English, Article edition: UNOFFICIAL EXCHANGE RATES IN BANGLADESH: A COINTEGRATION ANALYSIS Jalal U. Siddiki

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/185515
Physical Description
  • article
Language
  • English

Edition details

Title
  • UNOFFICIAL EXCHANGE RATES IN BANGLADESH: A COINTEGRATION ANALYSIS
Author
  • Jalal U. Siddiki
Physical Description
  • article
Notes
  • This article estimates a structural model for unofficial market foreign exchange (forex) rates "(E"U")" and examines the stability of the forex market in Bangladesh using an autoregressive distributed lag approach to cointegration analysis on quarterly data from 1976Q2-1995Q2. It also compares the in-sample and out-of-sample (from 1995Q3-1999Q2) forecasting performances of the structural model with other timE-series models. With "E"U"" as a dependent variable and official exchange rates "(E"O")", money supply "(M)", the difference between foreign and domestic interest rates "(I)", forex reserves relative to imports "(Q)" and political along with some structural factors "(D85)" as explanatory variables, a multivariate cointegrated relationship is found in which "E"O", Q", and "I" cause an appreciation and "M" and "D85" cause a depreciation in "E"U"". These results imply that the overvaluation of the official exchange rate, increases in money supply, the paucity of official forex reserves, and structural factors are the main causes for the creation of the unofficial market for forex in Bangladesh. Results also reveal that the forex market in Bangladesh is stable during the sample period. The structural model performs well in in-sample prediction, and the random walk model performs best in out-of-sample forecasting. Copyright 2002 Western Economic Association International.
  • RePEc:bla:coecpo:v:20:y:2002:i:3:p:288-300
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment