We examine the long-run relationship between remittances and the real exchange rate for less deve... more We examine the long-run relationship between remittances and the real exchange rate for less developed countries using a panel cointegration approach. We employ an innovative method for the measurement of the multilateral real effective exchange rate and we focus on high remittance economies. We find a small inelastic, but significant, long-run relationship which confirms a “Dutch disease” type effect. Short-run
Purpose The purpose of this paper is to analyze volatility transmission between the Japanese st... more Purpose The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and Kroner ...
Applying a stochastic production frontier to sector-level data within manufacturing, this paper e... more Applying a stochastic production frontier to sector-level data within manufacturing, this paper examines total factor productivity (TFP) growth for eight East Asian economies during 1963-1998, using both single country and cross-country regression. The analysis focuses on the trend of technological progress (TP) and technical efficiency change (TEC), and the role of productivity change in economic growth. The empirical results reveal
... With respect to the above-mentioned recent studies of linear real exchange rate adjustment or... more ... With respect to the above-mentioned recent studies of linear real exchange rate adjustment or adjustment towards PPP in Asian economies, Bhatti (20005. Bhatti, Razzaque H. 2000. ... However, Basher & Mohsin (20044. Basher, Syed A. and Mohsin, Mohammed. 2004. ...
This paper investigates the possibility that the adjustment towards long-run relative purchasing ... more This paper investigates the possibility that the adjustment towards long-run relative purchasing power parity (PPP) is dependent upon the nature of deviations from PPP that are experienced. While existing studies involving developed and less developed countries often find against PPP having employed linear tests of non-stationarity or non-cointegration, we employ a new cointegration test, recently advocated by Enders and Siklos and Enders and Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative deviations of the real exchange rate from its equilibrium value. Using a sample often African economies with data taken from the post-Bretton Woods floating exchange rate era, long-run PPP holds in eight of these cases if an explicit distinction is made between positive and negative deviations. Across the sample, we find variation in the type of asymmetry experienced and the roles played by price and nominal exchange rate adjustment. Copyright 2005 Economic Society of South Africa.
ABSTRACT For more than four decades, the New Zealand Institute of Economic Research (NZIER) has c... more ABSTRACT For more than four decades, the New Zealand Institute of Economic Research (NZIER) has conducted a two-question, quarterly survey of architect forecasts of public and private sector construction expenditure. This qualitative survey is published one week after the end of each quarter and nine weeks ahead of the official quantitative data thereby giving architect opinion nowcasting status. This paper covers selected aspects of this unexplored series with particular reference to residential housing construction and the value-added information from architects as nowcasters. Specifically, we consider several qualitative-to-quantitative conversion methods, in-sample and out-of-sample performance, cyclical features and respondent dynamics. Although our work relates to architects - a sub-sector of the service industry - our results have a wider application to business survey questions using ordered qualitative responses.
We examine the long-run relationship between remittances and the real exchange rate for less deve... more We examine the long-run relationship between remittances and the real exchange rate for less developed countries using a panel cointegration approach. We employ an innovative method for the measurement of the multilateral real effective exchange rate and we focus on high remittance economies. We find a small inelastic, but significant, long-run relationship which confirms a “Dutch disease” type effect. Short-run
Purpose The purpose of this paper is to analyze volatility transmission between the Japanese st... more Purpose The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets. Design/methodology/approach In contrast to the existing literature, industry-level stock data are applied to a trivariate Baba, Engle, Kraft and Kroner ...
Applying a stochastic production frontier to sector-level data within manufacturing, this paper e... more Applying a stochastic production frontier to sector-level data within manufacturing, this paper examines total factor productivity (TFP) growth for eight East Asian economies during 1963-1998, using both single country and cross-country regression. The analysis focuses on the trend of technological progress (TP) and technical efficiency change (TEC), and the role of productivity change in economic growth. The empirical results reveal
... With respect to the above-mentioned recent studies of linear real exchange rate adjustment or... more ... With respect to the above-mentioned recent studies of linear real exchange rate adjustment or adjustment towards PPP in Asian economies, Bhatti (20005. Bhatti, Razzaque H. 2000. ... However, Basher & Mohsin (20044. Basher, Syed A. and Mohsin, Mohammed. 2004. ...
This paper investigates the possibility that the adjustment towards long-run relative purchasing ... more This paper investigates the possibility that the adjustment towards long-run relative purchasing power parity (PPP) is dependent upon the nature of deviations from PPP that are experienced. While existing studies involving developed and less developed countries often find against PPP having employed linear tests of non-stationarity or non-cointegration, we employ a new cointegration test, recently advocated by Enders and Siklos and Enders and Dibooglu, that tests for an asymmetric adjustment towards parity with respect to positive and negative deviations of the real exchange rate from its equilibrium value. Using a sample often African economies with data taken from the post-Bretton Woods floating exchange rate era, long-run PPP holds in eight of these cases if an explicit distinction is made between positive and negative deviations. Across the sample, we find variation in the type of asymmetry experienced and the roles played by price and nominal exchange rate adjustment. Copyright 2005 Economic Society of South Africa.
ABSTRACT For more than four decades, the New Zealand Institute of Economic Research (NZIER) has c... more ABSTRACT For more than four decades, the New Zealand Institute of Economic Research (NZIER) has conducted a two-question, quarterly survey of architect forecasts of public and private sector construction expenditure. This qualitative survey is published one week after the end of each quarter and nine weeks ahead of the official quantitative data thereby giving architect opinion nowcasting status. This paper covers selected aspects of this unexplored series with particular reference to residential housing construction and the value-added information from architects as nowcasters. Specifically, we consider several qualitative-to-quantitative conversion methods, in-sample and out-of-sample performance, cyclical features and respondent dynamics. Although our work relates to architects - a sub-sector of the service industry - our results have a wider application to business survey questions using ordered qualitative responses.
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Papers by Mark J Holmes