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Models of foreign exchange intervention: Estimation and testing

Brown, Bryan W.; Hodgson, Douglas J. - Econometric Society - 2004

We propose a general non-linear simultaneous equations framework for the econometric analysis of models of intervention in foreign exchange markets by central banks in response to deviations of exchange rates from possibly time-varying target levels. We consider efficient estimation of possibly...

Persistent link: https://www.econbiz.de/10005063625

The Impact of the Japanese Banking Crisis on the Intraday FX Market

Hashimoto, Yuko - Econometric Society - 2004

Using the tick-by-tick yen/dollar exchange rate, this paper examines the effect of Japanese banking crisis in late 1997 on the foreign exchange market. By high-frequency methodology, GARCH estimation and variance-ratio tests, the existence of a structural break in the foreign exchange market at...

Persistent link: https://www.econbiz.de/10005342336

How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?

Garces-Diaz, Daniel - Econometric Society - 2004

This paper shows that the Mexican experience from 1945 to 2002 is, like the German hyperinflation period, a unique monetary ``natural experiment,'' where fundamental relationships, like money demand, PPP and the monetary model of exchange rate determination can be analyzed with unparalleled...

Persistent link: https://www.econbiz.de/10005328935

Econometrics

Acemoglu, Daron (contributor) - 2013

Persistent link: https://www.econbiz.de/10010213203

Econometría en Costa Rica : trabajos presentados en la VIII Reunión Latinoamericana de la Sociedad Econométrica, celebrada en Costa Rica, del 2 al 5 de agosto de 1988

Vargas, Juan Rafael (contributor); … - 1996 - 1. ed

Persistent link: https://www.econbiz.de/10000947003

Advances in econometrics : sixth world congress ; [papers ... given at the Sixth World Congress of the Econometric Society in Barcelona in August 1990]

Sims, Christopher A. (contributor) - 1994

Persistent link: https://www.econbiz.de/10000338516

Purchasing Power Parity for Traded and Non-traded Goods: A Structural Error Correction Model Approach

Ogaki, Masao; Kim, Jaebeom - Econometric Society - 2004

When univariate methods are applied to real exchange rates, point estimates of autoregressive coefficients typically imply very slow rates of mean reversion. Rogoff (1996) discusses that the remarkable consensus of 3-5 year half-lives of purchasing power parity (PPP) deviations is found among...

Persistent link: https://www.econbiz.de/10005086417

MONETARY EXCHANGE RATE MODEL REVISITED: COINTEGRATION AND FORECASTING IN HETEROGENEOUS PANEL DATA

BUTT, MUHAMMAD S.; IQBAL, AZHAR; AHMAD, NUZHAT - Econometric Society - 2004

by economic theory. For this purpose, we would be employed Pedroni (1997) and Larsson et al (2001) panel cointegration …ABSTRACT This study re-examines the exchange rate-monetary fundamentals link with in a panel data framework. Pure time …) and Groen (2000)). Using recently developed Panel Data Techniques; we would test the exchange rates and monetary …

Persistent link: https://www.econbiz.de/10005086422

Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market

Moh, Young-Kyu; Mark, Nelson C. - Econometric Society - 2004

This paper presents a model of exchange rate determination in which the forward premium anomaly emerges as the result of unanticipated central bank interventions in the foreign exchange market. Deviations from uncovered interest parity (UIP) therefore represent neither unexploited profit...

Persistent link: https://www.econbiz.de/10005086435

Real Exchange Rate Misalignments

Valladares, Frederico; Terra, Cristina - Econometric Society - 2004

This paper characterizes episodes of real appreciations and depreciations for a sample of 85 countries, approximately from 1960 to 1998. First, the equilibrium real exchange rate series are constructed for each country using Goldfajn and Valdes (1999) methodology (cointegration with...

Persistent link: https://www.econbiz.de/10005063555