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A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia

Author

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  • Sovannroeun Samreth

    (Japan Society for the Promotion of Science (JSPS) and Graduate School of Economics, Kyoto University)

Abstract

By employing an Autoregressive Distributed Lag (ARDL) approach to cointegration, this paper presents the results of a new empirical study on short-run and long-run relationships between the Cambodian parallel and the official exchange rates. Tests to confirm the stability of the estimated model are conducted. The causality relationships between the parallel and official exchange rates are also examined, by applying the Toda and Yamamoto (1995) approach. From the empirical results, we find that there exists a stable long-run relationship between the two exchange rates in Cambodia. Moreover, the causality tests provide the evidence of the mutual directions between them.

Suggested Citation

  • Sovannroeun Samreth, 2010. "A Note on Short-Run and Long-Run Relationships between Parallel and Official Exchange Rates: The Case of Cambodia," Economics Bulletin, AccessEcon, vol. 30(2), pages 1044-1053.
    • Handle: RePEc:ebl:ecbull:eb-10-00006
    as

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    References listed on IDEAS

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    More about this item

    Keywords

    Parallel Exchange Rate; Official Exchange Rate; Cambodia; ARDL;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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