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Die Höhe der Preise und des Bruttoinlandsprodukts in den EG-Ländern : Kaufkraftparität, Produktion, Verbrauch und Investitionen im Realvergleich
Paretti, Vittorio; Krijnse Locker, Hugo; Goybet, Philipp - 1974
Persistent link: https://www.econbiz.de/10004657158
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The Implications of Cross-Border Monetary Aggregation
Lane, Timothy D.; Kremers, Jeroen J. M. - International Monetary Fund (IMF) - 1992
Some recent studies suggest the possibility of estimating a stable aggregate demand-for-money relationship for the group of countries participating in the European Monetary System. These results are of particular relevance in connection with the task of setting policy targets for a European...
Persistent link: https://www.econbiz.de/10005264074
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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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Nonlinear Exchange Rate Models; A Selective Overview
Sarno, Lucio - International Monetary Fund (IMF) - 2003
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange...
Persistent link: https://www.econbiz.de/10005825647
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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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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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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
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Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?
Kilian, Lutz; Taylor, Mark P - C.E.P.R. Discussion Papers - 2001
We propose an exchange rate model that can explain both the observed volatility and the persistence of real and nominal exchange rate movements and thus in some measure resolves Rogoff’s (1996) purchasing power parity puzzle. Our analysis reconciles the well-known difficulties in beating the...
Persistent link: https://www.econbiz.de/10005124271
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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