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Author : George C. Tsibouris
Publisher :
ISBN 13 :
Total Pages : 290 pages
Book Rating : 4.:/5 (89 download)
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:
Author : Lucio Sarno
Publisher : International Monetary Fund
ISBN 13 : 1451853491
Total Pages : 40 pages
Book Rating : 4.4/5 (518 download)
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.
Author : Ming Chien Lo
Publisher :
ISBN 13 :
Total Pages : 224 pages
Book Rating : 4.:/5 (469 download)
Download or read book Essays on the Nonlinear Modeling of Real Exchange Rates and Price Differentials written by Ming Chien Lo and published by . This book was released on 2000 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roberto Dieci
Publisher : Springer
ISBN 13 : 3319074709
Total Pages : 384 pages
Book Rating : 4.3/5 (19 download)
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 384 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.
Author : Xiaojing Su
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (69 download)
Download or read book Essays on Financial and International Economics written by Xiaojing Su and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is comprised of three essays. Chapter II investigates the dynamic relationship between stock returns and volume. I develop a new framework in which investors maximize their expected utility by optimally placing limit orders in the market. Because these limit orders differ in prices and quantities, transactions may occur at different prices during each trading period, and the instantaneous demand may not equal the instantaneous supply. Multiple trading periods may be necessary for stocks to reach equilibrium. A Mini-Exchange platform has been developed to simulate the trading process of the model. One outcome from the simulation suggests that, during periods of price adjustment, relatively low trading volume predicts a large absolute value change in future price. Empirical estimation by Zou (2007) shows that relatively low past trading volume indicates a relatively large price movement in the future. Her finding is consistent with the prediction of the model. In Chapter III, I measure the out-of-sample stock return predictability based on past price information. In particular, I use several nonlinear models to address the possible nonlinearity-in-mean predictability; I also adopt economic criteria, in addition to commonly used statistical criteria, to evaluate the forecasting performance. For thirteen major international stock markets, growth stocks appear to be more predictable than the general stock markets and value stocks, especially when evaluated with economic criteria. This novel finding is robust to a number of robustness checks. Overall, my results suggest that stock prices do not follow a random walk. Chapter IV in this dissertation turns to the effect of an aging problem in China on the real exchange rate of China. China is undergoing significant demographic changes as its population is aging and will become the biggest country that ages before getting rich. In this chapter, I extend the small open economy model with demographics and life-cycle dynamics (Faruqee 2002) by including a non-tradable sector. The simulation results show that a real appreciation exists in the Chinese exchange rate in the future. Another important finding is that the GDP per capita and consumption per capita will be lower than the case without the aging problem.
Author : Jun Ma
Publisher : Springer Science & Business Media
ISBN 13 : 1461480604
Total Pages : 308 pages
Book Rating : 4.4/5 (614 download)
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.
Author : John Creedy
Publisher : Edward Elgar Publishing
ISBN 13 : 9781782541776
Total Pages : 238 pages
Book Rating : 4.5/5 (417 download)
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.
Author : Zeynep Senyuz
Publisher :
ISBN 13 :
Total Pages : 250 pages
Book Rating : 4.3/5 (121 download)
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:
Author : Zhaonan Chen
Publisher :
ISBN 13 :
Total Pages : 24 pages
Book Rating : 4.:/5 (318 download)
Download or read book A Nonlinear Model of Real Exchange Rate Dynamics, with an Application to the Case of Taiwan written by Zhaonan Chen and published by . This book was released on 1994 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shamar Levaughn Stewart
Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.:/5 (131 download)
Download or read book Modeling Nonlinear Dynamics in Exchange Rates and Economic Growth written by Shamar Levaughn Stewart and published by . This book was released on 2019 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation explores modeling existing nonlinear dynamics in exchange rates and economic growth. Particularly, the three essays, herein, investigate the stability of the International Monetary Fund's Special Drawing Rights (SDR) and synchronicity of economic growth across provinces in China. The first essay empirically assesses the degree of fluctuations in the SDRs attributable to U.S monetary policy. In this vein, I contribute to the financial asset/exchange rate literature by identifying structural shocks to real-time U.S. output growth, inflation, and short-term interest rates. Moreover, I exploit the time-varying heteroskedasticity of the data without imposing a priori exclusion restrictions. Over the period 1981.Q1-2018.Q1, a contractionary U.S. monetary policy shock results in an immediate depreciation of the U.S. dollar value of the euro, Yen, and pound in the SDR basket. After the introduction of French and German Euros in 1999.Q1, all the currencies appreciated against the USD. Also, U.S. monetary policy contributes about 4% of the variations in the SDR basket's return. Chapter 2, explores the effects of U.S. monetary policy shocks on the value of SDRs during the 1981.M1 0́3 1998.M12 and 1999.M1 0́3 2016.M9 vintages. Unlike the first chapter, we test the data against different monetary policy indicators presented in the macroeconomics literature. To this end, we use a structural vector autoregression with identification through heteroskedasticity to identify the appropriate instruments of monetary policy. We find that the nominal exchange rates are insulated from U.S. policy shocks0́4 the contribution does not exceed 15%. In both subsamples, policy easing induces an appreciation in the dollar. In the third chapter, we use a dynamic factor model with time-varying loading parameters and stochastic volatility to document significant evidence of time-varying synchronization of the regional growth dynamics in China. The correlation in cross-region economic growth performance increased during the recent global recession and declined post-recession, albeit still at a higher level than before 2008. While the large degree of synchronization of regional growth dynamics permits the central government (bank) to implement a uniform fiscal (monetary) policy, this also reduces China's ability to stymie the propagation of external shocks and instead increases systemic risks across regions.
Author : Peter L. Bossaerts
Publisher :
ISBN 13 :
Total Pages : 266 pages
Book Rating : 4.:/5 ( download)
Download or read book Three Essays on Spot and Forward Foreign Exchange Rates written by Peter L. Bossaerts and published by . This book was released on 1986 with total page 266 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Xiongwen Rui
Publisher :
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.:/5 (339 download)
Download or read book Essays on the Solution, Estimation, and Analysis of Dynamic Nonlinear Economic Models written by Xiongwen Rui and published by . This book was released on 1995 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Anusha Chari
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Anusha Chari and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yongmiao Hong
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (129 download)
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.
Author : James R Lothian
Publisher : World Scientific
ISBN 13 : 9813148314
Total Pages : 820 pages
Book Rating : 4.8/5 (131 download)
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.
Author : Gilles Kaltenrieder
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (14 download)
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:
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:
