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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

Asymmetric Adjustment and Nonlinear Dynamics in Real Exchange Rates

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper examines whether deviations from PPP are stationary in the presence of nonlinearity, and whether the adjustment toward PPP is symmetric from above and below. Using alternative nonlinear models, our results support mean reversion and asymmetric adjustment dynamics. We find differences...

Persistent link: https://www.econbiz.de/10005769039

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

Time-Varying Thresholds; An Application to Purchasing Power Parity

Leon, H. L.; Najarian, Serineh - International Monetary Fund (IMF) - 2003

This paper introduces a time-varying threshold autoregressive model (TVTAR), which is used to examine the persistence of deviations from PPP. We find support for the stationary TVTAR against the unit root hypothesis; however, for some developing countries, we do not reject the TVTAR with a unit...

Persistent link: https://www.econbiz.de/10005604859

Filtering the Beer; A Permanent and Transitory Decomposition

Clark, Peter B.; MacDonald, Ronald - International Monetary Fund (IMF) - 2000

In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...

Persistent link: https://www.econbiz.de/10005769018

Mexico; Selected Issues

International Monetary Fund (IMF); International … - 2004

This Selected Issues paper analyzes the sources of Mexicoâ€™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

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

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

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

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