Download or read book Modeling Nonlinear Dynamics in Exchange Rates and Economic Growth written by Shamar Levaughn Stewart and published by . This book was released on 2019 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores modeling existing nonlinear dynamics in exchange rates and economic growth. Particularly, the three essays, herein, investigate the stability of the International Monetary Fund's Special Drawing Rights (SDR) and synchronicity of economic growth across provinces in China. The first essay empirically assesses the degree of fluctuations in the SDRs attributable to U.S monetary policy. In this vein, I contribute to the financial asset/exchange rate literature by identifying structural shocks to real-time U.S. output growth, inflation, and short-term interest rates. Moreover, I exploit the time-varying heteroskedasticity of the data without imposing a priori exclusion restrictions. Over the period 1981.Q1-2018.Q1, a contractionary U.S. monetary policy shock results in an immediate depreciation of the U.S. dollar value of the euro, Yen, and pound in the SDR basket. After the introduction of French and German Euros in 1999.Q1, all the currencies appreciated against the USD. Also, U.S. monetary policy contributes about 4% of the variations in the SDR basket's return. Chapter 2, explores the effects of U.S. monetary policy shocks on the value of SDRs during the 1981.M1 0́3 1998.M12 and 1999.M1 0́3 2016.M9 vintages. Unlike the first chapter, we test the data against different monetary policy indicators presented in the macroeconomics literature. To this end, we use a structural vector autoregression with identification through heteroskedasticity to identify the appropriate instruments of monetary policy. We find that the nominal exchange rates are insulated from U.S. policy shocks0́4 the contribution does not exceed 15%. In both subsamples, policy easing induces an appreciation in the dollar. In the third chapter, we use a dynamic factor model with time-varying loading parameters and stochastic volatility to document significant evidence of time-varying synchronization of the regional growth dynamics in China. The correlation in cross-region economic growth performance increased during the recent global recession and declined post-recession, albeit still at a higher level than before 2008. While the large degree of synchronization of regional growth dynamics permits the central government (bank) to implement a uniform fiscal (monetary) policy, this also reduces China's ability to stymie the propagation of external shocks and instead increases systemic risks across regions.

Download or read book Nonlinear Exchange Rate Models written by Lucio Sarno and published by International Monetary Fund. This book was released on 2003-05-01 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.

Download or read book Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates written by Serineh Najarian and published by International Monetary Fund. This book was released on 2003-07-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences in magnitudes, frequencies, and durations of the deviations of exchange rates from fixed and time-varying thresholds, both between over-appreciations and over-depreciations and between developed and developing countries. In particular, the average cumulative sum of deviations during periods when exchange rates are below forecasts is twice that of the sum during periods of over-appreciation, and is larger for developing than for advanced countries.

Download or read book A Nonlinear Model of Real Exchange Rate Dynamics with an Application to the Case of Taiwan written by Zhaonan Chen and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Nonlinear Economic Dynamics and Financial Modelling written by Roberto Dieci and published by Springer. This book was released on 2014-07-26 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.

Download or read book Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates written by Carl Chiarella and published by . This book was released on 2006 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper considers a version of the Dornbusch model of exchange rate dynamics which allows a nonlinear domestic demand for foreign assets function and imperfect substitutability between domestic and foreign interest bearing assets. Expectations of exchange rate changes are modelled as adaptive with perfect foresight being obtained as a limiting case. For sufficiently rapid speed of adjustment of expectations the model is able to generate cyclical behaviour of the exchange rate and expectations of its change. In the perfect foresight limit the cycles become relaxation cycles. To this underlying model of the fundamentals a white noise news process is added. Agents are assumed to attempt to learn about the system dynamics and the link between such learning and exchange rate volatility is studied. Two learning scenarios are considered. In the first scenario economic agents are regarded as a uniformly well-informed group of sophisticated traders. In the second scenario a group of naive traders coexist with the sophisticated traders. We find that both learning scenarios lead to increased volatility. However this effect increases in proportion to the weight of the naive traders.

Download or read book Nonlinear Economic Dynamics written by Tönu Puu and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 163 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present study is a preliminary draft on nonlinear economic dynamics, with which the author has been concerned the last years. It grew out from the joint work by Professor Martin Beckmann and the present author on nonlinear statics in spatial economics, Beckmann and Puu, "Spatial Economics" (North-Holland 1985). The monograph mentioned contains sections on price waves and business cycles, but in a linear format. The rest is static theory. The author has finally come to the conviction that linear dynamic modelling has very little to yield. This is due to the poor set of alternatives -decay or explosion of motion -pertinent to linear models. Therefore, the present work centres on non-linearity. Another distinction is that only purely causal models are dealt with, as those formatted as inter-temporal equilibria hardly belong to the more restricted field of dynamics. The spatial origin is visible in the choice of models. Chapter 2 summarizes the work by the author on the structural stability of continuous spatial market equilibrium models. Chapter 3 deals with a re-fonnulation of the ingenious population growth and diffusion model invented by the young Hotelling in 1921. Chapter 4 is a detailed digression on business cycle models in a continuous spatial format with inter-regional trade.

Download or read book Nonlinear Dynamics in Economics Finance and the Social Sciences written by Gian Italo Bischi and published by Springer. This book was released on 2014-10-31 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.

Download or read book Nonlinear Dynamics in Economics Finance and the Social Sciences written by Gian Italo Bischi and published by Springer. This book was released on 2010-02-04 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last two decades there has been a great deal of research into nonlinear dynamic models in economics, finance and the social sciences. This book contains twenty papers that range over very recent applications in these areas. Topics covered include structural change and economic growth, disequilibrium dynamics and economic policy as well as models with boundedly rational agents. The book illustrates some of the most recent research tools in this area and will be of interest to economists working in economic dynamics and to mathematicians interested in seeing ideas from nonlinear dynamics and complexity theory applied to the economic sciences.

Download or read book Growth Theory Nonlinear Dynamics and Economic Modelling written by William A. Brock and published by Edward Elgar Publishing. This book was released on 2001-01-01 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: 'Buz Brock's contribution to economic theory in general and economic dynamics in particular are characterized by an unmatched richness of ideas and by deep theoretical, empirical as well as computational analysis. Brock's contribution to economic dynamics range from one extreme of the field, global stability of stochastic optimal growth models, to another extreme, market instability and nonlinearity in economic and financial modelling and data analysis. But his work also includes environmental and economic policy issues and, more recently, the modelling of markets as complex adaptive systems. This collection of essays reflects Brock's richness of ideas that have motivated economists for more than three decades already and will continue to influence many economists for the next decades to come.' - Cars H. Hommes, University of Amsterdam, The Netherlands 'Buz Brock has been, from the beginning of his career, one of the most original thinkers in dynamic economics. His early work showed that growth with random elements could be studied effectively and above all posed exactly the right questions. His more recent work has brought complexity theory to the fore and shown its implications for financial and other markets. In the process, he has both introduced and used econometric tools to show the relevance of his work to empirically observed phenomena. It is very useful to have his work in collected form.' - Kenneth J. Arrow, Stanford University, US This outstanding collection of William Brock's essays illustrates the power of dynamic modelling to shed light on the forces for stability and instability in economic systems. The articles selected reflect his best work and are indicative both of the type of policy problem that he finds challenging and the complex methodology that he uses to solve them. Also included is an introduction by Brock to his own work, which helps tie together the main aspects of his research to date.

Download or read book Nonlinear Models for Economic Decision Processes written by Ionut Purica and published by World Scientific. This book was released on 2010 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using models, developed in one branch of science, to describe similar behaviors encountered in a different one, is the essence of a synergetic approach. A wide range of topics has been developed including Agent-based models, econophysics, socio-economic networks, information, bounded rationality and learning in economics, markets as complex adaptive systems evolutionary economics, multiscale analysis and modeling, nonlinear dynamics and econometrics, physics of risk, statistical and probabilistic methods in economics and finance. Complexity. This publication concentrates on process behavior of economic systems and building models that stem from Haken's, Prigogine's, Taylor's work as well as from nuclear physics models.

Download or read book Chaos Nonlinear Dynamics in the Financial Markets written by Robert R. Trippi and published by Robert Trippi. This book was released on 1995 with total page 546 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computer disk illustrates behavior of several of the chaotic processes discussed in text. Assists the user in viewing the change in a system from unstable to stable states.

Download or read book Empirical Modeling of Exchange Rate Dynamics written by Francis X. Diebold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.

Download or read book Market Microstructure and Nonlinear Dynamics written by Gilles Dufrénot and published by Springer. This book was released on 2014-07-14 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses market microstructure environment within the context of the global financial crisis. In the first part, the market microstructure theory is recalled and the main microstructure models and hypotheses are discussed. The second part focuses on the main effects of the financial downturn through an examination of market microstructure dynamics. In particular, the effects of market imperfections and the limitations associated with microstructure models are discussed. Finally, the new regulations and recent developments for financial markets that aim to improve the market microstructure are discussed. Well-known experts on the subject contribute to the chapters in the book. A must-read for academic researchers, students and quantitative practitioners.

Download or read book The Exchange Rate in a Dynamic Optimizing Current Account Model with Nominal Rigidities written by Robert Miguel W. K. Kollman and published by International Monetary Fund. This book was released on 1997-01-01 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies dynamic-optimizing model of a semi-small open economy with sticky nominal prices and wages. The model exhibits exchange rate overshooting in response to money supply shocks. The predicted variability of nominal and real exchange rates is roughly consistent with that of G-7 effective exchange rates during the post-Bretton Woods era. The model predicts that a positive domestic money supply shock lowers the domestic nominal interest rate, that it raises output and that it leads to a nominal and real depreciation of the country’s currency. Increases in domestic labor productivity and in the world interest rate too are predicted to induce a nominal and real exchange rate depreciation.

Download or read book Deterministic Chaos in the Foreign Exchange Market written by Paul De Grauwe and published by . This book was released on 1990 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rate written by Carl Chiarella and published by . This book was released on 1996 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: