Black and official exchange rates in Greece: an analysis of their long-run dynamics

Unofficial and Official Exchange Rates Dynamics: A Case of Pakistan

“…Moreover, the estimated error correction term indicates that nominal unofficial exchange rate corrects last month's disequilibrium at the speed of 6.0972 percent and takes 16-17 months before it fades away disequilibrium in long run relationship followed by a shock. These findings are in line with Diamandis and Drakos (2005), Kouretas and Zarangas (2001), Love and Chandra (2007) and Caporale and Cerrato (2008).…”

“…The long run coefficient associated with nominal unofficial exchange rate estimated by ARDL (1, 1) is model 1.09801 which indicates that nominal unofficial exchange rate does not depreciate equally in response to devaluation of nominal official exchange rate of US$/PKR and constant premium does not hold in case of Pakistan. These findings are in line with the findings of Love and Chandra (2007) but differ from Kouretas and Zarangas (2001) and Diamandis and Drakos (2005). It implies that the concerned official authorities are not getting the desired equal response in nominal unofficial exchange rate due to any devaluation in nominal official exchange rate.…”

“…Moreover, unofficial exchange rate causes official exchange rate and surprise devaluations in official rates cause changes of same magnitude in unofficial exchange rates this implies existence of bi-directional causality between unofficial and official exchange rates. Kouretas and Zarangas (2001) added to knowledge by investigating long run relationship between unofficial and official exchange rates of Greek Drachma versus US$ and used Johansen (1988Johansen ( , 1991 techniques, which were later modified by Juselius (1990, 1992) multivariate cointegration approach. Kouretas and Zarangas (2001) found that long run relationship does exist between unofficial and official exchange rates of Drachma versus US$.…”

“…Kouretas and Zarangas (2001) added to knowledge by investigating long run relationship between unofficial and official exchange rates of Greek Drachma versus US$ and used Johansen (1988Johansen ( , 1991 techniques, which were later modified by Juselius (1990, 1992) multivariate cointegration approach. Kouretas and Zarangas (2001) found that long run relationship does exist between unofficial and official exchange rates of Drachma versus US$. Further, unit constant premium was found that indicates that the conditions of portfolio models of black markets are fulfilled.…”

Long-run dynamics of official and black-market exchange rates in Latin America

“…For example, Akgiray, Aydogan, Booth, and Hatem (1989) apply Granger-type causality tests between black and official exchange rates for the case of Turkey, whereas Booth and Mustafa (1991) for the case of Turkey; Phylaktis and Kassimatis (1994), and Moore and Phylaktis (2000) for several Far East countries; Dockery and Taylor (1997) for Eastern European countries; Sarwar (1997) for countries of Southeast Asia; Muco, Papapanagos, and Sanfey (1999) for Albania; and more recently Kouretas and Zarangas (2001) for Greece examine the relationship between black and official foreign exchange rates by applying cointegration tests. Within the same framework, Pozo and Wheeler (1999) and Gervais and Larue (2001) focus on the risk premium behaviour.…”