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Do inflation expectations improve model-based inflation forecasts?
Bánbura, Marta; Leiva León, Danilo; Menz, Jan-Oliver
Las expectativas de inflación de los pronosticadores profesionales ayudan a mejorar las previsiones de inflación basadas en modelos. Para una amplia gama de modelos de series de tiempo para el área del euro y sus Estados miembros, encontramos una mayor precisión de pronóstico en los modelos...
Persistent link: https://www.econbiz.de/10012670001
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Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting
Evans, Martin D.; Lyons, Richard K. - 2005
This paper compares the true, ex-ante forecasting performance of a micro-based model against both a standard macro … model and a random walk. In contrast to existing literature, which is focused on longer horizon forecasting, we examine … forecasting over horizons from one day to one month (the one-month horizon being where micro and macro analysis begin to overlap …
Persistent link: https://www.econbiz.de/10009440722
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"Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange"
Bollerslev, T.; Andersen, T.G.; Diebold, F. X.; Vega, C. - 2003
Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomicexpectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and...
Persistent link: https://www.econbiz.de/10009475485
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Are Exchange Rates Really Random Walks? Some Evidence Robust To Parameter Instability
Rossi, Barbara - 2006
Many authors have documented that it is challenging to explain exchange rate fluctuations with macroeconomic fundamentals: a random walk forecasts future exchange rates better than existing macroeconomic models. This paper applies newly developed tests for nested model that are robust to the...
Persistent link: https://www.econbiz.de/10009475539
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Essays on monetary policy and asset prices
Jansen, Dennis W. (contributor) - 2008
methodology the forecasting performances of SS BVAR are evaluated in comparison with standard BVAR and conventional VAR. Equal … predictive ability tests following Giacomini and White (2006) verify that the SS BVAR is superior in forecasting power especially …
Persistent link: https://www.econbiz.de/10009464975
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Has the Fed responded to house and stock prices? : a time-varying analysis
Aastveit, Knut Are; Furlanetto, Francesco; Loria, Francesca
En este trabajo utilizamos un modelo VAR estructural con parámetros variables en el tiempo y volatilidad estocástica para investigar si la Reserva Federal ha respondido sistemáticamente a los precios de los activos y si esta respuesta ha cambiado con el tiempo. Para recuperar el componente...
Persistent link: https://www.econbiz.de/10012530552
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The stability of money demand and monetary transmission mechanism in Thailand
Raksong, Saranya - 2010
The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on...
Persistent link: https://www.econbiz.de/10009434859
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The efficiency of currency markets : studies of volatility and speed of adjustment
Boulter, Terry - 2006
Whether or not currency markets may be regarded as efficient or not has been a hotly debated issue in the academic literature over recent decades. Economic theory would suggest that these markets should be efficient because they are apparently good examples of a perfectly competitive market...
Persistent link: https://www.econbiz.de/10009437792
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Stochastic modelling of financial time series with memory and multifractal scaling
Snguanyat, Ongorn - 2009
Financial processes may possess long memory and their probability densities may display heavy tails. Many models have been developed to deal with this tail behaviour, which reflects the jumps in the sample paths. On the other hand, the presence of long memory, which contradicts the efficient...
Persistent link: https://www.econbiz.de/10009437906
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Exchange rate volatility, monetary policy adjustment & price hysteresis
Adam, Christopher M. - 1991
Nominal exchange rate volatility has been greater than that of "fundamentals" supposed to establish the exchange rates. A major contribution to our understanding of this volatility was given by Rudiger Dornbusch in his 1976 paper "Expectations and Exchange Rate Dynamics", where stickiness of...
Persistent link: https://www.econbiz.de/10009441733