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Identifying And Modelling Nonlinearities In Australian Foreign Exchange Rate Data By Means Of Flexible Nonlinear Inference
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Book Synopsis Identifying and Modelling Nonlinearities in Australian Foreign Exchange Rate Data by Means of Flexible Nonlinear Inference by : R. Becker
Download or read book Identifying and Modelling Nonlinearities in Australian Foreign Exchange Rate Data by Means of Flexible Nonlinear Inference written by R. Becker and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Identifying and Modelling Nonlinearites in Australian Foriegn Exchange Rate Data by Means of Flexible Nonlinear Inference by : R. Becker
Download or read book Identifying and Modelling Nonlinearites in Australian Foriegn Exchange Rate Data by Means of Flexible Nonlinear Inference written by R. Becker and published by . This book was released on 1999 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Conquering Fear of Floating by : Li Cui
Download or read book Conquering Fear of Floating written by Li Cui and published by International Monetary Fund. This book was released on 2007-07-01 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: Australia has enjoyed fifteen years of uninterrupted economic expansion since 1992 despite shocks such as the Asian crisis in 1997-98 and the information technology bust in 2000-01. This resilient economic performance owes much to wide-ranging structural reforms and the improved frameworks for monetary and fiscal policies that were implemented after the Australian dollar was floated in 1983. In addition to gaining the expected macroeconomic benefits from exchange rate flexibility, the float appeared to help motivate and facilitate the subsequent reforms. Australia's experience with adapting to a floating currency may therefore be of broader interest.
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.
Book Synopsis On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates by : Jan C. Ruelke
Download or read book On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates written by Jan C. Ruelke and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness.
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.
Book Synopsis Inferences on Predictability of Foreign Exchange Rates Via Generalized Spectrum and Nonlinear Models by : Yongmiao Hong
Download or read book Inferences on Predictability of Foreign Exchange Rates Via Generalized Spectrum and Nonlinear Models written by Yongmiao Hong and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is often documented, based on autocorrelation, variance ratio and power spectrum, that exchange rates approximately follow a martingale process. Because autocorrelation, variance ratio and spectrum check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the martingale hypothesis when the test statistics are insignificant. In this paper, we explore whether there exists a gap between serial uncorrelatedness and martingale difference for exchange rate changes, and if so, whether nonlinear time series models admissible in the gap can outperform the martingale model in out-of-sample forecasts. Applying the generalized spectral tests of Hong (1999) to five major exchange rates, we find that the changes of exchange rates are often serially uncorrelated, but there exists strong nonlinearity in conditional mean, in addition to the well-known volatility clustering. To forecast the conditional mean, we consider the linear autoregressive, autoregressive polynomial, artificial neural network and functional-coefficient models, as well as their combination. The functional coefficient model allows the autoregressive coefficients to depend on investment positions via an moving average technical trading rule. We evaluate out-of-sample forecasts of these models relative to the martingale model, using four criteria-the mean squared forecast error, the mean absolute forecast error, the mean forecast trading return, and the mean correct forecast direction. White's (2000) reality check method is used to avoid data-snooping bias. It is found that some nonlinear models, particularly their combination, do have superior predictive ability over the martingale model for some currencies in terms of certain forecast evaluation criteria.
Book Synopsis On the Detection of Nonlinearity in Foreign Exchange Data by : Paolo Guarda
Download or read book On the Detection of Nonlinearity in Foreign Exchange Data written by Paolo Guarda and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Central Bank Intervention and Exchange Rate Volatility by : Suk-Joong Kim
Download or read book Central Bank Intervention and Exchange Rate Volatility written by Suk-Joong Kim and published by . This book was released on 1999 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis An Empirical Investigation Into Australia's Asset Markets and Exchange Rates by : E. S. Leung
Download or read book An Empirical Investigation Into Australia's Asset Markets and Exchange Rates written by E. S. Leung and published by . This book was released on 1992 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Testing for Nonlinearities in Time Series with an Application to Exchange Rates by : Yan Zhang
Download or read book Testing for Nonlinearities in Time Series with an Application to Exchange Rates written by Yan Zhang and published by . This book was released on 2002 with total page 226 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation focuses on testing for nonlinearities in time series. Inspired by the work of Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988), we consider applying a linearity test constructed specifically to general linearity testing by utilizing the power of a specific linearity test against "incorrect" nonlinear models. The LM test is discussed as a specific linearity test. To evaluate its performance as a general linearity test, we introduce a popular general linearity test, the BDS test, for comparison. Both power and size properties of the tests are investigated using Monte Carlo simulation and Bootstrap methods. The data generating process are the linear AR model and the nonlinear BL, EAR, TAR, STAR and ARCH models. Though the powers of the LM tests vary according to the data generating process, as Luukkonen et al. (1988) and Saikkonen and Luukkonen (1988) concluded, we are able to find that the START, the LM test with the STAR model as alternative, has generally good powers for all the nonlinear models discussed. We apply the result to an empirical study of four major countries' foreign exchange rate series. Linearity tests in the form of START and BDS are conducted for the data. The START statistics indicate that all the four exchange rates series are nonlinear, while the BDS statistics only detect nonlinearities in three of the four series. We estimate the series in the nonlinear form of ESTAR and BL models. All of them are significant and most of them are better than the linear AR estimation. Meese and Rogoff's myth that nonlinear models cannot do better than the naïve random walk model is also discussed for this specific data.
Book Synopsis Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes by : Jeffrey A. Frankel
Download or read book Estimation of Nonlinear Exchange Rate Dynamics in Evolving Regimes written by Jeffrey A. Frankel and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new econometric framework to estimate and classify exchange rate regimes. They are classified into four distinct categories: fixed exchange rates, BBC (band, basket and crawl), managed floating, and freely floating. The procedure captures the patterns of exchange rate dynamics and the interventions by authorities under each of the regimes. We pay particular attention to the BBC and offer a new approach to parameter estimation by utilizing a three-regime Threshold Auto Regressive (TAR) model to reveal the nonlinear nature of exchange rate dynamics. We further extend our benchmark framework to allow the evolution of exchange rate regimes over time by adopting the minimum description length (MDL) principle, to overcome the challenge of simultaneous two-dimensional inference of nonlinearity in the state dimension and structural breaks in the time dimension. We apply our framework to 26 countries. The results suggest that exchange rate dynamics under different regimes are well captured by our new framework.
Book Synopsis On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates by : Stefan Reitz
Download or read book On the Nonlinear Influence of Reserve Bank of Australia Interventions on Exchange Rates written by Stefan Reitz and published by . This book was released on 2010 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Nonlinear Time Series Analysis by : Ruey S. Tsay
Download or read book Nonlinear Time Series Analysis written by Ruey S. Tsay and published by John Wiley & Sons. This book was released on 2018-09-14 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive resource that draws a balance between theory and applications of nonlinear time series analysis Nonlinear Time Series Analysis offers an important guide to both parametric and nonparametric methods, nonlinear state-space models, and Bayesian as well as classical approaches to nonlinear time series analysis. The authors—noted experts in the field—explore the advantages and limitations of the nonlinear models and methods and review the improvements upon linear time series models. The need for this book is based on the recent developments in nonlinear time series analysis, statistical learning, dynamic systems and advanced computational methods. Parametric and nonparametric methods and nonlinear and non-Gaussian state space models provide a much wider range of tools for time series analysis. In addition, advances in computing and data collection have made available large data sets and high-frequency data. These new data make it not only feasible, but also necessary to take into consideration the nonlinearity embedded in most real-world time series. This vital guide: • Offers research developed by leading scholars of time series analysis • Presents R commands making it possible to reproduce all the analyses included in the text • Contains real-world examples throughout the book • Recommends exercises to test understanding of material presented • Includes an instructor solutions manual and companion website Written for students, researchers, and practitioners who are interested in exploring nonlinearity in time series, Nonlinear Time Series Analysis offers a comprehensive text that explores the advantages and limitations of the nonlinear models and methods and demonstrates the improvements upon linear time series models.
Book Synopsis NBER Macroeconomics Annual 2007 by : Daron Acemoglu
Download or read book NBER Macroeconomics Annual 2007 written by Daron Acemoglu and published by . This book was released on 2008-03 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The NBER Macroeconomics Annual provides a forum for important debates in contemporary macroeconomics and major developments in the theory of macroeconomic analysis and policy that include leading economists from a variety of fields. The papers and accompanying discussions in NBER Macroeconomics Annual 2007 address exchange-rate models; implications of credit market frictions; cyclical budgetary policy and economic growth; the impacts of shocks to government spending on consumption, real wages, and employment; dynamic macroeconomic models; and the role of cyclical entry of new firms and products on the nature of business-cycle fluctuations and on the effects of monetary policy.
Book Synopsis Artificial Intelligence in Asset Management by : Söhnke M. Bartram
Download or read book Artificial Intelligence in Asset Management written by Söhnke M. Bartram and published by CFA Institute Research Foundation. This book was released on 2020-08-28 with total page 95 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) has grown in presence in asset management and has revolutionized the sector in many ways. It has improved portfolio management, trading, and risk management practices by increasing efficiency, accuracy, and compliance. In particular, AI techniques help construct portfolios based on more accurate risk and return forecasts and more complex constraints. Trading algorithms use AI to devise novel trading signals and execute trades with lower transaction costs. AI also improves risk modeling and forecasting by generating insights from new data sources. Finally, robo-advisors owe a large part of their success to AI techniques. Yet the use of AI can also create new risks and challenges, such as those resulting from model opacity, complexity, and reliance on data integrity.
Author :National Academies of Sciences, Engineering, and Medicine Publisher :National Academies Press ISBN 13 :0309459575 Total Pages :483 pages Book Rating :4.3/5 (94 download)
Book Synopsis Pain Management and the Opioid Epidemic by : National Academies of Sciences, Engineering, and Medicine
Download or read book Pain Management and the Opioid Epidemic written by National Academies of Sciences, Engineering, and Medicine and published by National Academies Press. This book was released on 2017-09-28 with total page 483 pages. Available in PDF, EPUB and Kindle. Book excerpt: Drug overdose, driven largely by overdose related to the use of opioids, is now the leading cause of unintentional injury death in the United States. The ongoing opioid crisis lies at the intersection of two public health challenges: reducing the burden of suffering from pain and containing the rising toll of the harms that can arise from the use of opioid medications. Chronic pain and opioid use disorder both represent complex human conditions affecting millions of Americans and causing untold disability and loss of function. In the context of the growing opioid problem, the U.S. Food and Drug Administration (FDA) launched an Opioids Action Plan in early 2016. As part of this plan, the FDA asked the National Academies of Sciences, Engineering, and Medicine to convene a committee to update the state of the science on pain research, care, and education and to identify actions the FDA and others can take to respond to the opioid epidemic, with a particular focus on informing FDA's development of a formal method for incorporating individual and societal considerations into its risk-benefit framework for opioid approval and monitoring.
