A Cointegration Analysis Of The Official And Parallel Foreign Exchange Markets For Dollars In Greece
AbstractThis paper examines the monetary model of exchange rate determination from a long-run perspective in the presence of a parallel or black market for US dollars in Greece using monthly data for the recent float, in four ways. First, unit root tests that maintain both stationarity and nonstationarity about either mean or trend are employed to determine the order of integration of our data. Second, using the Johansen's multivariate cointegration technique we found one significant cointegration vector. Johansen's FIML and Stock and Watson's (1993) DOLS approach were employed to estimate the cointegration coefficients. Third, formal stability tests as described by Hansen and Johansen (1993) were used, and it is shown that the dimension of the cointegration space may exhibit sample dependency, but the estimated coefficients are not unstable in recursive estimations. Finally, a new efficient and consistent test that maintains the null of cointegration developed by Shin (1994) was utilized, and once again the evidence in favour of cointegration was accepted. Copyright @ 1998 by John Wiley & Sons, Ltd. All rights reserved.
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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 9512.
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- Kouretas, Georgios P & Zarangas, Leonidas P, 1998. "A Cointegration Analysis of the Official and Parallel Foreign Exchange Markets for Dollars in Greece," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(3), pages 261-76, July.
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- Georgios Kouretas & Leonidas Zarangas, 2001. "Long-Run Purchasing Power Parity and Structural Change: The Official and Parallel Foreign Exchange Markets For Dollars In Greece," International Economic Journal, Taylor & Francis Journals, vol. 15(3), pages 109-128.
- Panayiotis Diamantis & Dimitris Georgoutsos & George Kouretas, 2001. "The Monetary Approach in the Presence of I(2) Components: A Cointegration Analysis of the Official and Black Market for Foreign Currency in Latin America," Working Papers 0108, University of Crete, Department of Economics.
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