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Assessing Exchange Rate Hypotheses Within Southern Africa

Assessing Exchange Rate Hypotheses Within Southern Africa

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  • ISBN:9780754636427
  • Editorial: Ashgate
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:220
  • Idiomas:Inglés,Ingles

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Assessing Exchange Rate Hypotheses within Southern Africa focuses on fourteen Southern African Development Community countries (SADC). It features a set of tests of the purchasing power parity (PPP) theorem and the uncovered interest rate parity (UIP) theorem amongst these countries using the very latest time-series econometrics techniques. The analysis employs the Full Information Maximum Likelihood Multivariate Co-integration methodology developed by Johansen (1988, 1991) and Johansen and Juselius (1990, 1991). Of novel interest is the application of a long run structural modeling approach first suggested by Pesaran and Shin (1997). The technique imposes independent theory restrictions on the coefficients of the accepted co-integrating vectors based on long-run economic theory, in order to reach conclusions apropos the validity of the propositions under study. It demonstrates an application of the most recent modeling tools in time-series econometrics

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