Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates PDF full book. Access full book title Tests for Symmetric and Asymmetric Nonlinear Mean Reversion in Real Exchange Rates by Robert Sollis. Download full books in PDF and EPUB format.
Author: Robert Sollis
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 17
Get Book Here
Book Description
Author: Robert Sollis
Publisher:
ISBN:
Category : Economics, Mathematical
Languages : en
Pages : 17
Get Book Here
Book Description
Author: Serineh Najarian
Publisher: International Monetary Fund
ISBN: 1451857691
Category : Business & Economics
Languages : en
Pages : 50
Get Book Here
Book Description
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.
Author: Mark P. Taylor
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 52
Get Book Here
Book Description
Author: Mark P. Taylor
Publisher: Routledge
ISBN: 1317988191
Category : Business & Economics
Languages : en
Pages : 434
Get Book Here
Book Description
The term Purchasing Power Parity may date from the early twentieth century, when it was coined by the Swedish economist Gustav Cassel, but the underlying concept had been enjoying varying degrees of success since its development in sixteenth century Spain. Even towards the end of the twentieth century, and especially since the breakdown of the Bretton Woods system of fixed exchange rates, PPP and the stability of real exchange rates continued to be the subject of academic debate. This volume brings together essays covering aspects of current thinking on Purchasing Power Parity, from the various ways in which to test for its existence, to its appearance in different economies around the world, to examinations of the explanations given when PPP does not appear to hold This book was published as a special issue of Applied Financial Economics. The academic editor of this journal is Mark P. Taylor.
Author: Frederique Bec
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Recent studies on general equilibrium models with transaction costs show that the dynamics of the real exchange rate are necessarily nonlinear. Our contribution to the literature on nonlinear price adjustment mechanisms is threefold. First, we model the real exchange rate by a Multi-Regime Logistic Smooth Transition AutoRegression (MR-LSTAR), allowing for both ESTAR-type and SETAR-type dynamics. This choice is motivated by the fact that even the theoretical models, which predict a smooth behavior for the real exchange rate, do not rule out the possibility of a discontinuous adjustment as a limit case. Second, we propose two classes of unit-root tests against this MR-LSTAR alternative, based respectively on the likelihood and on an auxiliary model. Their asymptotic distributions are derived analytically. Third, when applied to 28 bilateral real exchange rates, our tests reject the null hypothesis of a unit root for eleven series bringing evidence in favor of the purchasing power parity.
Author: Lucio Sarno
Publisher: International Monetary Fund
ISBN: 1451853491
Category : Business & Economics
Languages : en
Pages : 40
Get Book Here
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: Robert Sollis
Publisher: John Wiley & Sons
ISBN: 047051289X
Category : Business & Economics
Languages : en
Pages : 360
Get Book Here
Book Description
Empirical Finance for Finance and Banking provides the student with a relatively non-technical guide to some of the key topics in finance where empirical methods play an important role Written for students taking Master’s degrees in finance and banking, it is also suitable for students and researchers in other areas, including economics. The first three introductory chapters outline the structure of the book and review econometric and statistical techniques, while the remaining chapters discuss various topics, including: portfolio theory and asset allocation, asset pricing and factor models, market efficiency, modelling and forecasting exchange and interest rates and Value at Risk. Understanding these topics and the methods covered will be helpful for students interested in working as analysts and researchers in financial institutions.
Author: Nesrin Ozatac
Publisher: Springer Nature
ISBN: 303030387X
Category : Business & Economics
Languages : en
Pages : 188
Get Book Here
Book Description
This volume presents current developments in the fields of banking and finance from an international perspective. Featuring contributions from the 4th International Conference on Banking and Finance Perspectives (ICBFP), this volume serves as a valuable forum for discussing current issues and trends in the banking and financial sectors, especially in light of the global economic challenges triggered by financial institutions. Using the latest theoretical models, new perspectives are brought to topics such as international banking and finance, Islamic banking, fintech, and corporate finance. Offering an opportunity to explore the challenges of a rapidly changing industry, this volume will be of interest to academics, policy makers, and scholars in the fields of banking, insurance, and finance.
Author: Asaf Zussman
Publisher:
ISBN:
Category :
Languages : en
Pages : 228
Get Book Here
Book Description
Author: M. F. Bleaney
Publisher:
ISBN:
Category : Commodity exchanges
Languages : en
Pages : 30
Get Book Here
Book Description
