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Is economic exposure asymmetric between long-run depreciations and appreciations? Testing using cointegration analysis

  • Kanas, Angelos

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Article provided by Elsevier in its journal Journal of Multinational Financial Management.

Volume (Year): 7 (1997)
Issue (Month): 1 (April)
Pages: 27-42

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Handle: RePEc:eee:mulfin:v:7:y:1997:i:1:p:27-42
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  1. Catherine L. Mann, 1986. "Prices, profit margins, and exchange rates," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Jun, pages 366-379.
  2. Marston, Richard C., 1990. "Pricing to market in Japanese manufacturing," Journal of International Economics, Elsevier, vol. 29(3-4), pages 217-236, November.
  3. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  4. Froot, Kenneth A & Klemperer, Paul D, 1989. "Exchange Rate Pass-Through When Market Share Matters," American Economic Review, American Economic Association, vol. 79(4), pages 637-54, September.
  5. Phillips, Peter C B & Ouliaris, S, 1990. "Asymptotic Properties of Residual Based Tests for Cointegration," Econometrica, Econometric Society, vol. 58(1), pages 165-93, January.
  6. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
  7. 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.
  8. Swamy, P. A. V. B. & Thurman, Stephan S., 1994. "Exchange rate episodes and the pass-through of exchange rates to import prices," Journal of Policy Modeling, Elsevier, vol. 16(6), pages 609-623, December.
  9. Baillie, R.T. & Pecchenino, R.A., 1991. "The Search for Equilibrium Relationships in International Finance : The Case of the Monetary Model," Papers 9003, Michigan State - Econometrics and Economic Theory.
  10. Knetter, Michael M., 1994. "Is export price adjustment asymmetric?: evaluating the market share and marketing bottlenecks hypotheses," Journal of International Money and Finance, Elsevier, vol. 13(1), pages 55-70, February.
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