Recently, there has been much interest in modeling time-varying higher-order conditional moments in the density estimation context. These studies employ a moment-based methodology to test their specification of higher-order conditional moments. We compare the size and power of these moment-based...

Forecasting exchange rate movements is extremely difficult. While the usual forecast requires determining the size and sign of change, we investigate if the direction of change alone is easier to forecast. The accuracy rate of monthly forecasts based on an economic model is compared with random...

The friction model is consistent with the hypothesis that a central bank intervenes in a foreign exchange market only if the necessity grows beyond certain thresholds. For this feature, the model is adopted in some recent studies as an attractive central bank reaction function. However, with...

The noise-trading or coordination channel hypothesis implies that sterilized intervention in the foreign exchange market is effective if certain conditions are satisfied, but ineffective otherwise. The hypothesis is tested with a three-regime threshold model and daily data on actual intervention...