2 edition of Integration, cointegration and the forecast consistency of structural exchange rate models found in the catalog.
Integration, cointegration and the forecast consistency of structural exchange rate models
by City University of Hong Kong, Department of Economics and Finance in Kowloon, Hong Kong
Written in English
Includes bibliographical references (p21-23).
|Statement||Yin-Wong Cheung and Menzie David Chinn.|
|Series||Working paper series (City University of Hong Kong. Department of Economicsand Finance) -- no.65|
|Contributions||Chinn, Menzie David., City University of Hong Kong. Department of Economics and Finance.|
|The Physical Object|
|Number of Pages||56|
A Structural Threshold Model of the Exchange Rate under Optimal Intervention. Hsiu-Yun Lee and Hung-Pin Lai. Department of Economics, National Chung Cheng University, No, , University Rd, Chia-Yi, Taiwan. Abstract. By considering a social trade-off between targeting the exchange rate and minimizing. This book is wide-ranging in its account of literature on cointegration and the modelling of integrated processes (those which accumulate the effects of past shocks). Data series which display integrated behavior are common in economics, although techniques appropriate to analyzing such data are relatively new, with few existing expositions of the literature.
69 Failure of Empirical Exchange Rate Models (1) St = fl/i5r_i + B'ilXt_l + B'i2Xt_2 B'inXt_n + uit, where st is the (logarithm of the) exchange rate at time t and Xt_j is a vector of lagged values of the other included variables (listed above). Expressing the VAR system in the form of equation (1) facilitates es-. Cointegration has dominated time series econometrics debates in the past twenty years, stress-ing the possible existence of long run equilibrium relationships among nonstationary variables. More recently, researchers have become concernedwith the e ﬀects that Cited by: 1.
Moreover, just as univariate unit root tests for purchasing power parity—based equilibrium real exchange rates will be biased toward nonrejection of the unit root null if potential structural breaks (intercept changes) are not accounted for (Perron and Vogelsang, ; Papell, ), cointegration tests of whether the real exchange rate has a. tempts to provide robust evidence in favor of structural exchange rate models. There are some important ideas and impressive advances here, but evaluating success is a matter of perspective. Is the glass 10 percent full or 90 percent empty?1 1 Noncontroversial Successes of Empirical Exchange Rate Models.
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Yin-Wong Cheung & Menzie Chinn, "Integration, cointegration and the forecast consistency of structural exchange rate models," International FinanceUniversity Library of Munich, Germany. Yin-Wong Cheung & Menzie D. Chinn, These exchange rate forecasts are generated from three commonly used structural exchange rate models.
Three different estimating methods and two forecasting periods are considered. We find that it is fairly easy for the generated forecasts to pass the first requirement of consistency that the series be of the same order of by: Yin-Wong Cheung & Menzie Chinn, "Integration, cointegration and the forecast consistency of structural exchange rate models," International FinanceUniversity Library of Munich, Germany.
Yin-Wong Cheung & Menzie D. Chinn, Cited by: Integration, cointegration and the forecast consistency of structural exchange rate models Y.-W.
Cheung, M.D. ChinnU Department of Economics, Uni¤ersity of California, Santa Cruz, CAUSA Abstract We propose an alternative set of criteria for evaluating forecast rationality: the forecast and. Integration, cointegration and the forecast consistency of structural exchange rate models.
Cambridge, MA: National Bureau of Economic Research, © (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Yin-Wong Cheung; Menzie David Chinn; National Bureau of Economic Research.
Get this from a library. Integration, cointegration and the forecast consistency of structural exchange rate models.
[Yin-Wong Cheung; Menzie David Chinn; Integration Bureau of Economic Research.] -- Abstract: Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques.
The basic flexible price monetary model, which is one of the three models used by Meese and Rogoff (), is specified as (14) s t = α 0 + α 1 (m a, t-m b, t) + α 2 (y a, t-y b, t) + α 3 (i a, t-i b, t) + ε t where s is the log of the exchange rate, m is the log of the money supply, y is the log of industrial production, i Cited by: 6.
The Frenkel-Bilson and Dornbusch-Frankel monetary exchange rate models are used to estimate the out-of-sample forecasting performance for the U.S. dollar/Canadian dollar exchange rate. By using Johansen's multivariate cointegration, up to three cointegrating vectors were found between the exchange rate and macroeconomic by: Empirical Evidence and Structural Exchange Rate Models 23 Tests of reduced forms 23 Forecasting performance of the structural models 34 Summary and Conclusions 37 CHAPTER III.
MULTIPLE COINTEGRATION AND STRUCTURAL MODELS 40 Cointegration 40 Multiple Cointegration and Structural Models: A Methodology 47 Econometric issues 49Author: Selahattin Dibooglu. 2 Granger,C.W.J. (): Time Series, Cointegration and Applications, Nobel lecture, December 8, 3 Harris Using Cointegration Analysis in Econometric Modelling, (Useful applied econometrics textbook focused solely on cointegration) 4 Almost all textbooks cover the introduction to cointegration Engle-Granger procedure (single equation File Size: KB.
The book introduces co-intergration techniques at a very moderate technical level; its aim is a pratical one; testing for (co)integration is explained throughly with plenty of examples which emphasize how the tests are actually performed. Uses a "Toolkit" approach /5(2).
Models for Exchange Rate Predictability, A Present Value Model for Exchange Rates, Predictive Regressions, Statistical Evaluation of Exchange Rate Predictability, Economic Evaluation of Exchange Rate Predictability, The Dynamic FX Strategy, Mean-Variance Dynamic Asset Allocation, CHAPTER IV STRUCTURAL MODELS OF EXCHANGE RATE DETERMINATION In this chapter we will attempt to explain the behavior of exchange rates by analyzing the behavior of supply and demand in the foreign exchange rate market.
Recall that in Chapter I, we emphasized that exchange rates are just prices that are determined by supply and demand considerations.
This paper examines several US monthly financial time series using fractional integration and cointegration techniques. The univariate analysis based on fractional integration aims to determine whether the series are I(1) (in which case markets might be efficient) or alternatively I(d) with \(d Cited by: 1.
Cheung, Y. and Chinn, M. () Integration, Cointegration, and the Forecast Consistency of Structural Exchange Rate Models, Journal of International Money and Finance, 17, ‒ Chinn, M.
and Coibion, O. () The Predictive Content of Commodity Futures, La Follette School of Public Affairs, University of Wisconsin (Madison), Working Author: Imad A. Moosa. 1 Cointegration. The survey by Campbell and Perron () is a very good supplement to this chapter - for fur-ther study read Watson’s survey for the handbook of econometrics Vol.
IV, and for multivariate models use Johansen’s () book. Cointegration theory is de nitely the innovation in theoretical econometrics that has cre-File Size: KB. Forecasting the nominal exchange rate has been one of the most difficult exercises in economics. This study employs the Frankel () monetary model of exchange rate to examine the long run behavior of Pakistan rupee per unit of US dollar over the period Q1 to Q2.
Johansen and Juselious (,) likelihood ratio test indicates one long-run cointegrating vector among the fundamentals. Co-integration in structural time series models 14/03/ InStatistic Netherlands released the Price Dashboard, consisting of seventeen indicators related to inflation.
We investigated the temporal relationships between the inflation indicators, based on historical time series using structural time. check for the validity of the monetary and the Taylor-rule models of exchange rate in the long run. The monetary and the Taylor-rule models are tested using the US dollar exchange rates over periods for 13 industrialized countries.
In order to find support for the monetary and the Taylor-rule models, two pieces of evidence are File Size: KB.crucial in cointegration analysis, which normally involves long spans of data, which are more likely to be affected by structural breaks. Bai, Lumsdaine, and Stock () considered a single break in a multiequation system.
They showed consistency of the maximum Cited by: Figure Japeinese Real Exchange Rate 50 Figure Japanese Real Money Supply 51 Figure Japauiese Real GNP 52 Figure U S.
Read Money Supply 53 Figure U.S. Real GNP 54 Figure Responses to German Exchange Rate: Germziny-U.S 92 Figure Responses to Germeui Money Supply: Germany-U.S