English, Article, Journal or magazine article edition: Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece Nektarios Aslanidis; George Kouretas

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/77063
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Testing for two-regime threshold cointegration in the parallel and official markets for foreign currency in Greece
Author
  • Nektarios Aslanidis
  • George Kouretas
Physical Description
  • preprint
Notes
  • 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 threshold VECM framework. Modeling exchange rates within this context can be motivated by the fact that the transition mechanism is controlled by the parallel market premium. The results show that linearity is rejected in favour of a TVECM specification, which forms statistically an adequate representation of the data. Two regimes are implied by the model; the “typical” regime, which applies most of the time and the “unusual” one associated with economic and political events t hat took place in Greece during the 1980s. Another implication is that in the parallel exchange rate there are strong asymmetries between the two regimes in the speed of adjustment to the long-run equilibrium. Finally, Granger causality runs from the official to the parallel market in both regimes but not vice versa.
  • Parallel market premium, nonlinearity, threshold cointegration, regime switching,
  • RePEc:crt:wpaper:0311
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