Essays On Nonlinear Models Of Foreign Exchange

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Nonlinear Exchange Rate Models

Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 : 1451853491
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Nonlinear Exchange Rate Models by : Lucio Sarno

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.

Essays on Nonlinear Models of Foreign Exchange

Author : George C. Tsibouris
Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.:/5 (89 download)

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Book Synopsis Essays on Nonlinear Models of Foreign Exchange by : George C. Tsibouris

Download or read book Essays on Nonlinear Models of Foreign Exchange written by George C. Tsibouris and published by . This book was released on 1992 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Essays on Rational Expectations and Flexible Exchange Rates

Author : Nasser Saidi
Publisher : Routledge
ISBN 13 : 1351804847
Total Pages : 205 pages
Book Rating : 4.3/5 (518 download)

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Book Synopsis Essays on Rational Expectations and Flexible Exchange Rates by : Nasser Saidi

Download or read book Essays on Rational Expectations and Flexible Exchange Rates written by Nasser Saidi and published by Routledge. This book was released on 2017-07-14 with total page 205 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 1982. This book deals with exchange-rate determination and the implications of floating rate regimes for the time paths of prices and quantities. It develops a class of stochastic equilibrium models of the open economy operating under flexible exchange rates, assuming that agents are endowed with rational expectations but do not possess full current information as to the state of the world. Chapters look at a model’s response to economic disturbances, the effect on non-traded goods, and cyclical variations of the terms of trade. The final chapter considers a model to investigate purchasing parity issues.

Nonlinear Economic Dynamics and Financial Modelling

Author : Roberto Dieci
Publisher : Springer
ISBN 13 : 3319074709
Total Pages : 389 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Nonlinear Economic Dynamics and Financial Modelling by : Roberto Dieci

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 389 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.

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Author : Serineh Najarian
Publisher : International Monetary Fund
ISBN 13 : 1451857691
Total Pages : 50 pages
Book Rating : 4.4/5 (518 download)

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Book Synopsis Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates by : Serineh Najarian

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.

Essays in International Money and Finance

Author : James R Lothian
Publisher : World Scientific
ISBN 13 : 9813148314
Total Pages : 820 pages
Book Rating : 4.8/5 (131 download)

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Book Synopsis Essays in International Money and Finance by : James R Lothian

Download or read book Essays in International Money and Finance written by James R Lothian and published by World Scientific. This book was released on 2017-06-29 with total page 820 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of the book is to make the author's scholarly research in the areas of international finance and monetary economics easily accessible to other researchers and students. The articles included in the book span a wide range. The topics include the behavior of the three key relations in international finance, purchasing power parity, interest rate parity and real interest rate equality, the relation between money and other key economic variables, financial globalization and the transmission of economic disturbances internationally.

Recent Advances in Estimating Nonlinear Models

Author : Jun Ma
Publisher : Springer Science & Business Media
ISBN 13 : 1461480604
Total Pages : 308 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Recent Advances in Estimating Nonlinear Models by : Jun Ma

Download or read book Recent Advances in Estimating Nonlinear Models written by Jun Ma and published by Springer Science & Business Media. This book was released on 2013-09-24 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear models have been used extensively in the areas of economics and finance. Recent literature on the topic has shown that a large number of series exhibit nonlinear dynamics as opposed to the alternative--linear dynamics. Incorporating these concepts involves deriving and estimating nonlinear time series models, and these have typically taken the form of Threshold Autoregression (TAR) models, Exponential Smooth Transition (ESTAR) models, and Markov Switching (MS) models, among several others. This edited volume provides a timely overview of nonlinear estimation techniques, offering new methods and insights into nonlinear time series analysis. It features cutting-edge research from leading academics in economics, finance, and business management, and will focus on such topics as Zero-Information-Limit-Conditions, using Markov Switching Models to analyze economics series, and how best to distinguish between competing nonlinear models. Principles and techniques in this book will appeal to econometricians, finance professors teaching quantitative finance, researchers, and graduate students interested in learning how to apply advances in nonlinear time series modeling to solve complex problems in economics and finance.

Essays on Nonlinear Modeling of Real and Financial Markets with Applications to U.S. and International Data

Author : Zeynep Senyuz
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.3/5 (121 download)

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Book Synopsis Essays on Nonlinear Modeling of Real and Financial Markets with Applications to U.S. and International Data by : Zeynep Senyuz

Download or read book Essays on Nonlinear Modeling of Real and Financial Markets with Applications to U.S. and International Data written by Zeynep Senyuz and published by . This book was released on 2008 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

Author : Christian Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3662126052
Total Pages : 235 pages
Book Rating : 4.6/5 (621 download)

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Book Synopsis Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility by : Christian Hafner

Download or read book Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility written by Christian Hafner and published by Springer Science & Business Media. This book was released on 2013-11-27 with total page 235 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

Political Complexity

Author : Diana Eva-Ann Richards
Publisher : University of Michigan Press
ISBN 13 : 0472026992
Total Pages : 352 pages
Book Rating : 4.4/5 (72 download)

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Book Synopsis Political Complexity by : Diana Eva-Ann Richards

Download or read book Political Complexity written by Diana Eva-Ann Richards and published by University of Michigan Press. This book was released on 2010-06-02 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: This collection illustrates how nonlinear methods can provide new insight into existing political questions. Politics is often characterized by unexpected consequences, sensitivity to small changes, non-equilibrium dynamics, the emergence of patterns, and sudden changes in outcomes. These are all attributes of nonlinear processes. Bringing together a variety of recent nonlinear modeling approaches, Political Complexity explores what happens when political actors operate in a dynamic and complex social environment. The contributions to this collection are organized in terms of three branches within non-linear theory: spatial nonlinearity, temporal nonlinearity, and functional nonlinearity. The chapters advance beyond analogy towards developing rigorous nonlinear models capable of empirical verification. Contributions to this volume cover the areas of landscape theory, computational modeling, time series analysis, cross-sectional analysis, dynamic game theory, duration models, neural networks, and hidden Markov models. They address such questions as: Is international cooperation necessary for effective economic sanctions? Is it possible to predict alliance configurations in the international system? Is a bureaucratic agency harder to remove as time goes on? Is it possible to predict which international crises will result in war and which will avoid conflict? Is decentralization in a federal system always beneficial? The contributors are David Bearce, Scott Bennett, Chris Brooks, Daniel Carpenter, Melvin Hinich, Ken Kollman, Susanne Lohmann, Walter Mebane, John Miller, Robert E. Molyneaux, Scott Page, Philip Schrodt, and Langche Zeng. This book will be of interest to a broad group of political scientists, ranging from those who employ nonlinear methods to those curious to see what it is about. Scholars in other social science disciplines will find the new methodologies insightful for their own substantive work. Diana Richards is Associate Professor of Political Science, University of Minnesota.

Essays in Honor of Subal Kumbhakar

Author : Christopher F. Parmeter
Publisher : Emerald Group Publishing
ISBN 13 : 1837978735
Total Pages : 487 pages
Book Rating : 4.8/5 (379 download)

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Book Synopsis Essays in Honor of Subal Kumbhakar by : Christopher F. Parmeter

Download or read book Essays in Honor of Subal Kumbhakar written by Christopher F. Parmeter and published by Emerald Group Publishing. This book was released on 2024-04-05 with total page 487 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is the editor’s distinct privilege to gather this collection of papers that honors Subhal Kumbhakar’s many accomplishments, drawing further attention to the various areas of scholarship that he has touched.

An Empirical Exploration of Exchange Rate Target-Zones

Author : Mr.Robert P. Flood
Publisher :
ISBN 13 :
Total Pages : 106 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis An Empirical Exploration of Exchange Rate Target-Zones by : Mr.Robert P. Flood

Download or read book An Empirical Exploration of Exchange Rate Target-Zones written by Mr.Robert P. Flood and published by . This book was released on 1991-02 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of nonlinearities in the relationship between the exchange rates and fundamentals. Many implications of existing “target-zone” exchange rate models are tested; little support is found for existing nonlinear models of limited exchange rate flexibility.

Nonlinear Models, Labour Markets, and Exchange

Author : John Creedy
Publisher : Edward Elgar Publishing
ISBN 13 : 9781782541776
Total Pages : 238 pages
Book Rating : 4.5/5 (417 download)

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Book Synopsis Nonlinear Models, Labour Markets, and Exchange by : John Creedy

Download or read book Nonlinear Models, Labour Markets, and Exchange written by John Creedy and published by Edward Elgar Publishing. This book was released on 2002-07-29 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Models, Labour Markets and Exchange offers a number of broad introductory surveys in the areas of nonlinear modelling, labour economics and the economic analysis of exchange. This collection of articles consists largely of recently published refereed papers. The early chapters provide an introduction to the analysis of 'chaos and strange attractors' and the use of the very flexible generalised exponential family of frequency distributions in analysing both time series and cross-sectional distributions. The volume then provides syntheses of the theories of internal labour markets, trade union bargaining, and population ageing and its implications. It goes on to survey a range of topics in the broad area of the theory of exchange, which is central to the neoclassical economic model. Finally, the book provides some advice for students who are about to start their first piece of research. It ends with a unique survey of the history of economic analysis. Providing introductory material and syntheses of a wide range of topics, Nonlinear Models, Labour Markets and Exchange will be welcomed by economics academics and researchers interested in labour economics and econometrics.

Political Complexity

Author : Diana Richards Doyle
Publisher : University of Michigan Press
ISBN 13 : 9780472109647
Total Pages : 368 pages
Book Rating : 4.1/5 (96 download)

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Book Synopsis Political Complexity by : Diana Richards Doyle

Download or read book Political Complexity written by Diana Richards Doyle and published by University of Michigan Press. This book was released on 2000-05-22 with total page 368 pages. Available in PDF, EPUB and Kindle. Book excerpt: DIVDemonstrates how non-linear models help us understand political phenomena /div

Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle

Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)

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Book Synopsis Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle by : Lucio Sarno

Download or read book Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle written by Lucio Sarno and published by International Monetary Fund. This book was released on 2006-05 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less indicative of major market inefficiencies than previously thought. Monte Carlo experiments allow us to reconcile these results with the large empirical literature on the forward bias puzzle since we show that, if the true process of UIP deviations were of the nonlinear form we consider, estimation of conventional spot-forward regressions would generate the anomalies documented in previous research.

Three Essays on Dynamics of Real Exchange Rate

Author : Deokwoo Nam
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (891 download)

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Book Synopsis Three Essays on Dynamics of Real Exchange Rate by : Deokwoo Nam

Download or read book Three Essays on Dynamics of Real Exchange Rate written by Deokwoo Nam and published by . This book was released on 2008 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Monetary Policy, Capital Flows and Exchange Rates

Author : William Allen
Publisher : Routledge
ISBN 13 : 1134530145
Total Pages : 304 pages
Book Rating : 4.1/5 (345 download)

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Book Synopsis Monetary Policy, Capital Flows and Exchange Rates by : William Allen

Download or read book Monetary Policy, Capital Flows and Exchange Rates written by William Allen and published by Routledge. This book was released on 2004-03-18 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: Maxwell Fry was known internationally for his research into international and domestic financial issues. This book constitutes a tribute to his pioneering work in so many areas, and draws together contributions from a range of academic and policy-making colleagues who were fortunate enough to experience the depth of knowledge and insights which Maxwell demonstrated.