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CAN WE EXPLAIN THE LONG-TERM REAL EQUILIBRIUM EXCHANGE RATES THROUGH PURCHASING POWER PARITY?

100%
Feridun M.
Ekonomický časopis (Journal of Economics)
|
2005
|
vol. 53
|
issue 3
273-282
EN
Purchasing Power Parity (PPP) is the most conventional and fundamental means through which the long-term equilibrium exchange rate can be explained. This article examines the monthly and quarterly data from January 1965 - January 1995 aiming at testing the validity of PPP as a long-term equilibrium condition for the bilateral exchange rates between US Dollar and the currencies of a set of five industrialized countries, namely Germany, France, Australia, Canada, and the United Kingdom, using Augmented Dickey Fuller (ADF) unit root test. Results indicate that both monthly and quarterly US Dollar - Canadian Dollar real exchange rates are stationary. In case of US Dollar- Australian Dollar real exchange rate, only monthly data is found to be stationary. Strong evidence emerges that US Dollar - French Franc, US Dollar - German Mark, and US Dollar - Great Britain Pound exchange rates are non-stationary, which invalidates the PPP hypothesis.
2
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IMPACT OF OIL PRICES ON THE DOMESTIC CURRENCY IN A SMALL INDUSTRIAL ECONOMY WITHOUT OIL RESOURCES

63%
Feridun M., Michailidis G.
International Journal of Emerging and Transition Economies (IJETE)
|
2008
|
vol. 1
|
issue ISSUE2
181-189
EN
This study aims at investigating the link between international oil prices and the exchange rate in case of a small open industrial economy without oil resources such as Poland. The results of Granger-causality test show that the null hypotheses of Zloty-US dollar exchange rate does not granger cause rejection of Oil Price is not rejected while there exists reverse causality in 3 and 4 year lags at 5% and 10% levels. Therefore, we conclude that increases in oil prices have had a positive impact on the exchange rates over the period between 1982:12 and 2006:05.
3

LONG-RUN RELATIONSHIP BETWEEN ECONOMIC GROWTH AND STOCK RETURNS: AN EMPIRICAL INVESTIGATION ON CANADA AND THE UNITED STATES

51%
Sawhney B., Anoruo E., Feridun M.
Ekonomický časopis (Journal of Economics)
|
2006
|
vol. 54
|
issue 6
584-596
EN
This article examines the long run relationship between economic growth and stock prices for Canada and the United States through cointegration estimation procedure, and it implements the Vector Error Correction Models (VECM) to abstract simultaneously the short- and long-run information in the modelling process. The results from the cointegration tests reveal that economic growth and stock prices share long run equilibrium relationship for both Canada and the U.S. The results from the VECM indicate that for the U.S., causality runs from economic growth to stock prices but not vice versa. However for Canada, the results reveal that there is a bi-directional causality between economic growth and stock prices.
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