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Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data
Wilfling, Bernd; Trede, Mark - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10010295399
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Estimating exchange rate dynamics with diffusion processes : an application to Greek EMU data
Trede, Mark; Wilfling, Bernd - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10009349862
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Estimating Exchange Rate Dynamics with Diffusion Processes : An Application to Greek Emu Data
Trede, Mark M.; Wilfling, Bernd - 2004
Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely...
Persistent link: https://www.econbiz.de/10014072638
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Interest Rate Convergence in the EMS Prior to European Monetary Union
Frömmel, Michael - 2009
In this paper we analyze the convergence of interest rates in the European MonetarySystem (EMS) in a framework of changing persistence. This allows us to estimate the exact date of full convergence from the data. A change in persistence means that a time series switches from stationarity to...
Persistent link: https://www.econbiz.de/10013159293
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A generalised stochastic volatility in mean VAR
Mumtaz, Haroon - 2018
This paper introduces a VAR with stochastic volatility in mean where the residuals of the volatility equations and the … observation equations are allowed to be correlated. This implies that exogeneity of shocks to volatility is not assumed apriori …
Persistent link: https://www.econbiz.de/10011812167
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Measuring the origins of macroeconomic uncertainty
Mumtaz, Haroon - 2018
This paper extends the procedure developed by Jurado et al. (2015) to allow the estimation of measures of uncertainty that can be attributed to specific structural shocks. This enables researchers to investigate the "origin" of a change in overall macroeconomic uncertainty. To demonstrate the...
Persistent link: https://www.econbiz.de/10011895010
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Changing impact of shocks : a time-varying proxy SVAR approach
Mumtaz, Haroon; Petrova, Katerina - 2018
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...
Persistent link: https://www.econbiz.de/10011933414
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Estimating Trend Inflation with Moving Average and Stochastic Volatility for Nigeria
Abubakar, Jamaladeen - 2020
, different channels were used to identify the source of inflation persistence and volatility. This was estimated using Bayesian … Nigeria can be modelled by assuming constant volatility as the evidence shows that stochastic volatility (SV) is not a source … an evidence of instability not volatility in the variance of the trend inflation. Secondly, we found that the inclusion …
Persistent link: https://www.econbiz.de/10012825374
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Optimal Sovereign Investment in a Stochastic Volatility Jump-Diffusion Model
Animante, David - 2016
discontinuities due to stochastic volatility and event related jump risks. We find that: (i) both volatility jumps and positive price …-linear in risk aversion while hedging demand tends to dominate the market portfolio. (iii) Volatility jumps have greater impact … on optimal portfolio decisions than price jumps and (iv) In the presence of jumps and volatility risks, optimal portfolio …
Persistent link: https://www.econbiz.de/10012993771
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A generalised stochastic volatility in mean VAR : an updated algorithm
Mumtaz, Haroon - 2020
In this note we present an updated algorithm to estimate the VAR with stochastic volatility proposed in Mumtaz (2018 …
Persistent link: https://www.econbiz.de/10012243290