Dynamics of parallel and official exchange rates: The experience of hungary
This paper provides empirical evidence on the dynamics of dual markets in Hungary during the 1980–93 period using cointegration and error correction methodologies. The results suggest that the official and parallel markets were cointegrated. Short-run dynamics of these rates resulted from the overshooting and adjustment by the parallel rate to shocks, without any adjustment by the official rate. A devaluation had no significant impact on the parallel market premium in the long run. Although the premium declined in the short run, it was relatively small and sluggish. One lesson for the design of stabilization programs in other countries is that a devaluation is not a powerful policy tool to reduce the premium effectively. Copyright International Atlantic Economic Society 1998
Volume (Year): 26 (1998)
Issue (Month): 1 (March)
|Contact details of provider:|| Postal: |
Phone: (404) 965-1555
Fax: (404) 965-1556
Web page: http://springerlink.metapress.com/link.asp?id=112055
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kiguel, Miguel & O'Connell, Stephen A, 1995. "Parallel Exchange Rates in Developing Countries," World Bank Research Observer, World Bank Group, vol. 10(1), pages 21-52, February.
- Sebastian Edwards, 1987.
"Exchange Controls, Devaluations and Real Exchange Rates: The Latin American Experience,"
NBER Working Papers
2348, National Bureau of Economic Research, Inc.
- Edwards, Sebastian, 1989. "Exchange Controls, Devaluations, and Real Exchange Rates: The Latin American Experience," Economic Development and Cultural Change, University of Chicago Press, vol. 37(3), pages 457-94, April.
- Sebastian Edwards, 1987. "Exchange Controls, Devaluations and Real Exchange Rates: The Latin American Experience," UCLA Economics Working Papers 450, UCLA Department of Economics.
- Michael J. Dueker & Patrick K. Asea, 1995. "Non-monotonic long memory dynamics in black-market premia," Working Papers 1995-003, Federal Reserve Bank of St. Louis.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
- Baghestani, Hamid & Noer, John, 1993. "Cointegration analysis of the black market and official exchange rates in India," Journal of Macroeconomics, Elsevier, vol. 15(4), pages 709-721.
- Robert J. Barro & Jong-Wha Lee, 1993. "Losers and Winners in Economic Growth," NBER Working Papers 4341, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:kap:atlecj:v:26:y:1998:i:1:p:54-65. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.