November 2015

Exchange rate dynamics and monetary unions in Africa: A fractional integration and cointegration analysis

This paper uses fractional integration and cointegration techniques to analyze nominal exchange rate dynamics in three groups of African countries aiming to form currency unions in the near future. The proposed unions are the WAMZ (West African Monetary Zone), the EAC (East African Community), and the SADC (South African Development Community). The univariate results indicate that in all but three countries (Democratic...

Author(s): Borja Balparda, Guglielmo Maria Caporale and Luis A. Gil-Alana

November 2015

Can web-searching index help to predict renminbi exchange rate?

The stability of exchange rates plays a decisive role in a country’s economic development and internal and external equilibrium. Therefore, the prediction of short-term exchange rate is of vital importance to maintain a country’s economic stability and financial security. Traditional time series forecasting models are only based on historical data, which cannot reflect other important factors, like...

Author(s): Xuan Wang, Suxiao Li, Haizhen Yang and Lingxiao Cui