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Forecasting Exchange Rates using Bayesian Threshold Vector Autoregressions
Huber, Florian - In: Economics Bulletin 34 (2014) 3, pp. 1687-1695
In this paper we assess the predictive abilities of a Bayesian threshold vector autoregression (B-TVAR) to forecast the EUR/USD exchange rate. By introducing stochastic search variable selection priors (SSVS), we account for the inherent model uncertainty when it comes to modeling exchange...
Persistent link: https://www.econbiz.de/10010884990
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Identification of Driving Factors for Emerging Markets Sovereign Spreads
Sun, Edward W.; Tenengauzer, Daniel; Bastani, Ali; … - In: Economics Bulletin 31 (2011) 3, pp. 2584-2592
The objective of this paper is to identify the relationship between sovereign yield spreads and macroeconomic variables in emerging markets. We find that the correlation between spreads and GDP is negative. Real effective exchange rate depreciation enlarges spreads and increasing in risk...
Persistent link: https://www.econbiz.de/10009293532
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Implications of within-period timing in models of speculative attack
Doblas-Madrid, Antonio - In: Economics Bulletin 6 (2007) 28, pp. 1-10
Speculative attacks are often modeled as decreases in money demand before currency crises. I discuss how, in models with microfoundations, within-period timing affects whether attacks arise in equilibrium. “Cash-when-I'm-done” timing always generates attacks, but is controversial because it...
Persistent link: https://www.econbiz.de/10010835980
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Are International Interest Rate Differentials Driven by the Risk Premium? The Case of Asian Countries
Bouvatier, Vincent - In: Economics Bulletin 5 (2007) 6, pp. 1-14
This paper investigates the relationship between international interest rate differentials and the risk premium during the 1997-1998 Asian crisis. Variables standing for the accumulation of imbalances in the monetary sector are used as proxies for the risk premium. We show,using a Vector Error...
Persistent link: https://www.econbiz.de/10005094886
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Implications of within-period timing in models of speculative attack
Doblas-Madrid, Antonio - In: Economics Bulletin 6 (2007) 28, pp. 1-10
Speculative attacks are often modeled as decreases in money demand before currency crises. I discuss how, in models with microfoundations, within-period timing affects whether attacks arise in equilibrium. “Cash-when-I'm-done†timing always generates attacks, but is controversial...
Persistent link: https://www.econbiz.de/10005181852
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Are International Interest Rate Differentials Driven by the Risk Premium? The Case of Asian Countries
Bouvatier, Vincent - In: Economics Bulletin 5 (2007) 6, pp. 1-14
This paper investigates the relationship between international interest rate differentials and the risk premium during the 1997-1998 Asian crisis. Variables standing for the accumulation of imbalances in the monetary sector are used as proxies for the risk premium. We show,using a Vector Error...
Persistent link: https://www.econbiz.de/10010630198
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Domestic vs. International Correlations of Interest Rate Maturities
Byrne, Joseph P; Fazio, Giorgio; Fiess, Norbert - In: Economics Bulletin 30 (2010) 2, pp. 1082-1090
The association between long and short interest rates is traditionally envisaged from a purely domestic perspective, where it is believed an empirical regularity. Hence, the weakening of this relationship in the first half of the 2000s has represented a conundrum, calling for a reassessment of...
Persistent link: https://www.econbiz.de/10008621800
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Exchange rate determination in Vietnam
Le, Thai-Ha - In: Economics Bulletin 35 (2015) 1, pp. 657-664
This study investigates the determinants of the exchange rate in Vietnam and suggests policy implications. Gregory-Hansen cointegration tests and generalised variance decomposition (VDC) analysis were applied to monthly data from July 2004 to December 2013. The model was built based on the three...
Persistent link: https://www.econbiz.de/10011207115
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Interactions of money market between china and the us: pre-crises and post-crises
Yang, Lu - In: Economics Bulletin 32 (2012) 2, pp. 16-16
affect China's economy, for example, I operate the VAR model to specify the relationship between the parameters of the …
Persistent link: https://www.econbiz.de/10011208236
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Growth, inflation, interest rate and informality: Panel VAR evidence from OECD Economies
Ergene, Salim - In: Economics Bulletin 35 (2015) 1, pp. 750-763
the presence of informal economy by employing panel VAR techniques over the period from 1960-Q1 to 2010-Q4. The size of … effect on them. The influence of interest rate on growth and the size of the informal economy is found to be robust to VAR … the informal activities are not robust to VAR order. The causality from growth to the size of the informal activities …
Persistent link: https://www.econbiz.de/10011212874