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Article
Publication date: 1 April 2014

Bassem Kahouli and Samir Maktouf

– This paper aims to use the approach based on the application of the law of gravity for the study of the flows of export and the effects of the RTAs.

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Abstract

Purpose

This paper aims to use the approach based on the application of the law of gravity for the study of the flows of export and the effects of the RTAs.

Design/methodology/approach

In this paper, the authors evaluate the effects of RTAs on exports between members and non-members taking into account the Vinerian specification. The authors also try to estimate the impact of the recent economic crisis on the flows of export and the success of the RTAs. The authors use a model of static and dynamic gravity for 40 countries and six RTAs during the period 1980-2011.

Findings

Definitely the proliferation of RTAs will continue to be one of the driving forces that will constitute the political system and the global economy in the following years. It indicates a process that implies the merger of economies separated in bigger regions of free trade. Regional integration is seen as beneficial in many senses and is the major economic objectives in addition to presenting a stabilizing factor in international relations.

Originality/value

The gravity model is estimated using the last techniques of panel data which takes into account the endogeneity of the effects of integration and the existence of dynamic effect.

Details

International Journal of Development Issues, vol. 13 no. 1
Type: Research Article
ISSN: 1446-8956

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Article
Publication date: 21 September 2015

Mohamed Bilel Triki and Samir Maktouf

The purpose of this paper is to focus on whether the deviations from the cointegrating relationship possess long memory and the fractional cointegration analyses may capture a…

649

Abstract

Purpose

The purpose of this paper is to focus on whether the deviations from the cointegrating relationship possess long memory and the fractional cointegration analyses may capture a wider range of mean-reversion behaviour than standard cointegration analyses.

Design/methodology/approach

This paper uses a fractional cointegration technique to test the purchasing power parity (PPP).

Findings

The authors found that PPP held, but very weakly, in the long run between the Argentine, Brazil, Chile, Colombia, Indonesia, Korea, Mexico, Thailand and Venezuela and US exchange rate during our floating exchange rate period but that the deviations from it did not follow a stationary process. Nevertheless, it is also found that the deviations from PPP exists and can be characterized by a fractionally integrated process in nine out of 13 countries studied.

Originality/value

The findings are consistent with the consensus of the empirical literature, reviewed earlier in this paper, on PPP between Argentine, Brazil, Chile, Colombia, Indonesia, Korea, Mexico, Thailand and Venezuela and the USA.

Details

International Journal of Emerging Markets, vol. 10 no. 4
Type: Research Article
ISSN: 1746-8809

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Book part
Publication date: 9 September 2024

Reham ElMorally

Abstract

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Recovering Women's Voices: Islam, Citizenship, and Patriarchy in Egypt
Type: Book
ISBN: 978-1-83608-249-1

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Article
Publication date: 17 September 2018

Radhika Prosad Datta and Ranajoy Bhattacharyya

The purpose of this paper is to determine whether foreign exchange markets in India have become more efficient over time. There were two major developments in India’s foreign…

388

Abstract

Purpose

The purpose of this paper is to determine whether foreign exchange markets in India have become more efficient over time. There were two major developments in India’s foreign exchange market since the 1980s: first, a shift in foreign exchange management regime from a basket peg to a free float; and second, a rapid phase of economic liberalization since the mid-1990s. The paper attempts to find out whether the market efficiency of foreign exchange markets is affected by these developments. The paper mainly uses the well-known Hurst exponent calculated through corrected empirical R over S analysis to determine whether the exchange rates possess long memory. The robustness of the method is tested by calculating the Hurst exponent through two other prevalent methods in the literature.

Design/methodology/approach

The authors apply the corrected empirical Hurst exponent which employs the Anis Lloyd correction with the modification suggested by Weron. The sensitivity of the results is then tested by replicating the calculations using the detrended fluctuation analysis and Robinson’s method.

Findings

All the methods show that: first, there is no significant change in the overall efficiency of the foreign exchange market vis a vis the US$ for the time period from 1980 to 2017. Second, neither regime shifts nor calculations over sub-time periods is able to identify significant change in the efficiency level of the market for the US$ exchange rate. Third, efficiency of different exchange rate markets are different over the time period 1999–2017. The US$ market has unequivocally more long run memory compared to the GBP, Yen and EURO markets. Fourth, the results are robust to the method used for calculations.

Originality/value

Does the efficiency of asset markets evolve over time? This paper attempts to answer this question. In the process, the paper studies the effect of regime shifts and progressive globalization on the ability of the market to internalize information.

Details

International Journal of Emerging Markets, vol. 13 no. 4
Type: Research Article
ISSN: 1746-8809

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