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We examine the properties of the ASA-NBER forecasts for several US macroeconomic variables, specifically: (i) are the actual and forecast series integrated of the same order; (ii) are they cointegrated, and; (iii) is the cointegrating vector consistent with long run unitary elasticity of...
Persistent link: https://www.econbiz.de/10012471881
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and "behavioral equilibrium exchange rate" models, and assessed performance...
Persistent link: https://www.econbiz.de/10012455414
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995)...
Persistent link: https://www.econbiz.de/10012469310
estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following …
Persistent link: https://www.econbiz.de/10012472881
.e., positive) effect. With the baseline estimation, we find that the real interest rate has the substitution effect on private …
Persistent link: https://www.econbiz.de/10012455808
We investigate the strength of the Penn effect in the most recent version of the Penn World Tables (PWTs). We find that the earlier findings of a Penn effect are confirmed, but that there is some evidence for nonlinearity. Developed and developing countries display different types of nonlinear...
Persistent link: https://www.econbiz.de/10012456140