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Bayesian Estimation And Model Selection For The Weekly Colombian Exchange Rate
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Book Synopsis Bayesian Estimation and Model Selection for the Weekly Colombian Exchange Rate by : Norberto Rodríguez
Download or read book Bayesian Estimation and Model Selection for the Weekly Colombian Exchange Rate written by Norberto Rodríguez and published by . This book was released on 2006 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This document reviews and applies recently developed techniques for Bayesian estimation and model selection in the context of Time Series modeling for Stochastic Volatility. After the literature review on Generalized Conditional Autoregressive models, Stochastic Volatility models, and the relevant results on Markov chain Monte Carlo methods (MCMC), an example applying such techniques is shown. The methodology is used with a series of Weekly Colombian - USA Exchange Rate on seven different models. The GARCH model, which uses Type-IV Pearson distribution, is favored for the selecting technique, Reversible Jump MCMC, over other models, including Stochastic Volatility Models with a Student-t distribution.
Book Synopsis Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate by : Norberto Rodríguez Nino
Download or read book Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate written by Norberto Rodríguez Nino and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bayesian model estimation and selection for the weekly Colombia exchange rate by : Norberto Rodríguez Niño
Download or read book Bayesian model estimation and selection for the weekly Colombia exchange rate written by Norberto Rodríguez Niño and published by . This book was released on 2000 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :International Monetary Fund Publisher :INTERNATIONAL MONETARY FUND ISBN 13 :9781451808940 Total Pages :75 pages Book Rating :4.8/5 (89 download)
Book Synopsis Colombia: Selected Issues by : International Monetary Fund
Download or read book Colombia: Selected Issues written by International Monetary Fund and published by INTERNATIONAL MONETARY FUND. This book was released on 2008-01-28 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper quantifies the dynamic effects of fiscal policy using a structural model, the Global Integrated Monetary and Fiscal Model (GIMF). The analysis finds that success of fiscal policy in enhancing macroeconomic stability depends on the type of shock, the response of monetary policy, and the length of fiscal policy implementation lags. The paper also presents the basic structure of the Bayesian VAR describing its empirical implementation and the estimation results and results from the conditional forecasting exercise and remarks. It also assesses Colombia's experience with central bank foreign exchange intervention between 2004 and 2007.
Book Synopsis Exchange Rates in South America's Emerging Markets by : Luis Molinas Sosa
Download or read book Exchange Rates in South America's Emerging Markets written by Luis Molinas Sosa and published by Cambridge University Press. This book was released on 2020-07-16 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since Meese and Rogoff (1983) results showed that no model could outperform a random walk in predicting exchange rates. Many papers have tried to find a forecasting methodology that could beat the random walk, at least for certain forecasting periods. This Element compares the Purchasing Power Parity, the Uncovered Interest Rate, the Sticky Price, the Bayesian Model Averaging, and the Bayesian Vector Autoregression models to the random walk benchmark in forecasting exchange rates between most South American currencies and the US Dollar, and between the Paraguayan Guarani and the Brazilian Real and the Argentinian Peso. Forecasts are evaluated under the criteria of Root Mean Square Error, Direction of Change, and the Diebold-Mariano statistic. The results indicate that the two Bayesian models have greater forecasting power and that there is little evidence in favor of using the other three fundamentals models, except Purchasing Power Parity at longer forecasting horizons.
Book Synopsis Understanding the Behavior of the Real Exchange Rate: Bayesian Estimation of Nonlinear Models by :
Download or read book Understanding the Behavior of the Real Exchange Rate: Bayesian Estimation of Nonlinear Models written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Understanding the Behavior of the Real Exchange Rate by : Gilles Kaltenrieder
Download or read book Understanding the Behavior of the Real Exchange Rate written by Gilles Kaltenrieder and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Estimation and Model Selection of Copulas with an Application to Exchange Rates by : Hans Manner
Download or read book Estimation and Model Selection of Copulas with an Application to Exchange Rates written by Hans Manner and published by . This book was released on 2007 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modeling the Distribution of Exchange Rate Time Series and Measuring the Tail Area by : Héctor Zarate
Download or read book Modeling the Distribution of Exchange Rate Time Series and Measuring the Tail Area written by Héctor Zarate and published by . This book was released on 2006 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the unconditional distribution of returns on exchange rate and measuring its tails area are issues in the finance literature that have been studied extensively by parametric and non-parametric estimation procedures. However, a conflict of robustness is derived from them because the time series involved in this process are usually fat tailed and highly peaked around the center. Moreover, it has been an empirical fact that the initial phase of a freely floating exchange rate regime has experienced high volatility across many economies. The purpose of this paper is twofold. First, we try to capture the behavior of the Colombian exchange rate under the flexible system by fitting special types of distributions in order to obtain a new insight of the underlying distribution. Secondly, we measure the tail area through the Hill estimator. This strategy requires the number of extreme observations in he tails to be known. Therefore, the decision rule of choosing an optimal cutting observation based on the idea of spacing statistics is implemented by using a Monte Carlo simulation under different underlying distributions. The decision model is formulated in such a way that the mean squared error is minimized.
Author :International Monetary Fund. Western Hemisphere Dept. Publisher :International Monetary Fund ISBN 13 :1484302184 Total Pages :47 pages Book Rating :4.4/5 (843 download)
Book Synopsis Colombia by : International Monetary Fund. Western Hemisphere Dept.
Download or read book Colombia written by International Monetary Fund. Western Hemisphere Dept. and published by International Monetary Fund. This book was released on 2017-05-31 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Selected Issues paper assesses the monetary policy stance and broad financial conditions in Colombia. It uses a dynamic stochastic general equilibrium model of a small open economy to estimate the neutral rate. A financial conditions index is also constructed to assess overall financial conditions through three different transmission channels (credit, leverage, risk) of the financial sector to the state of the economy. Results reveal that both monetary policy and broad financial conditions in Colombia remained tight in 2016. The results also show that tighter financial conditions could have had a sizable impact on GDP growth.
Book Synopsis Colombia by : International Monetary
Download or read book Colombia written by International Monetary and published by International Monetary Fund. This book was released on 2023-03-23 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Colombia: Selected Issues
Book Synopsis Bayesian Data Analysis, Third Edition by : Andrew Gelman
Download or read book Bayesian Data Analysis, Third Edition written by Andrew Gelman and published by CRC Press. This book was released on 2013-11-01 with total page 677 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its third edition, this classic book is widely considered the leading text on Bayesian methods, lauded for its accessible, practical approach to analyzing data and solving research problems. Bayesian Data Analysis, Third Edition continues to take an applied approach to analysis using up-to-date Bayesian methods. The authors—all leaders in the statistics community—introduce basic concepts from a data-analytic perspective before presenting advanced methods. Throughout the text, numerous worked examples drawn from real applications and research emphasize the use of Bayesian inference in practice. New to the Third Edition Four new chapters on nonparametric modeling Coverage of weakly informative priors and boundary-avoiding priors Updated discussion of cross-validation and predictive information criteria Improved convergence monitoring and effective sample size calculations for iterative simulation Presentations of Hamiltonian Monte Carlo, variational Bayes, and expectation propagation New and revised software code The book can be used in three different ways. For undergraduate students, it introduces Bayesian inference starting from first principles. For graduate students, the text presents effective current approaches to Bayesian modeling and computation in statistics and related fields. For researchers, it provides an assortment of Bayesian methods in applied statistics. Additional materials, including data sets used in the examples, solutions to selected exercises, and software instructions, are available on the book’s web page.
Book Synopsis Colombia: Financial Sector Assessment Program-Technical Note on Risk Analysis by : International Monetary
Download or read book Colombia: Financial Sector Assessment Program-Technical Note on Risk Analysis written by International Monetary and published by International Monetary Fund. This book was released on 2022-06-03 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Financial Sector Assessment Program (FSAP) risk analysis work was conducted in the aftermath of the initial COVID shock and subsequent lockdowns, and while a strong economic recovery was underway in Colombia during 2021. Given the persistent uncertainty around the evolution of the COVID-19 virus, and for the trajectory of the economic recovery, the outlook remained subject to significant revisions throughout the year. While the workstreams took the latest macroeconomic and supervisory data updates into account as much as possible for the various analyses, the test results and their implications should be interpreted with caution due to high uncertainty around the central projections and downside risks.
Book Synopsis Subsidy-led Growth in a Fortified Port by : Adolfo Meisel Roca
Download or read book Subsidy-led Growth in a Fortified Port written by Adolfo Meisel Roca and published by . This book was released on 2000 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Handbook of International Trade and Transportation by : Bruce A. Blonigen
Download or read book Handbook of International Trade and Transportation written by Bruce A. Blonigen and published by Edward Elgar Publishing. This book was released on 2018-01-26 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: International trade has grown rapidly over the past half century, accommodated by the transportation industry through concomitant growth and technological change. But while the connection between transport and trade flows is clear, the academic literature often looks at these two issues separately. This Handbook is unique in pulling together the key insights of each field while highlighting what we know about their intersection and ideas for future research in this relatively unexamined but growing area of study.
Book Synopsis Global Trade and the Dollar by : Ms.Emine Boz
Download or read book Global Trade and the Dollar written by Ms.Emine Boz and published by International Monetary Fund. This book was released on 2017-11-13 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the following facts: 1) The dollar exchange rate quantitatively dominates the bilateral exchange rate in price pass-through and trade elasticity regressions. U.S. monetary policy induced dollar fluctuations have high pass-through into bilateral import prices. 2) Bilateral non-commodities terms of trade are essentially uncorrelated with bilateral exchange rates. 3) The strength of the U.S. dollar is a key predictor of rest-of-world aggregate trade volume and consumer/producer price inflation. A 1 percent U.S. dollar appreciation against all other currencies in the world predicts a 0.6–0.8 percent decline within a year in the volume of total trade between countries in the rest of the world, controlling for the global business cycle. 4) Using a novel Bayesian semiparametric hierarchical panel data model, we estimate that the importing country’s share of imports invoiced in dollars explains 15 percent of the variance of dollar pass-through/elasticity across country pairs. Our findings strongly support the dominant currency paradigm as opposed to the traditional Mundell-Fleming pricing paradigms.
Book Synopsis Global Trade and the Dollar by : Ms.Emine Boz
Download or read book Global Trade and the Dollar written by Ms.Emine Boz and published by International Monetary Fund. This book was released on 2017-11-13 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We document that the U.S. dollar exchange rate drives global trade prices and volumes. Using a newly constructed data set of bilateral price and volume indices for more than 2,500 country pairs, we establish the following facts: 1) The dollar exchange rate quantitatively dominates the bilateral exchange rate in price pass-through and trade elasticity regressions. U.S. monetary policy induced dollar fluctuations have high pass-through into bilateral import prices. 2) Bilateral non-commodities terms of trade are essentially uncorrelated with bilateral exchange rates. 3) The strength of the U.S. dollar is a key predictor of rest-of-world aggregate trade volume and consumer/producer price inflation. A 1 percent U.S. dollar appreciation against all other currencies in the world predicts a 0.6–0.8 percent decline within a year in the volume of total trade between countries in the rest of the world, controlling for the global business cycle. 4) Using a novel Bayesian semiparametric hierarchical panel data model, we estimate that the importing country’s share of imports invoiced in dollars explains 15 percent of the variance of dollar pass-through/elasticity across country pairs. Our findings strongly support the dominant currency paradigm as opposed to the traditional Mundell-Fleming pricing paradigms.
