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Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.3/5 (512 download)
Download or read book The Time-series Structure of Exchange Rate Fluctuations written by Francis X. Diebold and published by . This book was released on 1988 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis Xavier Diebold
Publisher :
ISBN 13 :
Total Pages : 249 pages
Book Rating : 4.:/5 (153 download)
Download or read book The Time-series Structure of Exchange Rate Fluctuations written by Francis Xavier Diebold and published by . This book was released on 1986 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Francis X. Diebold
Publisher : Springer Science & Business Media
ISBN 13 : 3642456413
Total Pages : 153 pages
Book Rating : 4.6/5 (424 download)
Download or read book Empirical Modeling of Exchange Rate Dynamics written by Francis X. Diebold and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Time-series structure of exchange rate fluctuations : heteroskedasticity, arch, purchasing power parity written by Francis X. Diebold and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christian Hafner
Publisher : Springer Science & Business Media
ISBN 13 : 3662126052
Total Pages : 235 pages
Book Rating : 4.6/5 (621 download)
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.
Author : Christian M. Hafner
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (91 download)
Download or read book Nonlinear Time Series: Analysis with Applications to Foreign Exchange Rate Volatility written by Christian M. Hafner and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Falkmar Butgereit
Publisher : Diplomica Verlag
ISBN 13 : 383669543X
Total Pages : 120 pages
Book Rating : 4.8/5 (366 download)
Download or read book Exchange Rate Determination Puzzle written by Falkmar Butgereit and published by Diplomica Verlag. This book was released on 2010 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: Still after more than thirty years of free floating exchange rates, large parts of exchange rate dynamics remain a puzzle. As this book shows, much progress has been made in explaining exchange rate movements over longer horizons. It also shows, however, that short-run movements are far more challenging to explain. The book is based upon a variety of papers, many of them released recently. A key aspiration of the literature has always been not only to explain past exchange rate behavior but also to forecast out of sample and to compare it to the simple random walk outcome. Here some development has been made after Meese and Rogoff's (1983) truculent verdict of the performance of common exchange rate models. By means of empirical analysis and descriptive statistics this book further supports the established long-run relationships between exchange rates and fundamentals such as expected productivity growth, real GDP growth, domestic investment, interest rates, inflation, government spending, and current account balances. It finds that these fundamentals affect the exchange rate to varying degrees over time. Turning to short-term exchange rate dynamics, it turns out that a different set of forces is at play. The key to explaining short-run movements is to be found in an extensive micro-foundation that factors in a pronounced heterogeneity among market participants and information asymmetries, as well as the possibility of sudden shifts in sentiment, beliefs, and the degree of risk aversion. Promising results have been obtained by order-flow analysis and high frequency data. Also, the consideration of chartism and speculators facilitates understanding for otherwise puzzling exchange rate movements. The last attempt to tackle the understanding of exchange rate behavior is the use of frequency domain analysis and in particular spectral analysis which tries to track down any cyclical patterns in the various moments of time series. And as we shall see forex indeed incorpor
Author : Kenneth S. Rogoff
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.3/5 (512 download)
Download or read book Time-series Studies of the Relationship Between Exchange Rates and Intervention written by Kenneth S. Rogoff and published by . This book was released on 1983 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Paul J.J. Welfens
Publisher : Springer Science & Business Media
ISBN 13 : 3540285261
Total Pages : 290 pages
Book Rating : 4.5/5 (42 download)
Download or read book Structural Change and Exchange Rate Dynamics written by Paul J.J. Welfens and published by Springer Science & Business Media. This book was released on 2005-12-06 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Structural change, economic growth and adequate exchange rate adjustment are key challenges in the context of EU eastern enlargement as are consistent macroeconomic policies. The authors focus on sectoral adjustment across industries in catching-up countries and explain changes in the composition of output – this includes new aspects of the Chenery model. They describe and analyze the spatial pattern of specialization and adjustment in many countries. Theoretical and empirical analysis of foreign direct investment, innovation and structural change shed new light on economic dynamics in Old Europe and New Europe. As regards exchange rate dynamics both traditional aspects (such as the Balassa-Samuelson effect) and new approaches to understanding exchange rate developments are presented. Links between exchange rate changes and innovation are particularly emphasized.
Author : Nicholas Sarantis
Publisher :
ISBN 13 : 9781873152300
Total Pages : pages
Book Rating : 4.1/5 (523 download)
Download or read book Structural and Time Series Models of Exchange Rate Determination written by Nicholas Sarantis and published by . This book was released on 1993 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Imad A. Moosa
Publisher : ICFAI Books
ISBN 13 : 8131400565
Total Pages : 185 pages
Book Rating : 4.1/5 (314 download)
Download or read book Structural Time Series Modelling written by Imad A. Moosa and published by ICFAI Books. This book was released on 2006 with total page 185 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a diverse range of applications of structural time series modelling in Economics and Finance. Chapter 1 begins with a description of structural time series modelling, including model specification, estimation and validation, as well as
Author : Philippe Bacchetta
Publisher :
ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Scapegoat Model of Exchange Rate Fluctuations written by Philippe Bacchetta and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: "While empirical evidence finds only a weak relationship between nominal exchange rates and macroeconomic fundamentals, forex markets participants often attribute exchange rate movements to a macroeconomic variable. The variables that matter, however, appear to change over time and some variable is typically taken as a scapegoat. For example, the current dollar weakness appears to be caused almost exclusively by the large current account deficit, while its previous strength was explained mainly by growth differentials. In this paper, we propose an explanation of this phenomenon in a simple monetary model of the exchange rate with noisy rational expectations, where investors have heterogeneous information on some structural parameter of the economy. In this context, there may be rational confusion about the true source of exchange rate fluctuations, so that if an unobservable variable affects the exchange rate, investors may attribute this movement to some current macroeconomic fundamental. We show that this effect applies only to variables with large imbalances. The model thus implies that the impact of macroeconomic variables on the exchange rate changes over time"--NBER website
Author : John F. Bilson
Publisher : University of Chicago Press
ISBN 13 : 0226050998
Total Pages : 542 pages
Book Rating : 4.2/5 (26 download)
Download or read book Exchange Rate Theory and Practice written by John F. Bilson and published by University of Chicago Press. This book was released on 2007-12-01 with total page 542 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume grew out of a National Bureau of Economic Research conference on exchange rates held in Bellagio, Italy, in 1982. In it, the world's most respected international monetary economists discuss three significant new views on the economics of exchange rates - Rudiger Dornbusch's overshooting model, Jacob Frenkel's and Michael Mussa's asset market variants, and Pentti Kouri's current account/portfolio approach. Their papers test these views with evidence from empirical studies and analyze a number of exchange rate policies in use today, including those of the European Monetary System.
Author : Kedreth Cordell Hogan
Publisher :
ISBN 13 :
Total Pages : 218 pages
Book Rating : 4.:/5 (238 download)
Download or read book Econometric Time Series Analysis of Exchange Rates when Structural Change is Present written by Kedreth Cordell Hogan and published by . This book was released on 1990 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Harry G. Johnson
Publisher : Routledge
ISBN 13 : 1135050368
Total Pages : 2783 pages
Book Rating : 4.1/5 (35 download)
Download or read book Collected Works of Harry G. Johnson written by Harry G. Johnson and published by Routledge. This book was released on 2021-12-02 with total page 2783 pages. Available in PDF, EPUB and Kindle. Book excerpt: Supervised by Maurice Dobb, Harry Johnson was particularly impressed by the breadth and the ideas of Joseph Schumpeter, which greatly influenced his writings in later years. Johnson made many contributions to the development of Heckscher-Ohlin theory and also helped to found the monetary approach to the balance of payments. He wrote many surveys of monetary economics that helped to clarify the issues in question.
Author : Jacob Frenkel
Publisher : Routledge
ISBN 13 : 113503947X
Total Pages : 238 pages
Book Rating : 4.1/5 (35 download)
Download or read book The Economics of Exchange Rates (Collected Works of Harry Johnson) written by Jacob Frenkel and published by Routledge. This book was released on 2013-07-18 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: The studies in this book deal with the determination of foreign exchange rates and the characteristics of the foreign exchange market. Analysis is made of flexible exchange rates through an approach developed by the authors, called the ‘asset-market approach’. Theory is combined with practical application in a clear concise way that will be understood by readers with a basic understanding of economics.
Author : Francis X. Diebold
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.3/5 ( download)
Download or read book The Dynamics of Exchange Rate Volatility written by Francis X. Diebold and published by . This book was released on 1986 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
