Exchange Rate Uncertainty and Import Demand of Thailand

This study investigates the impact of real exchange rate uncertainty on import demand of Thailand. The period of study is during July 1997 to December 2011. The results from bounds testing for cointegration show that all variables are cointegrated. Even though there is no short-run impact, but the long-run negative impact of real exchange rate uncertainty on real imports is large and highly significant under the floating exchange rate regime. In the long run, a rise in real exchange rate uncertainty can improve the country’s trade balance by substantially lowering import demand, but can harm industrial production at the same time. Therefore, stabilization of real effective exchange rate via major nominal exchange rates may deem necessary

Factor price equalization: revisited

Although theoretical discussion of Factor Price Equalization (FPE) theorem has been quite prolific in the international economics literature, empirical tests of the FPE theorem have been very limited and inadequately performed. In this paper, we use Johansen's multivariate cointegration testing procedure to test statistically the FPE theorem among seven EC countries for 1960-91. The results show that the FPE theorem is strongly supported for the period considered.

The unbiased forward rate hypothesis: a re-examination

This paper attempts to reconcile the differences in previous studies of the tests of foreign exchange market efficiency. The results show that the market efficiency tests depend on the choice of model between the level and the percentage change specifications. Cointegration testing results and estimated error correction models provide the evidence of market inefficiency.

Cyclical unemployment: sectoral shifts or aggregate disturbances? A vector autoregression approach

Using a multivariate vector autoregression (VAR) model, this paper investigates if sectoral shifts, inflation uncertainty, or demand shocks are the primary cause of unemployment fluctuations in the postwar US economy. A sectoral shifts variable (cross-section volatility), an ARCH measure of inflation uncertainty, and three demand shocks variables (monetary base growth rate, interest rates and inflation rates) are incorporated in a VAR model. Our major findings are: cross-section volatility Granger causes unemployment; the sectoral shifts variable and inflation uncertainty explain a small amount, while demand shocks variables explain a substantial amount of the variation in unemployment.