The long-run relation between black market and official exchange rates: evidence from panel cointegration

Bahmani‐Oskooee, Mohsen; Miteza, Ilir; Nasir, Abm

doi:10.1016/s0165-1765(02)00081-2

Cited by 20 publications

(10 citation statements)

References 8 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The former series are obtained from Pick's World Currency Yearbook (various issues). In this respect, our study differs from earlier ones focusing on individual countries (Booth and Mustafa, 1991), or using annual data covering a shorter period (Bahmani‐Oskooee et al., 2002).…”

Section: Descriptive Analysis and Cointegration Testsmentioning

confidence: 99%

Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics

Caporale

Cerrato

2008

Rev International Economics

View full text Add to dashboard Cite

This paper presents further empirical evidence on the relationship between black market and official exchange rates in six emerging economies (Iran, India, Indonesia, Korea, Pakistan, and Thailand). First, it applies both time series techniques and heterogeneous panel methods to test for the existence of a long-run relationship between these two types of exchange rates. Second, it tests formally the validity of the proportionality restriction implying a constant black-market premium. Third, it also analyses the short-run dynamic responses of both markets to shocks. Finally, it tries to shed some light on the determinants of the market premium. Evidence of slow reversion to the long-run equilibrium is found. Further, it appears that capital controls and expected currency devaluation are the two main factors affecting the size of the premium and determining the breakdown in the proportionality relationship. Copyright � 2007 The Authors. Journal compilation � 2007 Blackwell Publishing Ltd.

show abstract

Section: Descriptive Analysis and Cointegration Testsmentioning

confidence: 99%

Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics

Caporale

Cerrato

2008

Rev International Economics

View full text Add to dashboard Cite

show abstract

“…The first, Mehrara (2007), uses both panel unit root tests and panel cointegration tests on the black market exchange rate. Bahmani-Oskooee, Miteza, and Nasir (2002) argue that the black market exchange rate is more appropriate when testing PPP in a developing country because it better represents market forces. Despite this, Mehrara (2007) (2015) are more conclusive, providing support for PPP in five of the six oil-exporting countries analysed.…”

Section: Literature Reviewmentioning

confidence: 99%

Does the PPP condition hold for oil‐exporting countries? A quantile cointegration regression approach

Lyon

Olmo

2018

Int. J Fin Econ

View full text Add to dashboard Cite

This paper examines the legitimacy of the Purchasing Power Parity condition applied to the quantile process for 12 oil‐exporting countries: Algeria, Angola, Canada, Colombia, Indonesia, Iran, Kazakhstan, Kuwait, Mexico, Nigeria, Norway, and Russia. The application of quantile unit root inference methods to test the specification of the PPP condition in the quantile process yields limited support to the equilibrium condition. However, the application of quantile cointegration methods that estimate the equilibrium relationship between national prices and the nominal exchange rate is much more supportive of a generalized PPP condition that varies across countries and quantiles. Our empirical findings suggest that the distribution of the nominal exchange rate reflects a nonlinear equilibrium relationship between national prices that varies widely between the central and tail quantiles and is country‐specific.

show abstract

“…This approach implies a long-run constant proportionality between the official and unofficial exchange rates (or a rLOP between identical assets). Papers using multiyear datasets have found only mixed evidence for a proportionality relationship: Caporale and Cerrate [2008] rejected a proportionality relationship, while Bahmani-Oskoee, Miteza, and Nasir [2002] and Kula, Aslan, and Ozturk [2014] found evidence in support of it. Table 6 shows that all exchange rate regimes can satisfy the proportionality requirement.…”

Section: Proportionalitymentioning

confidence: 99%

“…2 Rates in the World Currency Yearbook "are provided by the Central Bank and Ministries of Finance who may be reluctant to provide the true data", or reported by "foreign correspondents or informed currency dealers". [Bahmani-Oskoee, Miteza, and Nasir [2002]]. This data consists of a single observation per month.…”

Section: Introductionmentioning

confidence: 99%

Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration?

Pieters¹

2016

gwp

View full text Add to dashboard Cite

I show that the prices of the internationally traded crypto-currency bitcoin can be used to estimate a currency's unofficial exchange rate and capital controls at a daily interval. Two important bitcoin features are documented: (1) Bitcoin-based exchange rates approximate the behavior, but not the level, of unofficial exchange rates, and (2) Bitcoin prices contain a bitcoin-trend term and must be appropriately normalized prior to being used for this purpose. Bitcoin-based exchange rates reveal that (3) there is no consistent pattern of Granger causality between unofficial rates and official rates by exchange rate regime or barriers at the daily frequency, and (4) that countries can engage in short-interval capital controls.

show abstract

The long-run relation between black market and official exchange rates: evidence from panel cointegration

Cited by 20 publications

References 8 publications

Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics

Black Market and Official Exchange Rates: Long‐run Equilibrium and Short‐run Dynamics

Does the PPP condition hold for oil‐exporting countries? A quantile cointegration regression approach

Does Bitcoin Reveal New Information About Exchange Rates and Financial Integration?

Contact Info

Product

Resources

About