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An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countries

Kassimatis, Y. (1994). An application of recently developed time series analysis to black market real exchange rates in the Pacific Basin countries. (Unpublished Doctoral thesis, City University London)


The main objective of this thesis is to perform a comprehensive time series analysis of real and nominal exchange rates for the following Pacific-Basin countries: Indonesia, Japan, South Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand in the seventies and eighties. The largest part of the research concentrates on the behaviour of real exchange rates. Contrary to most research that has been carried out so far, the exchange rate quotations for the calculation of the real exchange rate are not the official ones but the black market quotations. The black market exchange rates were used because the official ones for most of these countries were fixed and determined by the governments for our sample period and therefore the black market quotation was the one that corresponded to the forces of the market. A comprehensive analysis of the black market real exchange rate is carried out by applying different methods of time series analysis to these series. Each method gives some information about the underlying process of the series and so by combining all this information, a more detailed picture can be drawn. Furthermore, a comparison of tfie quantity and quality of the information gained by each approach is made. For some of the approaches more than one technique is applied to the same data set and therefore a very interesting comparison between these techniques can be made. In this case the current research can be seen as a critique of the popular time series methods and of their performance on the actual data. Another objective of the thesis is to investigate the underlying international economic relationships and international parities that result in a given behaviour of exchange rates. Purchasing power parity is the main underlying parity that we question through the behaviour of the real exchange rate for most of our research. A final objective is to examine the dynamic relationship between the mean of the black and official market exchange rates and between the variance of the rates,

Publication Type: Thesis (Doctoral)
Subjects: H Social Sciences > HG Finance
Departments: Bayes Business School
Doctoral Theses
Bayes Business School > Bayes Business School Doctoral Theses
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