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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Market Volatility As a Financial Soundness Indicator; An Application to Israel
Morales, Armando Méndez; Schumacher, Liliana - International Monetary Fund (IMF) - 2003
Financial decisions of economic agents are based on volatility considerations. However, no aggregate indicators have been used by policymakers and regulators to assess the market risk environment. This paper applies a market volatility indicator to analyze the Israeli's transition toward...
Persistent link: https://www.econbiz.de/10005264007
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A Simple Forecasting Accuracy Criterion Under Rational Expectations; Evidence From the World Economic Outlook and Time Series Models
Barrionuevo, José M. - International Monetary Fund (IMF) - 1992
A simple criterion based on the properties of the forecast error is presented to evaluate the accuracy of forecasts. The efficiency conditions of an optimization problem are used to show that under rational expectations the standard statistical conditions are necessary, but not sufficient to...
Persistent link: https://www.econbiz.de/10005264063
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Unit Root Testing via the Continuous-Path Block Bootstrap
Paparoditis, Efstathios; Politis, Dimitris N - Department of Economics, University of California-San … - 2001
A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates unit root integrated pseudo time series retaining the...
Persistent link: https://www.econbiz.de/10010536416
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Tests for weak form market efficiency in stock prices: Monte Carlo evidence
Khaled, Mohammed S; Keef, Stephen P - School of Economics and Finance, Victoria Business School - 2011
Efficiency in financial markets is tested by applying variance ratio (VR)tests, but unit root tests are also used by many, sometimes in addition to the VR tests. There is a lack of clarity in the literature about the implication of these test results when they seem to disagree. We distinguish...
Persistent link: https://www.econbiz.de/10009647773
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Mexico; Selected Issues
International Monetary Fund (IMF); International … - 2004
This Selected Issues paper analyzes the sources of Mexico’s economic growth since the 1960s, and compares various decompositions of historical growth into trend and cyclical components. The role of the implied output gaps in the inflation process is assessed. The paper presents...
Persistent link: https://www.econbiz.de/10005825457
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An Unbiased Appraisal of Purchasing Power Parity
McDermott, C. John; Cashin, Paul - International Monetary Fund (IMF) - 2001
Univariate studies of the hypothesis of unit roots in real exchange rates have yielded consensus point estimates of the half-life of deviations from purchasing power parity of between three to five years. However, least squares-based estimates of half-lives are biased downward. Accordingly, we...
Persistent link: https://www.econbiz.de/10005825679
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Bayesian Vars; A Survey of the Recent Literature with An Application to the European Monetary System
Ciccarelli, Matteo; Rebucci, Alessandro - International Monetary Fund (IMF) - 2003
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs …). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman … issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction …
Persistent link: https://www.econbiz.de/10005825693
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Terms of Trade Shocks in Africa; Are they Short-Lived or Long-Lived?
Cashin, Paul; Pattillo, Catherine A. - International Monetary Fund (IMF) - 2000
This paper examines the persistence of shocks to the terms of trade, using annual data on 42 Sub-Saharan African countries between 1960-96. We find that the persistence of terms of trade shocks varies widely—for about half the countries such shocks are short-lived, while for one-third of the...
Persistent link: https://www.econbiz.de/10005826235
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Medium-Term Exchange Rate Forecasting; What Can We Expect?
Meredith, Guy - International Monetary Fund (IMF) - 2003
-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of …
Persistent link: https://www.econbiz.de/10005826261