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Efficiency of the black market for foreign exchange and PPP: the case of the Dominican Republic

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  • Jose Sanchez-Fung

Abstract

Efficiency of the black market for foreign exchange in a developing country can be assessed by testing whether that market complies with the 'relative' version of the purchasing power parity hypothesis. This paper applies nonstationarity and cointegration to investigate this hypothesis for the Dominican Republic. Both the Engle-Granger and Johansen techniques support cointegration, so the black market for foreign exchange in the Dominican Republic is efficient.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/135048599353573&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 6 (1999)
Issue (Month): 3 ()
Pages: 173-176

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Handle: RePEc:taf:apeclt:v:6:y:1999:i:3:p:173-176

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Cited by:
  1. José R. Sánchez Fung, 2004. "Reglas monetarias, metas de inflación y sus aplicaciones potenciales de la República Dominicana," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 291-323, julio-sep.
  2. Jose Sanchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor & Francis Journals, vol. 10(4), pages 247-250.
  3. José R Sánchez-Fung, 2000. "Money Demand, PPP and Macroeconomic Dynamics in a Small Developing Economy," Studies in Economics 0015, Department of Economics, University of Kent.
  4. Bahmani-Oskooee, Mohsen & Tankui, Altin, 2008. "The black market exchange rate vs. the official rate in testing PPP: Which rate fosters the adjustment process?," Economics Letters, Elsevier, vol. 99(1), pages 40-43, April.
  5. Hilcías Estuardo Samayoa & Héctor Augusto Valle Samayoa, 2004. "Un modelo básico de política monetaria para Guatemala," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 223-242, julio-sep.
  6. Guneratne Banda Wickremasinghe, 2004. "Efficiency Of Foreign Exchange Markets: A Developing Country Perspective," International Finance 0406004, EconWPA.
  7. Mauricio Mayorga Martínez & Evelyn Muñoz Salas, 2004. "¿Existe disciplina de mercado en el sistema bancario costarricense?," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 263-289, julio-sep.

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