Gupta, Rangan; Van Eyden, Renee; Mokoena, Thabo Mishack(University of Pretoria, Department of Economics, 2008-07)
This paper presents a comprehensive literature review of the theoretical and empirical
developments that have taken place over the last two decades in an attempt to address the
exchange rate puzzles. Specifically, we ...
Gupta, Rangan; Van Eyden, Renee; Mokoena, Thabo Mishack(University of Pretoria, Department of Economics, 2008-07)
This paper utilises various recently developed econometric methods to obtain better
approximations to the half-life for real exchange rates of ten South African
Development Community (SADC) countries and to generate ...
Gupta, Rangan; Van Eyden, Renee; Mokoena, Thabo Mishack(University of Pretoria, Department of Economics, 2008-06)
The market microstructure approach has been applied to the three major puzzles of exchange rate
economics: the forward bias puzzle, the excess volatility puzzle, and the exchange rate determination
puzzle. It claims that ...
Gupta, Rangan; Van Eyden, Renee; Mokoena, Thabo Mishack(University of Pretoria, Department of Economics, 2008-06)
This paper utilises “a class test for fractional integration” associated with the seminal contribution of
Hinich and Chong (2007) to appraise the possibility that South African Development Community
(SADC) real exchange ...
Gupta, Rangan; Van Eyden, Renee; Mokoena, Thabo Mishack(University of Pretoria, Department of Economics, 2008-06)
This paper attempts to provide evidence indicating that the Purchasing Power Parity
(PPP) puzzle is becoming less of a puzzle. It present the results of Augmented Dickey-
Fuller (ADF) test, nonlinear tests of nonstationarity, ...
