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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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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
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Foreign Currency Credit Ratings for Emerging Market Economies
Perrelli, Roberto; Mulder, Christian B. - International Monetary Fund (IMF) - 2001
This paper examines how ratings for emerging market economies have been set. Given the high degree of autocorrelation …
Persistent link: https://www.econbiz.de/10005826486
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Measuring weak-form of market efficiency: the case of Dhaka stock exchange
Miah, Md. Dulal; Banik, Shubha Lal - In: International Journal of Financial Services Management 6 (2013) 3, pp. 219-235
both parametric and nonparametric tests. Results of autocorrelation tests show that the market does not follow random walk …
Persistent link: https://www.econbiz.de/10010816460
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Stock Returns Predictability and the Adaptive Market Hypothesis: Evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2013
The present paper evaluates whether the adaptive market hypothesis provides a better description of the behavior of Indian stock market using daily values of Sensex and Nifty, the two major indices of India from January 1991 to April 2013. We employed linear and nonlinear methods to evaluate the...
Persistent link: https://www.econbiz.de/10011113613