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Cointegration and Tests of Present Value Models

Campbell, John Y. - 2010

In a model where a variable Y[sub t] is proportional to the present value, with constant discount rate, of expected future values of a variable y[sub t] the quot;spreadquot; S[sub t]= Y[sub t] - [theta sub t] will be stationary for some [theta] whether or not y[sub t]must be differenced to...

Persistent link: https://www.econbiz.de/10012763269

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Cheung, Yin-Wong; Chinn, Menzie David - 2021

, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

Persistent link: https://www.econbiz.de/10013236694

Central Bank Credibility, Reputation and Inflation Targeting in Historical Perspective

Bordo, Michael D. - 2014

This paper examines the historical evolution of central bank credibility using both historical narrative and empirics for a group of 16 countries, both advanced and emerging. It shows how the evolution of credibility has gone through a pendulum where credibility was high under the classical gold...

Persistent link: https://www.econbiz.de/10013043621

Central Bank Credibility : An Historical and Quantitative Exploration

Bordo, Michael D. - 2015

In this paper we provide empirical measures of central bank credibility and augment these with historical narratives from eleven countries. To the extent we are able to apply reliable institutional information we can also indirectly assess their role in influencing the credibility of the...

Persistent link: https://www.econbiz.de/10013030622

Central Banks : Evolution and Innovation in Historical Perspective

Bordo, Michael D. - 2017

Central banks have evolved for close to four centuries. This paper argues that for two centuries central banks caught up to the strategies followed by the leading central banks of the era; the Bank of England in the eighteenth and nineteenth centuries and the Federal Reserve in the twentieth...

Persistent link: https://www.econbiz.de/10012947026

Exchange Rates and Casualties During the First World War

Hall, George J. - 2002

belligerents: Britain, France, Italy, Germany, and Austria-Hungary. At the outbreak of the war, these nations suspended …

Persistent link: https://www.econbiz.de/10012787085

External Imbalances in an Advanced, Commodity-Exporting Country : The Case of New Zealand

Edwards, Sebastian - 2010

During the last three years New Zealand has faced increasingly large external imbalances. The current account deficit has increased from 4.3% of GDP in 2003 to almost 9.0% of GDP in 2005. During the same period the country's net international investment position (NIIP) went from a negative level...

Persistent link: https://www.econbiz.de/10012760610

Exchange Rate Volatility and Productivity Growth : The Role of Financial Development

Aghion, Philippe - 2010

This paper offers empirical evidence that real exchange rate volatility can have a significant impact on long-term rate … countries with relatively low levels of financial development, exchange rate volatility generally reduces growth, whereas for … rate volatility, and outliers. We also offer a simple monetary growth model in which real exchange rate uncertainty …

Persistent link: https://www.econbiz.de/10012761684

Stuck on Gold : Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard

Chernyshoff, Natalia - 2010

Did adoption of the gold standard exacerbate or diminish macroeconomic volatility? Supporters thought so, critics … the transmission of terms of trade shocks. Evidence on the relationship between real exchange rate volatility and terms of … trade volatility from the late nineteenth and early twentieth century exposes a dramatic change. The classical gold standard …

Persistent link: https://www.econbiz.de/10012761895

Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market

Engle, Robert F. - 2010

. Assuming that news has only country specific autocorrelation such as a heat wave. any intra-daily volatility spillovers (meteor …. Using a volatility type of vector autoregression we examine the impact of news in one market on the time path of volatility …

Persistent link: https://www.econbiz.de/10012762800

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