Browsing by Author "Lau, Chi Keung Marco"
Now showing items 1-4 of 4
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Do structural breaks in exchange rate volatility matter? Evidence from Asia-Pacific currencies
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Publisher and Date:(Bilgesel Yayincilik San & Tic Ltd, 2011)Using the U.S. dollar exchange rate return series of three major Asia-Pacific currencies this paper investigates the empirical relevance of structural breaks in exchange rate volatilities. We find significant evidence of structural breaks in the unconditional variances of all three exchange rate returns implying unstable GARCH processes for these exchange rates. Various methods of accommodating structural breaks were considered when forecasting daily exchange rate volatility using GARCH models. ...
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Export Conditions of the Chinese Textile Industry: An Analysis in Comparison with Selected ASEAN Countries
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Publisher and Date:(Sage Publications Ltd, 2010)This paper provides a comprehensive and disaggregated set of elasticity estimates to date in the face of MFA abolishment. The estimates made here are at a detailed level of disaggregation and should provide researchers with opportunities for future analysis. We used the gravity model to estimate the trade elasticity of China's apparel cottons in the US market for the period between 1989 and 2009. From the gravity model two phenomena are observed. First there exists a unique long-run equilibrium ...
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Is China Integrated With Her Major Trading Partners: Evidence On Financial And Real Integration
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Publisher and Date:(Vilnius Gediminas Tech Univ, 2010)Applying the new panel unit root test developed in this paper we can overcome the pitfalls of old-fashioned panel unit root tests making it possible for researchers testing individual series for a unit root while taking contemporaneous cross-sectional dependence and structural break into account. The proposed test was used to investigate the status of financial and real integration of China Japan UK the European Union and the United States based on the empirical validity of real interest parity ...
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Rental Price Convergence In A Developing Economy: New Evidence From Nonlinear Panel Unit Root Test
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Publisher and Date:(Vilnius Gediminas Tech Univ, 2010)We examine the hypothesis of nonlinear rental price convergence using relative rental price index of three major cities of Turkey namely Istanbul Izmir and Ankara span from the period from January 1994 to February 2010. Our results indicate that all cities exhibit rental price convergence towards its national mean level for the period of January 1994 to December 2004. In contrast none of the cities show evidence of convergence from January 2005 to February 2010. The evidence clearly shows rental ...
