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Regime dependence between the official and parallel foreign currency markets for US dollars in Greece

  • Kanas, Angelos
  • Kouretas, Georgios P.

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File URL: http://www.sciencedirect.com/science/article/pii/S0164-0704(07)00013-4
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Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 29 (2007)
Issue (Month): 2 (June)
Pages: 431-449

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Handle: RePEc:eee:jmacro:v:29:y:2007:i:2:p:431-449
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622617

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  1. Ehrmann, Michael & Ellison, Martin & Valla, Natacha, 2003. "Regime-dependent impulse response functions in a Markov-switching vector autoregression model," Economics Letters, Elsevier, vol. 78(3), pages 295-299, March.
  2. Perron, Pierre & Rodriguez, Gabriel, 2003. "GLS detrending, efficient unit root tests and structural change," Journal of Econometrics, Elsevier, vol. 115(1), pages 1-27, July.
  3. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
  4. Michael Moore & Kate Phylaktis, 2000. "Black and official exchange rates in the Pacific Basin: some tests of dynamic behaviour," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 361-369.
  5. Kouretas, Georgios P. & Zarangas, Leonidas P., 2001. "Black and official exchange rates in Greece: an analysis of their long-run dynamics," Journal of Multinational Financial Management, Elsevier, vol. 11(3), pages 295-314, July.
  6. Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991. "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?," Cowles Foundation Discussion Papers 979, Cowles Foundation for Research in Economics, Yale University.
  7. Carmen M. Reinhart & Kenneth S. Rogoff, 2004. "The Modern History of Exchange Rate Arrangements: A Reinterpretation," The Quarterly Journal of Economics, Oxford University Press, vol. 119(1), pages 1-48.
  8. Phylaktis, Kate, 1991. "The black market for dollars in Chile," Journal of Development Economics, Elsevier, vol. 37(1-2), pages 155-172, November.
  9. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
  10. Elliott, Graham, 1999. "Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(3), pages 767-83, August.
  11. George Kouretas & Leonidas Zarangas, . "Black and Official Exchange Rate Volatility and Foreign Exchange Controls: Evidence from Greece," Working Papers 9811, University of Crete, Department of Economics.
  12. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  13. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  14. Zivot, Eric & Andrews, Donald W K, 1992. "Further Evidence on the Great Crash, the Oil-Price Shock, and the Unit-Root Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(3), pages 251-70, July.
  15. Charles Engel, 1992. "Can the Markov Switching Model Forecast Exchange Rates?," NBER Working Papers 4210, National Bureau of Economic Research, Inc.
  16. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  17. Angelos Kanas & Georgios P. Kouretas, 2001. "Volatility Spillovers Between The Black Market And Official Market For Foreign Currency In Greece," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 24(3), pages 443-461, 09.
  18. 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.
  19. Yin-Wong Cheung & Kon S. Lai, 2005. "Nominal Exchange Rate Flexibility and Real Exchange Rate Adjustment: Evidence from Dual Exchange Rates in Developing Countries," CESifo Working Paper Series 1512, CESifo Group Munich.
  20. Ashworth, John & Evans, Lynne & Teriba, Ayo, 1999. "Structural breaks in parallel markets?: the case of Nigeria, 1980-1993," Journal of Development Economics, Elsevier, vol. 58(1), pages 255-264, February.
  21. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-93, Sept.-Oct.
  22. Phylaktis, Kate & Girardin, Eric, 2001. "Foreign exchange markets in transition economies: China," Journal of Development Economics, Elsevier, vol. 64(1), pages 215-235, February.
  23. Kapetanios, George & Shin, Yongcheol & Snell, Andy, 2003. "Testing for a unit root in the nonlinear STAR framework," Journal of Econometrics, Elsevier, vol. 112(2), pages 359-379, February.
  24. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2005. "Expectations and the black market premium for foreign currency in Greece," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 667-677.
  25. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
  26. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  27. 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.
  28. Sephton, Peter S., 1995. "Response surface estimates of the KPSS stationarity test," Economics Letters, Elsevier, vol. 47(3-4), pages 255-261, March.
  29. Rapach, David E. & Weber, Christian E., 2004. "Are real interest rates really nonstationary? New evidence from tests with good size and power," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 409-430, September.
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