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A Bayesian analysis of the PPP puzzle using an unobserved components model
Kleijn, Richard; Dijk, Herman K. van - 2001
The failure to describe the time series behaviour of most realexchange rates as temporary deviations from fixedlong-term means may be due to time variation of the equilibriathemselves, see Engel (2000). We implement thisidea using an unobserved components model and decompose theobservations on...
Persistent link: https://www.econbiz.de/10011318578
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Untangling real gravity
Klaassen, Franc; Teulings, Rutger - 2017
all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …
Persistent link: https://www.econbiz.de/10011791519
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004 - Rev.
It is generally believed that for the power of unit root tests, only the time span and not the observation frequency matters. In this paper we show that the observation frequency does matter when the high-frequency data display fat tails and volatility clustering, as is typically the case for...
Persistent link: https://www.econbiz.de/10011342578
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Ageing and the relative price of nontradeables
Bettendorf, Leon; Dewachter, Hans - 2007
In this paper we identify the effects of ageing on the relative price of nontradeables versus tradeables. We consider two cases. In a first specification, age effects only account for short-run dynamics. An alternative case allows for permanent age effects. Estimating the respective cases by...
Persistent link: https://www.econbiz.de/10011372986
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Large swings in currencies driven by fundamentals
Cumperayot, Phornchanok J.; Vries, Casper G. de - 2006
Exchange rate returns are fat-tailed distributed. We provide evidence that the apparent non-normality derives from the behavior of macroeconomic fundamentals. Economic and probabilistic arguments are offered for such a relationship. Empirical support is given by testing against normality and...
Persistent link: https://www.econbiz.de/10011349716
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Why is it so difficult to beat the random walk forecast of exchange rates?
Kilian, Lutz; Taylor, Mark P. - 2001
We propose a stylized exchange rate model based on diversity and weight ofopinion. Our model departs from standard assumptions in that we allow forheterogeneous agents. We show that such a model can explain both the observedvolatility and the persistence of real and nominal exchange rate...
Persistent link: https://www.econbiz.de/10011316883
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Why frequency matters for unit root testing
Boswijk, Herman Peter; Klaassen, Franc - 2004
Persistent link: https://www.econbiz.de/10002460692
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A Bayesian analysis of the PPP puzzle using an unobserved components model
Kleijn, Richard; Dijk, Herman K. van - 2001
Persistent link: https://www.econbiz.de/10001624799
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Why is it so difficult to beat the random walk forecast of exchange rates?
Kilian, Lutz; Taylor, Mark P. - 2001
Persistent link: https://www.econbiz.de/10001569668
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121