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Black market and official exchange rates, cointegration and purchasing power parity in developing Asian countries

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  • Sundar, Cuddalore
  • Varela, Oscar
  • Naka, Atsuyuki

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  • Sundar, Cuddalore & Varela, Oscar & Naka, Atsuyuki, 1997. "Black market and official exchange rates, cointegration and purchasing power parity in developing Asian countries," Global Finance Journal, Elsevier, vol. 8(2), pages 221-238.
  • Handle: RePEc:eee:glofin:v:8:y:1997:i:2:p:221-238
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    References listed on IDEAS

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    1. Baillie, Richard T & Bollerslev, Tim, 1989. " Common Stochastic Trends in a System of Exchange Rates," Journal of Finance, American Finance Association, vol. 44(1), pages 167-181, March.
    2. Frankel, Jeffrey A & Froot, Kenneth A, 1986. "Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 24-38, Supplemen.
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    4. Frenkel, Jacob A., 1981. "The collapse of purchasing power parities during the 1970's," European Economic Review, Elsevier, vol. 16(1), pages 145-165.
    5. Darby, Michael R., 1981. "Does purchasing power parity work?," Proceedings, Federal Reserve Bank of San Francisco, issue 5, pages 136-173.
    6. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
    7. Gupta, Sanjeev, 1981. "A Note on the Efficiency of Black Markets in Foreign Currencies," Journal of Finance, American Finance Association, vol. 36(3), pages 705-710, June.
    8. Robert E. Cumby & Maurice Obstfeld, 1984. "International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence," NBER Chapters,in: Exchange Rate Theory and Practice, pages 121-152 National Bureau of Economic Research, Inc.
    9. Hansen, Bruce E., 1992. "Efficient estimation and testing of cointegrating vectors in the presence of deterministic trends," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 87-121.
    10. MacDonald, Ronald & Taylor, Mark P., 1989. "Foreign exchange market efficiency and cointegration : Some evidence from the recent float," Economics Letters, Elsevier, vol. 29(1), pages 63-68.
    11. Geweke, John F & Feige, Edgar L, 1979. "Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange," The Review of Economics and Statistics, MIT Press, vol. 61(3), pages 334-341, August.
    12. Hakkio, Craig S. & Rush, Mark, 1989. "Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets," Journal of International Money and Finance, Elsevier, vol. 8(1), pages 75-88, March.
    13. Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 38(5), pages 1471-1487, December.
    14. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    15. Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
    16. Patton Culbertson, W., 1989. "Empirical regularities in black markets for currency," World Development, Elsevier, vol. 17(12), pages 1907-1919, December.
    17. Lindauer, David L., 1989. "Parallel, fragmented, or black? Defining market structure in developing economies," World Development, Elsevier, vol. 17(12), pages 1871-1880, December.
    18. Dwyer, Gerald Jr. & Wallace, Myles S., 1992. "Cointegration and market efficiency," Journal of International Money and Finance, Elsevier, vol. 11(4), pages 318-327, August.
    19. Granger, Clive W J, 1986. "Developments in the Study of Cointegrated Economic Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 213-228, August.
    20. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-193, January.
    21. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    22. Coleman, Mark, 1990. "Cointegration-based tests of daily foreign exchange market efficiency," Economics Letters, Elsevier, vol. 32(1), pages 53-59, January.
    23. Noorbakhsh, Abbas & Shahrokhi, Manuchehr, 1993. "The official and black (parallel) foreign exchange markets: Causal relationships: Empirical evidence," Global Finance Journal, Elsevier, vol. 4(1), pages 65-76.
    24. Miller, Stephen, 1984. "Purchasing power parity and relative price variability : Evidence from the 1970s," European Economic Review, Elsevier, vol. 26(3), pages 353-367, December.
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