Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.676308
Title: Essays in international finance
Author: Hadla, Masar
ISNI:       0000 0004 5372 6390
Awarding Body: University of Essex
Current Institution: University of Essex
Date of Award: 2015
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Abstract:
This thesis contributes to the extant research on international finance by presenting a collection of three separate essays. The first essay tests the validity of long-run Purchasing Power Parity (PPP) in two panels of real exchange rates for 13 OECD countries (1989:07-2012:11, 1989:07-2006:12). Three panel unit root tests are applied, one that assumes cross-sectional independence, one that accounts for cross-sectional dependence using a single factor approach, and one that controls for cross-sectional dependence through a multi-factor approach. The main difference in the results is attributed to ignoring or allowing for cross-sectional dependence. The second essay also examines long-run PPP, but uses a panel cointegration test which allows for (i) heterogeneous and multiple structural breaks and (ii) crosssectional dependence. Based on a panel of 53 economies (1992:01-2014:05 ) no evidence of PPP can be found using two types of models that can be equipped/illequipped to handle the potential presence of structural breaks in the data. The third essay employs a factor approach to analyse exchange rate prediction at multiple horizons, from 1 month to two years for a panel of 10 OECD economies spanning the period 1999:01-2013:04. Two new models are proposed, that are based on the separate use of forward rates and interest rate differentials to be added in conjunction with the extracted factors. Factor-based exchange rate models were found to beat the random walk model for long horizons over the latter parts of our forecasting sample.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.676308  DOI: Not available
Keywords: HG Finance
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