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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin - 2010
their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …
Persistent link: https://www.econbiz.de/10013147805
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The effect of the great moderation on the US business cycle in a time-varying multivariate trend-cycle model
Creal, Drew; Koopman, Siem Jan; Zivot, Eric - 2008
accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …
Persistent link: https://www.econbiz.de/10011376640
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Global Transmission of Interest Rates : Monetary Independence and Currency Regime
Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2004
Hikes in U.S. interest rates in 1999-2000 have started to spill over to other economies' interest rates, which in many countries have risen to reflect the higher U.S. rates. Are countries with flexible exchange rates better able to isolate their domestic interest rates from this type of negative...
Persistent link: https://www.econbiz.de/10014153762
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Global Transmission of Interest Rates : Monetary Independence and Currency Regime
Frankel, Jeffrey A.; Schmukler, Sergio L.; Servén, Luis - 2004
Using a large sample of developing and industrialized economies during 1970-1999, this paper explores whether the choice of exchange rate regime affects the sensitivity of local interest rates to international interest rates. In most cases, we cannot reject full transmission of international...
Persistent link: https://www.econbiz.de/10014075205
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Will the Euro Eventually Surpass the Dollar as Leading International Reserve Currency?
Chinn, Menzie David; Frankel, Jeffrey A. - 2006
Might the dollar eventually follow the precedent of the pound and cede its status as leading international reserve currency? Unlike the last time this question was prominently discussed, ten years ago, there now exists a credible competitor: the euro. This paper econometrically estimates...
Persistent link: https://www.econbiz.de/10014062314
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Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes
Frankel, Jeffrey A. - 2011
A new technique for estimating countries' de facto exchange rate regimes synthesizes two approaches. One approach estimates the implicit de facto basket weights in an ordinary least squares (OLS) regression of the local currency value rate against major currency values. Here the hypothesis is a...
Persistent link: https://www.econbiz.de/10013133928
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Measuring asymmetric stochastic cycle components in US macroeconomic time series
Koopman, Siem Jan; Lee, Kai Ming - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10011346480
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Measuring Asymmetric Stochastic Cycle Components
Koopman, Siem Jan; Lee, Kai Ming - 2005
To gain insights in the current status of the economy, macroeconomic time series are often decomposed into trend, cycle and irregular components. This can be done by nonparametric band-pass filtering methods in the frequency domain or by model-based decompositions based on autoregressive moving...
Persistent link: https://www.econbiz.de/10014062862
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International technology diffusion of joint and cross-border patents
Chang, Chia-Lin; McAleer, Michael; Tang, Ju-Ting - 2013
Persistent link: https://www.econbiz.de/10009784939
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234