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LONG-RUN DYNAMICS OF BLACK AND OFFICIAL EXCHANGE-RATES
被引:30
作者
:
BOOTH, GG
论文数:
0
引用数:
0
h-index:
0
机构:
Department of Finance, College of Business Administration, Louisiana State University, Baton Rouge
BOOTH, GG
MUSTAFA, C
论文数:
0
引用数:
0
h-index:
0
机构:
Department of Finance, College of Business Administration, Louisiana State University, Baton Rouge
MUSTAFA, C
机构
:
[1]
Department of Finance, College of Business Administration, Louisiana State University, Baton Rouge
来源
:
JOURNAL OF INTERNATIONAL MONEY AND FINANCE
|
1991年
/ 10卷
/ 03期
关键词
:
D O I
:
10.1016/0261-5606(91)90017-E
中图分类号
:
F8 [财政、金融];
学科分类号
:
0202 ;
摘要
:
This paper examines the relationships among black and official foreign exchange rates. Its primary purpose is to investigate the way in which black and official markets process information. Application of cointegration tests to the Turkish markets for US dollars and West German marks in the mid 1980s indicates that the two black markets are efficient information processors. For the black and official markets of each currency, evidence is found suggesting the possibility of overshooting by the black exchange rate. This inefficiency may not be able to be arbitraged away because of restrictions on capital flows through official channels. © 1991.
引用
收藏
页码:392 / 405
页数:14
相关论文
共 30 条
[1]
ATLAY O, 1987, EC RES B, P53
[2]
COMMON STOCHASTIC TRENDS IN A SYSTEM OF EXCHANGE-RATES
[J].
BAILLIE, RT
论文数:
0
引用数:
0
h-index:
0
机构:
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
BAILLIE, RT
;
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
BOLLERSLEV, T
.
JOURNAL OF FINANCE,
1989,
44
(01)
:167
-181
[3]
INTERPRETING COINTEGRATED MODELS
[J].
CAMPBELL, JY
论文数:
0
引用数:
0
h-index:
0
机构:
YALE UNIV,NEW HAVEN,CT 06520
YALE UNIV,NEW HAVEN,CT 06520
CAMPBELL, JY
;
SHILLER, RJ
论文数:
0
引用数:
0
h-index:
0
机构:
YALE UNIV,NEW HAVEN,CT 06520
YALE UNIV,NEW HAVEN,CT 06520
SHILLER, RJ
.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL,
1988,
12
(2-3)
:505
-522
[4]
COINTEGRATION AND TESTS OF PURCHASING POWER PARITY
[J].
CORBAE, D
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MARYLAND,COLLEGE PK,MD 20742
UNIV MARYLAND,COLLEGE PK,MD 20742
CORBAE, D
;
OULIARIS, S
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MARYLAND,COLLEGE PK,MD 20742
UNIV MARYLAND,COLLEGE PK,MD 20742
OULIARIS, S
.
REVIEW OF ECONOMICS AND STATISTICS,
1988,
70
(03)
:508
-511
[5]
PURCHASING POWER PARITY AND BLACK-MARKET EXCHANGE-RATES
[J].
CULBERTSON, WP
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,BATON ROUGE,LA 70803
CULBERTSON, WP
.
ECONOMIC INQUIRY,
1975,
13
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[6]
ECONOMETRIC MODELING OF THE AGGREGATE TIME-SERIES RELATIONSHIP BETWEEN CONSUMERS EXPENDITURE AND INCOME IN THE UNITED-KINGDOM
[J].
DAVIDSON, JEH
论文数:
0
引用数:
0
h-index:
0
DAVIDSON, JEH
;
HENDRY, DF
论文数:
0
引用数:
0
h-index:
0
HENDRY, DF
;
SRBA, F
论文数:
0
引用数:
0
h-index:
0
SRBA, F
;
YEO, S
论文数:
0
引用数:
0
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0
YEO, S
.
ECONOMIC JOURNAL,
1978,
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:661
-692
[7]
DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
[J].
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
;
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1979,
74
(366)
:427
-431
[8]
THE BLACK-MARKET FOR DOLLARS IN BRAZIL
[J].
DORNBUSCH, R
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
DORNBUSCH, R
;
DANTAS, DV
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
DANTAS, DV
;
PECHMAN, C
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
PECHMAN, C
;
ROCHA, RDR
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
ROCHA, RDR
;
SIMOES, D
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
SIMOES, D
.
QUARTERLY JOURNAL OF ECONOMICS,
1983,
98
(01)
:25
-40
[9]
EKEN S, 1988, CENTRAL BANK TURKEY, P3
[10]
ARIMA AND COINTEGRATION TESTS OF PPP UNDER FIXED AND FLEXIBLE EXCHANGE-RATE REGIMES
[J].
ENDERS, W
论文数:
0
引用数:
0
h-index:
0
ENDERS, W
.
REVIEW OF ECONOMICS AND STATISTICS,
1988,
70
(03)
:504
-508
←
1
2
3
→
共 30 条
[1]
ATLAY O, 1987, EC RES B, P53
[2]
COMMON STOCHASTIC TRENDS IN A SYSTEM OF EXCHANGE-RATES
[J].
BAILLIE, RT
论文数:
0
引用数:
0
h-index:
0
机构:
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
BAILLIE, RT
;
BOLLERSLEV, T
论文数:
0
引用数:
0
h-index:
0
机构:
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
NORTHWESTERN UNIV,DEPT FINANCE,EVANSTON,IL 60201
BOLLERSLEV, T
.
JOURNAL OF FINANCE,
1989,
44
(01)
:167
-181
[3]
INTERPRETING COINTEGRATED MODELS
[J].
CAMPBELL, JY
论文数:
0
引用数:
0
h-index:
0
机构:
YALE UNIV,NEW HAVEN,CT 06520
YALE UNIV,NEW HAVEN,CT 06520
CAMPBELL, JY
;
SHILLER, RJ
论文数:
0
引用数:
0
h-index:
0
机构:
YALE UNIV,NEW HAVEN,CT 06520
YALE UNIV,NEW HAVEN,CT 06520
SHILLER, RJ
.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL,
1988,
12
(2-3)
:505
-522
[4]
COINTEGRATION AND TESTS OF PURCHASING POWER PARITY
[J].
CORBAE, D
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MARYLAND,COLLEGE PK,MD 20742
UNIV MARYLAND,COLLEGE PK,MD 20742
CORBAE, D
;
OULIARIS, S
论文数:
0
引用数:
0
h-index:
0
机构:
UNIV MARYLAND,COLLEGE PK,MD 20742
UNIV MARYLAND,COLLEGE PK,MD 20742
OULIARIS, S
.
REVIEW OF ECONOMICS AND STATISTICS,
1988,
70
(03)
:508
-511
[5]
PURCHASING POWER PARITY AND BLACK-MARKET EXCHANGE-RATES
[J].
CULBERTSON, WP
论文数:
0
引用数:
0
h-index:
0
机构:
LOUISIANA STATE UNIV,BATON ROUGE,LA 70803
LOUISIANA STATE UNIV,BATON ROUGE,LA 70803
CULBERTSON, WP
.
ECONOMIC INQUIRY,
1975,
13
(02)
:287
-296
[6]
ECONOMETRIC MODELING OF THE AGGREGATE TIME-SERIES RELATIONSHIP BETWEEN CONSUMERS EXPENDITURE AND INCOME IN THE UNITED-KINGDOM
[J].
DAVIDSON, JEH
论文数:
0
引用数:
0
h-index:
0
DAVIDSON, JEH
;
HENDRY, DF
论文数:
0
引用数:
0
h-index:
0
HENDRY, DF
;
SRBA, F
论文数:
0
引用数:
0
h-index:
0
SRBA, F
;
YEO, S
论文数:
0
引用数:
0
h-index:
0
YEO, S
.
ECONOMIC JOURNAL,
1978,
88
(352)
:661
-692
[7]
DISTRIBUTION OF THE ESTIMATORS FOR AUTOREGRESSIVE TIME-SERIES WITH A UNIT ROOT
[J].
DICKEY, DA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
DICKEY, DA
;
FULLER, WA
论文数:
0
引用数:
0
h-index:
0
机构:
IOWA STATE UNIV SCI & TECHNOL, AMES, IA 50011 USA
FULLER, WA
.
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION,
1979,
74
(366)
:427
-431
[8]
THE BLACK-MARKET FOR DOLLARS IN BRAZIL
[J].
DORNBUSCH, R
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
DORNBUSCH, R
;
DANTAS, DV
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
DANTAS, DV
;
PECHMAN, C
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
PECHMAN, C
;
ROCHA, RDR
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
ROCHA, RDR
;
SIMOES, D
论文数:
0
引用数:
0
h-index:
0
机构:
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
F GETULION VARGAS,RIO DE JANEIRO,BRAZIL
SIMOES, D
.
QUARTERLY JOURNAL OF ECONOMICS,
1983,
98
(01)
:25
-40
[9]
EKEN S, 1988, CENTRAL BANK TURKEY, P3
[10]
ARIMA AND COINTEGRATION TESTS OF PPP UNDER FIXED AND FLEXIBLE EXCHANGE-RATE REGIMES
[J].
ENDERS, W
论文数:
0
引用数:
0
h-index:
0
ENDERS, W
.
REVIEW OF ECONOMICS AND STATISTICS,
1988,
70
(03)
:504
-508
←
1
2
3
→