2014_11.

    Full description at Econpapers || Download paper

  23. Cross-market index with Factor-DCC. (2014). Chevallier, Julien ; Aboura, Sofiane.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:158-166.

    Full description at Econpapers || Download paper

  24. Selection of the number of factors in presence of structural instability: a Monte Carlo study. (2014). Stevanovic, Dalibor ; MAO TAKONGMO, Charles Olivier.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2014s-44.

    Full description at Econpapers || Download paper

  25. Nowcasting global economic growth: A factor-augmented mixed-frequency approach.. (2014). Marsilli, Clément ; Ferrara, Laurent.
    In: Working papers.
    RePEc:bfr:banfra:515.

    Full description at Econpapers || Download paper

  26. Important Channels of Transmission Monetary Policy Shock in South Africa. (2013). Kabundi, Alain ; Ndou, Eliphas ; Nombulelo Gumata, Alain Kabundi, .
    In: Working Papers.
    RePEc:rza:wpaper:375.

    Full description at Econpapers || Download paper

  27. Forecasting the US Real Private Residential Fixed Investment Using Large Number of Predictors. (2013). Miller, Stephen ; GUPTA, RANGAN ; Balcilar, Mehmet ; Aye, Goodness C..
    In: Working Papers.
    RePEc:pre:wpaper:201348.

    Full description at Econpapers || Download paper

  28. Shrinkage estimation of high-dimensional factor models with structural instabilities. (2013). Schorfheide, Frank ; Liao, Zhipeng ; Cheng, Xu.
    In: Working Papers.
    RePEc:fip:fedpwp:14-4.

    Full description at Econpapers || Download paper

  29. The common component of firm growth. (2013). Capasso, Marco ; Barigozzi, Matteo ; Alessi, Lucia.
    In: Structural Change and Economic Dynamics.
    RePEc:eee:streco:v:26:y:2013:i:c:p:73-82.

    Full description at Econpapers || Download paper

  30. Factor models in high-dimensional time series—A time-domain approach. (2013). Lippi, Marco ; Hallin, Marc.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:123:y:2013:i:7:p:2678-2695.

    Full description at Econpapers || Download paper

  31. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:11:p:4299-4309.

    Full description at Econpapers || Download paper

  32. Dynamic Factor Models: A review of the Literature .. (2013). Barhoumi, Karim ; Ferrara, Laurent ; Darné, Olivier ; Darne, O..
    In: Working papers.
    RePEc:bfr:banfra:430.

    Full description at Econpapers || Download paper

  33. Uncertainty and heterogeneity in factor models forecasting. (2013). Monteforte, Libero ; Luciani, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_930_13.

    Full description at Econpapers || Download paper

  34. Do euro area countries respond asymmetrically to the common monetary policy?. (2013). Luciani, Matteo ; Conti, Antonio ; Barigozzi, Matteo.
    In: Temi di discussione (Economic working papers).
    RePEc:bdi:wptemi:td_923_13.

    Full description at Econpapers || Download paper

  35. Identifying the Independent Sources of Consumption Variation. (2012). Moneta, Alessio ; Barigozzi, Matteo.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2012/16.

    Full description at Econpapers || Download paper

  36. An alternative business cycle dating procedure for South Africa. (2012). Ruch, Franz ; Bosch, Adl .
    In: Working Papers.
    RePEc:rza:wpaper:267.

    Full description at Econpapers || Download paper

  37. Forecasting House Prices for the Four Census Regions and the Aggregate US Economy: The Role of a Data-Rich Environment. (2012). GUPTA, RANGAN.
    In: Working Papers.
    RePEc:pre:wpaper:201214.

    Full description at Econpapers || Download paper

  38. Efficient Estimation of Approximate Factor Models. (2012). Liao, Yuan ; Bai, Jushan.
    In: MPRA Paper.
    RePEc:pra:mprapa:41558.

    Full description at Econpapers || Download paper

  39. Do Euro area countries respond asymmetrically to the common monetary policy?. (2012). Luciani, Matteo ; Barigozzi, Matteo ; Conti, Antonio .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:43344.

    Full description at Econpapers || Download paper

  40. Do disaggregated CPI data improve the accuracy of inflation forecasts?. (2012). Ibarra, Raul.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:29:y:2012:i:4:p:1305-1313.

    Full description at Econpapers || Download paper

  41. Short-term forecasting of the Japanese economy using factor models. (2012). Lombardi, Marco ; Godbout, Claudia .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121428.

    Full description at Econpapers || Download paper

  42. Dynamic Factor Models with Infinite-Dimensional Factor Space: One-Sided Representations. (2012). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/134458.

    Full description at Econpapers || Download paper

  43. Monetary Policy and the Housing Market: A Structural Factor Analysis. (2012). Luciani, Matteo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/129931.

    Full description at Econpapers || Download paper

  44. A model for vast panels of volatilities. (2012). Veredas, David ; Luciani, Matteo.
    In: Working Papers.
    RePEc:bde:wpaper:1230.

    Full description at Econpapers || Download paper

  45. Short-Term Forecasting of the Japanese Economy Using Factor Models. (2012). Lombardi, Marco ; Godbout, Claudia .
    In: Staff Working Papers.
    RePEc:bca:bocawp:12-7.

    Full description at Econpapers || Download paper

  46. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: DSS Empirical Economics and Econometrics Working Papers Series.
    RePEc:sas:wpaper:20115.

    Full description at Econpapers || Download paper

  47. Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets. (2011). Kabundi, Alain ; Duncan, Andrew.
    In: Working Papers.
    RePEc:rza:wpaper:253.

    Full description at Econpapers || Download paper

  48. Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors. (2011). Uwilingiye, Josine ; GUPTA, RANGAN ; Modise, Mampho P..
    In: Working Papers.
    RePEc:pre:wpaper:201122.

    Full description at Econpapers || Download paper

  49. Forecasting economic growth in the euro area during the Great Moderation and the Great Recession. (2011). Maier, Philipp ; Lombardi, Marco.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20111379.

    Full description at Econpapers || Download paper

  50. One-Sided Representations of Generalized Dynamic Factor Models. (2011). Lippi, Marco ; Hallin, Marc ; Forni, Mario ; Zaffaroni, Paolo.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/94959.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-15 13:47:17 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.