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Mean Reversion of Real Exchange Rates and Purchasing Power Parity in Turkey
ALBA, Joseph D.; PARK, Donghyun - Econometric Society - 2004
The important concept of purchasing power parity (PPP) has a number of practical implications. Our central objective is to examine the stationarity of Turkey’s real exchange rates to test for the empirical validity of PPP. Our results from conventional univariate unit root tests fail to...
Persistent link: https://www.econbiz.de/10005702700
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Foreign Exchange exposure, corporate financial policies and the exchange rate regime: Evidence from Brazil
Junior, Jose Luiz Rossi - Econometric Society - 2004
Abstract Recent financial crises showed that emerging countries are extremely vulnerable to sudden swings in international capital flows. In these countries, commonly, periods of relative tranquility, characterized by substantial capital inflows and real GDP growth, are followed by periods when...
Persistent link: https://www.econbiz.de/10005699641
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International capital flows and transmission of financial crises
Goenka, Aditya; Boschi, Melisso - Econometric Society - 2004
This paper proposes a model encompassing alternative views of contagion by highlighting the different channels of transmission of financial crises in an unifying framework. We study investor behaviour when they are affected by external habit formation. It is shown how international portfolio...
Persistent link: https://www.econbiz.de/10005702724
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Impacts of Real exchange Rate Volatility and Real Exchange Rate Misalignment on China
Guangzhong, Li; Voon, Jan P - Econometric Society - 2004
Previous analytical models focused on the effects of the real exchange rate (RER) and the RER volatility on Chinese … dollar because the negative impacts of the revaluation, and its accompanying effects on the RER volatility, if any, on the …
Persistent link: https://www.econbiz.de/10005342171
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Global and Regional Sources of Risk in Equity Markets: Evidence from Factor Models with Time-Varying Conditional Skewness
Tay, Anthony S.; Hashmi, Aamir R. - Econometric Society - 2004
conditional heteroskedasticity and time-varying conditional skewness, and permit mean, variance and skewness spillovers to be … measured. We find that the pattern of spillovers changed in the late 1990s. When spillovers are allowed to vary with the type … of news arriving in a market, we find that local news reduces mean spillovers but increases variance spillovers. News …
Persistent link: https://www.econbiz.de/10005063746
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The role of permanent and transitory components in business cycle volatility moderation
Radchenko, Stan; Korenok, Oleg - Econometric Society - 2004
The paper examines the processes underlying economic fluctuations by investigating the volatility moderation of U ….S. economy in the early 1980's. We decompose the volatility decline using a dynamic factor framework into a common stochastic …
Persistent link: https://www.econbiz.de/10005130191
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Tests of Functional Form and Heteroscedasticity
Tse, Z. L. Yang Y. K. - Econometric Society - 2004
This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...
Persistent link: https://www.econbiz.de/10005342139
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Bagging Binary Predictors for Time Series
Yang, Yang; Lee, Tae-Hwy - Econometric Society - 2004
Bootstrap aggregating or Bagging, introduced by Breiman (1996a), has been proved to be effective to improve on unstable forecast. Theoretical and empirical works using classification, regression trees, variable selection in linear and non-linear regression have shown that bagging can generate...
Persistent link: https://www.econbiz.de/10005342326
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Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk
Mishra, Santosh; Gonzalez-Rivera, Gloria; Lee, Tae-Hwy - Econometric Society - 2004
Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...
Persistent link: https://www.econbiz.de/10005328940
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Inference of Structural Econometric Models: A Unified Approach
Li, Tong - Econometric Society - 2004
This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues....
Persistent link: https://www.econbiz.de/10005328964