Download or read book Heterogeneous Expectations and Tests of Efficiency in the Yen dollar Forward Foreign Exchange Rate Market written by Graham Elliott and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the efficiency of the forward yen/dollar market using micro survey data. We first argue that the conventional tests of efficiency (unbiasedness) of the forward rate or of the survey forecasts do not correspond directly to the zero-profit condition. Instead, we use the survey data to calculate directly potential profits of individual forecasters based on a natural trading rule. We find that although the survey data are not the best predictor of future spot rate in terms of typical mean square forecast error criteria, the survey data can be used to obtain on average positive profits. However, these profits are small and highly variable. We also examine profits generated by a trading rule using regression forecasts, where forward premium is an explanatory variable. These profits are also small and highly variable.
Download or read book Heterogeneous Expectations and Tests of Efficiency in the Yen Dollar Forward Exchange Rate Market written by Graham Elliott and published by . This book was released on 1998 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneous Expectations and Tests of Efficiency in the Yen Dollor Forward Exchange Rate Market written by Graham Elliott and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogenous Expectations and Test of Efficiency in the Yen dollar Forward Foreign Exchange Rate Market written by Graham Elliot and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Expectations and the Forward Exchange Rate written by Craig S. Hakkio and published by . This book was released on 1980 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides an empirical examination of the hypothesis that the forward exchange rate provides an "optimal" forecast of the future spot ex-change rate, for five currencies relative to the dollar. This hypothesis provides a convenient norm for examining the erratic behavior of exchange rates; this erratic behavior represents an efficient market that is quickly incorporating new information into the current exchange rate. This hypothesis is analyzed using two distinct, but related, approaches. The first approach is based on a regression of spot rates on lagged forward rates. When using weekly data and a one month forward exchange rate, ordinary least squares regression analysis of market efficiency is incorrect. Econometric methods are proposed which allow for consistent (though not fully efficient) estimation of the parameters and their standard errors. This paper also presents a new approach for testing exchange market efficiency. This approach is based on a general time series process generating the spot and forward exchange rate. The hypothesis of efficiency implies a set of cross-equation restrictions imposed on the parameters of the time series model. This paper derives these restrictions, proposes a maximum likelihood method of estimating the constrained likelihood function, estimates the model and tests the validity of the restrictions with a likelihood ration statistic
Download or read book Long Run and Short Run Test for Market Efficiency written by Dimitris Kenourgios and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study tests the market efficiency hypothesis through the cointegration methodology using forward rates and spot exchange rates of different maturities for the British Pound, the Japanese Yen, and the German Mark exchange market against the USA Dollar. Results indicate that the foreign exchange market is efficient in the long run but we reject the Forward Rate Unbiasedness Hypothesis in the short run, and as a result the spot rate is not an unbiased forecast of the forward rate. These results have significant implications for the government policy makers and these currencies' foreign exchange markets.
Download or read book Testing the Market Efficiency of the Forward Exchange Rate written by Andrew Burns and published by . This book was released on 1987 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Heterogeneous Expectations in the Foreign Exchange Market written by Ralf Ahrens and published by . This book was released on 2001 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Quantitative Financial Economics written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2005-05-05 with total page 736 pages. Available in PDF, EPUB and Kindle. Book excerpt: This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Download or read book Handbook of Economic Forecasting written by Graham Elliott and published by Elsevier. This book was released on 2013-10-24 with total page 1386 pages. Available in PDF, EPUB and Kindle. Book excerpt: The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information about economic forecasting. Volumes 2A and 2B, which follows Nobel laureate Clive Granger's Volume 1 (2006), concentrate on two major subjects. Volume 2A covers innovations in methodologies, specifically macroforecasting and forecasting financial variables. Volume 2B investigates commercial applications, with sections on forecasters' objectives and methodologies. Experts provide surveys of a large range of literature scattered across applied and theoretical statistics journals as well as econometrics and empirical economics journals. The Handbook of Economic Forecasting Volumes 2A and 2B provide a unique compilation of chapters giving a coherent overview of forecasting theory and applications in one place and with up-to-date accounts of all major conceptual issues. Focuses on innovation in economic forecasting via industry applications Presents coherent summaries of subjects in economic forecasting that stretch from methodologies to applications Makes details about economic forecasting accessible to scholars in fields outside economics
Download or read book Economic Forecasting written by Graham Elliott and published by Princeton University Press. This book was released on 2016-04-05 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive and integrated approach to economic forecasting problems Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive, unified approach to assessing the costs and benefits of different methods currently available to forecasters. This text approaches forecasting problems from the perspective of decision theory and estimation, and demonstrates the profound implications of this approach for how we understand variable selection, estimation, and combination methods for forecasting models, and how we evaluate the resulting forecasts. Both Bayesian and non-Bayesian methods are covered in depth, as are a range of cutting-edge techniques for producing point, interval, and density forecasts. The book features detailed presentations and empirical examples of a range of forecasting methods and shows how to generate forecasts in the presence of large-dimensional sets of predictor variables. The authors pay special attention to how estimation error, model uncertainty, and model instability affect forecasting performance. Presents a comprehensive and integrated approach to assessing the strengths and weaknesses of different forecasting methods Approaches forecasting from a decision theoretic and estimation perspective Covers Bayesian modeling, including methods for generating density forecasts Discusses model selection methods as well as forecast combinations Covers a large range of nonlinear prediction models, including regime switching models, threshold autoregressions, and models with time-varying volatility Features numerous empirical examples Examines the latest advances in forecast evaluation Essential for practitioners and students alike
Download or read book Handbook of Economic Forecasting written by G. Elliott and published by Elsevier. This book was released on 2006-05-30 with total page 1071 pages. Available in PDF, EPUB and Kindle. Book excerpt: Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing. *Addresses economic forecasting methodology, forecasting models, forecasting with different data structures, and the applications of forecasting methods *Insights within this volume can be applied to economics, finance and marketing disciplines
Download or read book Market Volatility and Foreign Exchange Intervention in EMEs written by Banco de Pagos Internacionales (Basilea, Suiza). Departamento Monetario y Económico and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Money and Finance written by Michael Melvin and published by Academic Press. This book was released on 2017-03-27 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Money and Finance, Ninth Edition presents an institutional and historical overview of international finance and international money, illustrating how key economic concepts can illuminate real world problems. With three substantially revised chapters, and all chapters updated, it functions as a finance book that includes an international macroeconomics perspective in its final section. It emphasizes the newest trends in research, neatly defining the intersection of macro and finance. Successfully used worldwide in both finance and economics departments at both undergraduate and graduate levels, the book features current data, revised test banks, and sharp insights about the practical implications of decision-making. Includes current events, such as the LIBOR and Greek crises increases emphasis on countries other than the US Minimizes prerequisites to encourage use by students from varied backgrounds
Download or read book Journal of MONETARY ECONOMICS written by and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle written by Philippe Bacchetta and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical evidence shows that macroeconomic fundamentals have little explanatory power for nominal exchange rates. On the other hand, the recent microstructure approach to exchange rates' has shown that most exchange rate volatility at short to medium horizons is related to order flows. This suggests that investor heterogeneity might be key to understanding exchange rate dynamics, in contrast to the common representative agent approach in macroeconomic models of exchange rate determination. To explore this issue, we introduce investor heterogeneity into an otherwise standard monetary model of exchange rate determination. There are two types of heterogeneity: dispersed information about fundamentals and non-fundamentals based heterogeneity (e.g., liquidity traders). We show that information dispersion leads to magnification and endogenous persistence of the impact of non-fundamentals trade on the exchange rate rational confusion about the source of exchange rate fluctuations. Higher order expectations, familiar from Keynes' beauty contest', partly contribute to these results. The implications of the model are consistent with the evidence on the relationship between exchange rates and fundamentals: (i)fundamentals play little role in explaining exchange rate movements in the short to medium run, (ii) over longer horizons the exchange rate is primarily driven by fundamentals, (iii) exchange rate changes are a weak predictor of future fundamentals.
Download or read book Exchange Rate Forecasting Techniques Survey Data and Implications for the Foreign Exchange Market written by International Monetary Fund and published by International Monetary Fund. This book was released on 1990-05-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the dynamics of the foreign exchange market. The first half addresses a number of key questions regarding the forecasts of future exchange rates made by market participants, by means of updated estimates using survey data. Here we follow most of the theoretical and empirical literature in acting as if all market participants share the same expectation. The second half then addresses the possibility of heterogeneous expectations, particularly the distinction between “chartists” and “fundamentalists,” and the implications for trading in the foreign exchange market and for the formation of speculative bubbles.
