Empirical Tests of Mean Reversion in Real Exchange Rates PDF Download
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Author: M. F. Bleaney
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 30
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Book Description
Author: M. F. Bleaney
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 30
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Book Description
Author: Yingzi Su
Publisher:
ISBN:
Category :
Languages : en
Pages : 212
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Book Description
![Parity Revision [i.e., Reversion] in Real Exchange Rates During the Post-Bretton Woods Period PDF](https://books.google.com/books/content/images/frontcover/_CCyAAAAIAAJ?fife=w80-h100)
Author: Yin-Wong Cheung
Publisher:
ISBN:
Category : Foreign exchange rates
Languages : en
Pages : 52
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Book Description
Author: Mark P. Taylor
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 52
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Book Description
Author: Mr.Bankim Chadha
Publisher: International Monetary Fund
ISBN: 1451842341
Category : Business & Economics
Languages : en
Pages : 22
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Book Description
The random walk property of exchange rates is frequently regarded as carrying strong implications for the kinds of shocks that have driven exchange rates and the models appropriate for analyzing their behavior. This paper conducts stochastic simulations of Dornbusch’s (1976) sticky-price monetary model, calibrated for representative parameter values for the United States. It shows that the model is capable of generating time series for both real and nominal exchange rates that are statistically indistinguishable from random walks when all shocks are nominal.
Author: Robert Sollis
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 17
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Book Description
Author: Myung-Jig Kim
Publisher:
ISBN:
Category : Stock price forecasting
Languages : en
Pages : 56
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Book Description
Author: Marshall Sarnat
Publisher:
ISBN:
Category : Foreign exchange
Languages : en
Pages : 264
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Book Description
Author: Lucio Sarno
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
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: Peter Isard
Publisher: Cambridge University Press
ISBN: 9780521466004
Category : Business & Economics
Languages : en
Pages : 298
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Book Description
This book describes and evaluates the literature on exchange rate economics. It provides a wide-ranging survey, with background on the history of international monetary regimes and the institutional characteristics of foreign exchange markets, an overview of the development of conceptual and empirical models of exchange rate behavior, and perspectives on the key issues that policymakers confront in deciding whether, and how, to try to stabilize exchange rates. The treatment of most topics is reasonably compact, with extensive references to the literature for those desiring to pursue individual topics further. The level of exposition is relatively easy to comprehend; the historical and institutional material (part I) and the discussion of policy issues (part III) contain no equations or technical notation, while the chapters on models of exchange rate behavior (part II) are written at a level intelligible to first-year graduate students or advanced undergraduates. The book will enlighten both students and policymakers, and should also serve as a valuable reference for many research economists.
