Similar Search Results

Is the Spurious Regression Problem Spurious?

McCallum, Bennett T. - 2010

So-called "spurious regression" relationships between random-walk (or strongly autoregressive) variables are generally accompanied by clear signs of severe autocorrelation in their residuals. A conscientious researcher would therefore not end an investigation with such a result, but would likely...

Persistent link: https://www.econbiz.de/10012462962

Random Walk or A Run : Market Microstructure Analysis of the Foreign Exchange Rate Movements based on Conditional Probability

Hashimoto, Yuko - 2008

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a "run" -- continuous increases or decreases in deal prices for the past several ticks -- does have some predictable information on the direction of the next price movement. Deal...

Persistent link: https://www.econbiz.de/10012464487

Random Walk Expectations and the Forward Discount Puzzle

Bacchetta, Philippe - 2007

Two well-known, but seemingly contradictory, features of exchange rates are that they are close to a random walk while at the same time exchange rate changes are predictable by interest rate differentials. In this paper we investigate whether these two features of the data may in fact be...

Persistent link: https://www.econbiz.de/10012465448

Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment

Chinn, Menzie D. - 2006

We examine the relative predictive power of the sticky price monetary model, uncovered interest parity, and a transformation of net exports and net foreign assets. In addition to bringing Gourinchas and Rey's new approach and more recent data to bear, we implement the Clark and West...

Persistent link: https://www.econbiz.de/10012466184

Exchange Rates and Fundamentals

Engel, Charles - 2004

We show analytically that in a rational expectations present value model, an asset price manifests near random walk behavior if fundamentals are I(1) and the factor for discounting future fundamentals is near one. We argue that this result helps explain the well known puzzle that fundamental...

Persistent link: https://www.econbiz.de/10012467971

Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One

Engel, Charles - 2004

Nominal exchange rates in low-inflation advanced countries are nearly random walks. Engel and West (2003a) offer an explanation for this in the context of models in which the exchange rate is determined as the discounted sum of current and expected future fundamentals. Engel and West show that...

Persistent link: https://www.econbiz.de/10012468426

Traded Goods Consumption Smoothing and the Random Walk Behavior of the Real Exchange Rate

Rogoff, Kenneth - 1992

Conventional explanations of the near random walk behavior of real exchange rates rely on near random walk behavior in the underlying fundamentals (e.g.. tastes and technology). The present paper offers an alternative rationale, based on a fixed-factor neoclassical model with traded and...

Persistent link: https://www.econbiz.de/10012474854

Biased Beliefs About Random Samples : Evidence from Two Integrated Experiments

Benjamin, Daniel J. - 2017

This paper describes results of a pair of incentivized experiments on biases in judgments about random samples. Consistent with the Law of Small Numbers (LSN), participants exaggerated the likelihood that short sequences and random subsets of coin flips would be balanced between heads and tails....

Persistent link: https://www.econbiz.de/10012453787

Econometric Analysis of Present Value Models When the Discount Factor Is near One

West, Kenneth D. - 2012

This paper develops asymptotic econometric theory to help understand data generated by a present value model with a discount factor near one. A leading application is to exchange rate models. A key assumption of the asymptotic theory is that the discount factor approaches 1 as the sample size...

Persistent link: https://www.econbiz.de/10012460413

$Cover Image$

Born in the Family : Preferences for Boys and the Gender Gap in Math

Dossi, Gaia - 2019

We study the correlation between parental gender attitudes and the performance in mathematics of girls using two … when we study the correlations between girls' performance in mathematics and maternal gender role attitudes, using evidence … the observed gender disparities in mathematics performance and document that maternal gender attitudes correlate with …

Persistent link: https://www.econbiz.de/10012479490