This article conducts an in-depth investigation into building a Structural Vector Autoregression (SVAR) model and analysing the Malaysian monetary policy. Considerable attention is paid to: (i) the selection of foreign, policy and target variables; (ii) establish identifying restrictions and...

In this article, we propose improvements to the peak-over-threshold (POT) method and apply this improved method for modelling US business operational losses and estimating operational risks (ORs). In the widely used traditional POT method, the generalized Pareto distribution (GPD) is fitted to...

This paper considers various models emerging from the Fisher effect and/or the term structure of interest rates for inflation forecasting. This paper, it is believed, makes a contribution to the literature on estimation of the models by using a procedure that is robust for non-normal errors,...

Consumption patterns are used to measure capital mobility within the APEC region, both on a bilateral and multilateral basis. Two models are estimated by IV, SUR and OLS using quarterly data for four countries: the US, Japan, Canada and Australia. The results show that the hypothesis of perfect...

The relationship between exports and output is examined using Australian annual data over the period 1900-1993. Cointegration and causality testing fails to detect the existence of a long-run or short-run relationship between the two variables. These results are explained by restoring to the...

This study provides an analysis of 163 operational loss events experienced by a variety of British firms over the period 1999--2008. 10 different hypotheses are tested to examine the distribution of loss severity and frequency with respect to business line, event type and corporate entity type....

A univariate time series analysis of the consumption of beer, wine and spirits in the UK over the period 1964-1995 is presented. The analysis shows that the consumption of beer and wine exhibits stochastic seasonality while the consumption of spirits exhibits deterministic seasonality. Moreover,...

Several explanations have been put forward for the Meese--Rogoff puzzle that exchange rate models cannot outperform the random walk in out-of-sample forecasting. We suggest that a simple explanation for the puzzle is the use of the root mean square error (RMSE) to measure forecasting accuracy,...

A simulation exercise is used to demonstrate the difficulty to outperform the random walk in exchange rate forecasting if forecasting accuracy is judged by the Root Mean Square Error (RMSE) or similar criteria that depend on the magnitude of the forecasting error. It is shown that, as the...

The proposition that dynamic exchange rate models can outperform the random walk in out-of-sample forecasting, in the sense that they produce lower mean square errors, is examined and disputed. By using several dynamic versions of three macroeconomic exchange rate models, it is demonstrated that...