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Integration Cointegration And The Forecast Consistency Of Structural Exchange Rate Models
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Book Synopsis Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models by : Yin-Wong Cheung
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.
Book Synopsis Cointegration and exchange rate forecasting by : Zhaohui Chen
Download or read book Cointegration and exchange rate forecasting written by Zhaohui Chen and published by . This book was released on 1993 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multiple Cointegration and Structural Models by : Selahattin Dibooglu
Download or read book Multiple Cointegration and Structural Models written by Selahattin Dibooglu and published by . This book was released on 1993 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Modelling the US$/A$ Exchange Rate Using Cointegration Techniques by : Costas I. Karfakis
Download or read book Modelling the US$/A$ Exchange Rate Using Cointegration Techniques written by Costas I. Karfakis and published by . This book was released on 1996 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Working Paper Series written by and published by . This book was released on 1994 with total page 514 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Preparation of Monetary Policy by : J.M. Berk
Download or read book The Preparation of Monetary Policy written by J.M. Berk and published by Springer Science & Business Media. This book was released on 2013-03-14 with total page 157 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard macroeconomic monographs often discuss the mechanism of monetary transmission, usually ending by highlighting the complexities and uncertainties involved in this mechanism. Conversely, The Preparation of Monetary Policy takes these uncertainties as a starting point, analytically investigating their nature and spelling out their consequences for the monetary policy maker. The second innovative aspect of this book is its focus on policy preparation instead of well-covered topics such as monetary policy strategy, tactics, and implementation. Thirdly, a general, multi-model framework for preparing monetary policy is proposed, which is illustrated by case studies stressing the role of international economic linkages and of expectations. Written in a self-contained fashion, these case studies are of interest by themselves. The book is written for an audience that is interested in the art and science of monetary policy making, which includes central bankers, academics, and (graduate) students in the field of monetary economics, macroeconomics, international economics and finance.
Book Synopsis Cointegration Modeling of Expected Exchange Rates by : Robert A. Connolly
Download or read book Cointegration Modeling of Expected Exchange Rates written by Robert A. Connolly and published by . This book was released on 2012 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: If foreign exchange market participants form rational forecasts of future exchange rates, we should expect that these forecasts should be closely matched to subsequent realizations. Specifically, rational forecasts of a time series and the observed series itself should be cointegrated. In this paper, we apply this insight to multiple exchange rate series and a corresponding set of market expectations of future values of the exchange rate series. We build a cointegration (and associated error-correction) model of actual and expected exchange rates for five exchange rates against the U.S. Dollar, using weekly expectations data from Money Market Services, International for the 1986 - 1997 period. Our empirical work produces very strong evidence of cointegration between the exchange rate series and the expected rates series. We find strong evidence that existing work that ignores the impact of error-correction is significantly misspecified. At the shortest forecast horizon, the error-correction term dominates all other determinants of changes in expected exchange rates in our sample and indicates a sensible response by market participants to past mistakes in forecasting future rates. At longer forecast horizons, error-correction remains very important, but lagged changes in actual and expected rates also play a role. We find limited evidence of threshold effects in our error-correction 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 Controversies in Economics and Finance by : Imad A. Moosa
Download or read book Controversies in Economics and Finance written by Imad A. Moosa and published by Edward Elgar Publishing. This book was released on 2020-11-27 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this fascinating book, Imad A. Moosa challenges existing preconceptions surrounding normative economics, arguing that what some economists see as undisputed facts of life may be myths caused by dogmatic thinking. Plausible explanations are suggested for puzzles in various areas of economics and finance, such as the home bias puzzle, the PPP puzzle and the presidential puzzle. Controversies in Economics and Finance is a thought-provoking and stimulating read that exposes common flaws in economic analysis. It will be of great benefit to academics, graduate students and policy-makers looking to understand the limits of economic analysis.
Book Synopsis Econometrics as a Con Art by : Imad A. Moosa
Download or read book Econometrics as a Con Art written by Imad A. Moosa and published by Edward Elgar Publishing. This book was released on 2017-07-28 with total page 253 pages. Available in PDF, EPUB and Kindle. Book excerpt: Imad Moosa challenges convention with this comprehensive and compelling critique of econometrics, condemning the common practices of misapplied statistical methods in both economics and finance.
Book Synopsis Exchange Rates, Capital Flows and Policy by : Rebecca Driver
Download or read book Exchange Rates, Capital Flows and Policy written by Rebecca Driver and published by Routledge. This book was released on 2013-04-15 with total page 456 pages. Available in PDF, EPUB and Kindle. Book excerpt: Combining thorough scholarship with illuminating real-world examples, this edited collection provides insights on the causes and consequences of movements in both exchange rates and external assets and has a strong focus on the policy implications of operating in an open economy, particularly the choice of exchange rate and monetary policy, exchange rate intervention and policies on capital mobility.
Book Synopsis Cointegration and Exchange Rate Forecasting by : Alan Gregory
Download or read book Cointegration and Exchange Rate Forecasting written by Alan Gregory and published by . This book was released on 1993 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Real Exchange Rates in the Long and Short Run by : César A. Calderón
Download or read book Real Exchange Rates in the Long and Short Run written by César A. Calderón and published by . This book was released on 2008 with total page 43 pages. Available in PDF, EPUB and Kindle. Book excerpt: The main goal of this paper is to tackle the empirical issues of the real exchange rate literature by applying recently developed panel cointegration techniques to a structural long-run real exchange rate equation. Using annual data for 67 countries over 1966-97, we find evidence of cointegration between the real exchange rate and its fundamentals. I also find: (a) evidence of cointegration holds for all sub-samples of countries (classified by income or capital controls), (b) parameter constancy across units holds only for high income countries and low capital controls, (c) structural change in the cointegrating relationship around 1973, (d) estimated parameters consistent with theoretical values implied with calibrated parameters of preferences and technology, (e) deviations from the equilibrium are large and persistent with half-life (between 2.8 and 5) consistent with the consensus interval of 2.5-5 found in the literature (Murray and Papell, 2002).
Book Synopsis International Finance by : Piet Sercu
Download or read book International Finance written by Piet Sercu and published by Princeton University Press. This book was released on 2009-03-22 with total page 832 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on international markets and multinational corporate finance, this book is the go-to resource for students seeking a complete understanding of the field.
Book Synopsis Exchange Rate Economics by : Ronald MacDonald
Download or read book Exchange Rate Economics written by Ronald MacDonald and published by Routledge. This book was released on 2005 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: ''In summary, the book is valuable as a textbook both at the advanced undergraduate level and at the graduate level. It is also very useful for the economist who wants to be brought up-to-date on theoretical and empirical research on exchange rate behaviour.'' ""Journal of International Economics""
Download or read book Working Paper written by and published by . This book was released on 1996 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Reconsidering Cointegration in International Finance by : Godbout, Marie-Josée
Download or read book Reconsidering Cointegration in International Finance written by Godbout, Marie-Josée and published by . This book was released on 1997-01-01 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
