Download or read book Stochastic Trends and Multivariate Cointegration Tests in Exchange Rate Models written by Sanath C. Jayanetti and published by . This book was released on 1992 with total page 258 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Multivariate Modelling of Non Stationary Economic Time Series written by John Hunter and published by Springer. This book was released on 2017-05-08 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models. The authors provide a detailed and extensive study of impulse responses and forecasting in the stationary and non-stationary context, considering small sample correction, volatility and the impact of different orders of integration. Models with expectations are considered along with alternate methods such as Singular Spectrum Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and guidance to the now vast literature facing students and graduate economists.
Download or read book The Monetary Model of Exchange Rates and Cointegration written by Javier Gardeazabal and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Download or read book Statistical Analysis of Foreign Exchange Rates written by Koji Kondo and published by . This book was released on 1997 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main drawback however is that it is the more complicated to implement. A Markov chain technique is used as an estimation method. By imposing interest rate parity, the relationship between exchange rate and foreign and domestic interest rate difference is also simultaneously examined. The results indicate that interest rate difference does not affect the level and the volatility of exchange rates. This finding supports the random walk theory of exchange rates. On the other hand two different regimes, a high-volatility regime and a low-volatility regime, are discovered and well modeled. The development of a forecasting model will be the subject for future studies.
Download or read book The Monetary Model of Exchange Rates and Cointegration written by J. Gardeazabal and published by . This book was released on 1992 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Download or read book Integration Cointegration and the Forecast Consistency of Structural Exchange Rate Models written by Yin-Wong Cheung and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that it is fairly easy for the generated forecasts to pass the first requirement. However, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead horizon, most series and their respective forecasts do not appear cointegrated. Of the cointegrated pairs, the restriction of unitary elasticity of forecasts with respect to actual appears not to be rejected in general. The exception to this pattern is in the case of the error correction models in the longer subsample. Using the Horvath-Watson procedure, which imposes a unitary coefficient restriction, we find fewer instances of consistency, but a relatively higher proportion of the identified cases of consistency are found at the longer horizons.
Download or read book Modern Time Series Analysis in Forest Products Markets written by Jens Abildtrup and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 220 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume comprises fifteen papers exploring the consequences of applying modern time-series methods, particularly co-integrated time-series methods, for the analysis of forest economics problems. The methods represent the forefront of econometrics in this area, and the volume is the first of its kind. An introductory paper explains the econometrics of unit-root processes. Much of what follows in the other papers depends upon only a few of the ideas presented in the introduction. The volume includes tests of, e.g., the Law of One Price, land valuation models, demand and supply models, Granger-causality, and forecast models. The reader will learn a great deal about forest economies, particularly in Northern Europe, and about the practical use of modern time-series methods. The methods presented are applicable to other fields of economics. The volume is aimed at researchers in applied economics and as a supplement to (advanced) theoretical textbooks, mainly in Natural Resource Economics.
Download or read book The Dornbusch Frankel Exchange Rate Model and Cointegration written by Jae-Kwang Hwang and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Dornbusch-Frankel monetary model is used to estimate the out-of-sample forecasting performance for the Japanese yen/U.S. dollar exchange rate. By using Johansen's multivariate cointegration, up to three cointegrating vectors were found between the exchange rate and macroeconomic fundamentals. This means that there is a long-run relationship between exchange rate and economic fundamentals. Based on error-correction models, the random-walk model outperforms the Dornbusch-Frankel model at every forecasting horizon. However, the Dornbusch Frankel model with the modified money demand function dominates the random-walk model at every forecasting horizon except twelve month. As a result, the stock price variable can improve the accuracy of forecasts of exchange rates at short-run horizons.
Download or read book Exchange Rate Modeling by Multivariate Nonlinear Cointegration Analysis Using Artificial Neural Networks written by Arie Johan Theodoor Maria Weeren and published by . This book was released on 1997 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Tests of seasonal integration and cointegration in multivariate unobserved component models written by Fabio Busetti and published by . This book was released on 2003 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Using a Theory consistent CVAR Scenario to Test an Exchange Rate Model Based on Imperfect Knowledge written by Katarina Juselius and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Common Stochastic Trends in International Stock Markets written by Dimitris A. Georgoutsos and published by . This book was released on 2000 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study we explore the implications for the identification of common stochastic trends among stock price indices of using data transformed in a quot;real dollarquot; basis. By applying a quot;generalquot; VAR model where all the relevant variables (stock indices, consumer priced indices and the exchange rate) appear, we show that the expected results from the cointegration analysis differ substantially. In particular, the use of the quot;transformedquot; data pre-supposes that the Purchasing Power Parity condition has been imposed. If this is not the case then the adoption of the quot;transformedquot; data leads to an entirely different economic identification of the model where demand shocks play a crucial role and the coefficients of the cointegrating vectors should satisfy different restrictions. Other contributions of this paper is that it studies the problem under the light of recent developments in cointegration theory which allows us to implement our tests in the presence of 1(2) variables. Furthermore we fill a gap in previous studies by testing for the temporal stability of the cointegration results. Our results, on data for the USA and the UK, validate our approach since they make clear that the necessary restrictions for the Purchasing Power Parity to hold are not satisfied and moreover the results are sample dependent.
Download or read book Three Essays on Long Memory Tests for Persistence in Volatility and Structural Vector Autoregression Modeling of Real Exchange Rates written by Osman Kubilay Gursel and published by . This book was released on 2002 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the first chapter the performance of two of the long memory tests, the Modified Rescaled Range Test and Geweke and Porter-Hudak Test for persistence in small samples is examined using Monte-Carlo methods. Some possible candidates for persistence in volatility are Autoregressive Conditional Heteroskedasticity (ARCH), Markov Regime Switching ARCH, and long memory. The long memory series are simulated through a Semi-Markov process with Pareto waiting times and lognormal realizations. The persistence in volatility arising from transition waiting probabilities for a Markov Regime Switching process, and from the tail index of the waiting time distribution for the Semi-Markov process is established through simulations with different parameter values. There is evidence that persistence in a regime switching process is closely linked to state transition probabilities and waiting times. The second chapter re-examines what structural vector autoregressive modeling of real exchange rates with differenced variables tells us about interesting macroeconomic questions. Using quarterly data from G-7 countries in the post Bretton-Woods period, the evidence suggests that shock identification is not an easy process in a Blanchard and Quah decomposition framework with long run restrictions. Confidence bands do not find significant impulse responses and the signs of the estimated impulse responses are very sensitive to the lag selection criteria adopted. Possible cointegration effects seem to be the main driving force behind the unsatisfactory performance of the structural approach. Chapter three extends the structural vector autoregression model by incorporating cointegration effects. Using the method of Warne (1993), in a simple four-variable vector autoregression (VAR) characterized by cointegration, the response of real exchange rates to various economic shocks are investigated with economically plausible long-run restrictions. The long-run relations and driving stochastic trends of the real exchange rate between United States and other G-7 countries are analyzed in a structural cointegrated framework. Productivity shocks depreciate the real exchange rate and the perverse sign effect of supply shock is corrected for most countries in the sample. More significant impulse responses are observed through confidence intervals. The structural vector error correction decompositions are also found to be not robust to estimating with different lag lengths owing to additional cointegration effects.
Download or read book Trend Fundamentals and Exchange Rate Dynamics written by Florian Huber and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a multivariate unobserved components stochastic volatility model to explain the dynamics of a panel of six exchange rates against the US Dollar. The empirical model is based on the assumption that both countries' monetary policy strategies may be well described by Taylor rules with a time-varying inflation target, a time-varying natural rate of unemployment, and interest rate smoothing. Compared to the existing literature, our model simultaneously provides estimates of the latent components included in a typical Taylor rule specification and the model-based real exchange rate. Our estimates closely track major movements along with important time series properties of real and nominal exchange rates across all currencies considered, outperforming a benchmark model that does not account for changes in trend inflation and trend unemployment. More precisely, the proposed approach improves upon competing models in tracking the actual evolution of the real exchange rate in terms of simple correlations while it appreciably improves upon simpler competitors in terms of matching the persistence of the real exchange rate.
Download or read book Exchange Rate Analysis in Support of IMF Surveillance written by Mr.Charalambos G. Tsangarides and published by International Monetary Fund. This book was released on 2008-09-08 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate analysis lies at the center of the IMF's surveillance mandate and policy advice, as well as in the design of IMF-supported programs, and IMF staff are called upon to analyze a wide variety of exchange rate issues in various member countries, both small and large, from the least economically developed to the most advanced, and from those whose currencies circulate only locally to those whose currencies are of global importance. Each year, IMF staff produce dozens of studies on exchange rate issues, some published by the IMF, others in various professional journals or books. This book aims to give a flavor of the topics the IMF staff typically examine under the broad rubric of exchange rate analysis, encompassing several topics: determination and impact of the real exchange rate, assessing competitiveness and the equilibrium real exchange rate in specific countries or country groups, and considerations in the choice of exchange rate regime.
Download or read book Exchange Rate Modelling written by Ronald MacDonald and published by Springer Science & Business Media. This book was released on 2013-04-17 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: Are foreign exchange markets efficient? Are fundamentals important for predicting exchange rate movements? What is the signal-to-ratio of high frequency exchange rate changes? Is it possible to define a measure of the equilibrium exchange rate that is useful from an assessment perspective? The book is a selective survey of current thinking on key topics in exchange rate economics, supplemented throughout by new empirical evidence. The focus is on the use of advanced econometric tools to find answers to these and other questions which are important to practitioners, policy-makers and academic economists. In addition, the book addresses more technical econometric considerations such as the importance of the choice between single-equation and system-wide approaches to modelling the exchange rate, and the reduced form versus structural equation problems. Readers will gain both a comprehensive overview of the way macroeconomists approach exchange rate modelling, and an understanding of how advanced techniques can help them explain and predict the behavior of this crucial economic variable.
Download or read book The Oxford Handbook of Panel Data written by Badi Hani Baltagi and published by . This book was released on 2015 with total page 705 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Oxford Handbook of Panel Data examines new developments in the theory and applications of panel data. It includes basic topics like non-stationary panels, co-integration in panels, multifactor panel models, panel unit roots, measurement error in panels, incidental parameters and dynamic panels, spatial panels, nonparametric panel data, random coefficients, treatment effects, sample selection, count panel data, limited dependent variable panel models, unbalanced panel models with interactive effects and influential observations in panel data. Contributors to the Handbook explore applications of panel data to a wide range of topics in economics, including health, labor, marketing, trade, productivity, and macro applications in panels. This Handbook is an informative and comprehensive guide for both those who are relatively new to the field and for those wishing to extend their knowledge to the frontier. It is a trusted and definitive source on panel data, having been edited by Professor Badi Baltagi-widely recognized as one of the foremost econometricians in the area of panel data econometrics. Professor Baltagi has successfully recruited an all-star cast of experts for each of the well-chosen topics in the Handbook.
