کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
966315 | 930948 | 2007 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Regime dependence between the official and parallel foreign currency markets for US dollars in Greece
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This paper models the short-run as well as the long-run relationship between the parallel and official markets for US dollars in Greece in a bivariate Markov Switching Vector Error Correction Model (MS-VECM) framework. Modelling exchange rates within this context can be motivated by the fact that the change in regime should be considered as a random event and not predictable. The results show that linearity is rejected in favour of a MS-VECM specification, which forms statistically an adequate representation of the data. Two regimes are implied by the model; the high volatility regime and the low volatility one and they provide quite accurately the state of volatility associated with economic and political events that took place in Greece during the 1970s and 1980s. Another implication is that there is evidence of regime clustering. Finally, Granger causality seems to be regime independent when we consider the hypothesis that official rate causes the parallel rate but it is regime dependent when we consider the opposite direction.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Macroeconomics - Volume 29, Issue 2, June 2007, Pages 431-449
Journal: Journal of Macroeconomics - Volume 29, Issue 2, June 2007, Pages 431-449
نویسندگان
Angelos Kanas, Georgios P. Kouretas,