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How would Capital Account Liberalisation Affect China's Capital Flows and the Renminbi Real Exchange Rates?

He, Dong; Cheung, Lillian; Zhang, Wenlang; Wu, Tommy - Hong Kong Institute for Monetary Research (HKIMR), … - 2012

In this paper we study the determinants of gross capital flows, project the size of China's international investment positions in 2020 and analyse the implications for the renminbi real exchange rates. We assume in this exercise that the renminbi will have largely achieved capital account...

Persistent link: https://www.econbiz.de/10010633212

Modeling and Predicting the EUR/USD Exchange Rate: The Role of Nonlinear Adjustments to Purchasing Power Parity

Cuaresma, Jesús Crespo; Orthofer, Anna - In: Monetary Policy & the Economy (2010) 2, pp. 64-76

alternative nonlinear formulations outperform them for forecasting purposes. We find that the theory of nonlinear adjustment to …

Persistent link: https://www.econbiz.de/10008527035

Early Warning System: An Assessment of Vulnerability

Reinhart, Carmen; Goldstein, Morris; Kaminsky, Graciela - Volkswirtschaftliche Fakultät, … - 2000

Predicting the timing of currency and banking crises is likely to remain an elusive task for academics, financial market participants, and policymakers. Few foresaw the Asian crises and fewer still could have imagined their severity. However, recent events have highlighted the importance of...

Persistent link: https://www.econbiz.de/10008531929

An Economic Evaluation of Empirical Exchange Rate Models

Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2007

Bayesian Model Averaging. More importantly, we assess the economic value of the in-sample and out-of-sample forecasting power …

Persistent link: https://www.econbiz.de/10005123849

The Forward Premium Puzzle only emerges gradually

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - Tinbergen Institute - 2007

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...

Persistent link: https://www.econbiz.de/10005137192

On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think

Christopoulos, Dimitris; León-Ledesma, Miguel A. - School of Economics, University of Kent - 2009

This note revisits the temporal causality between exchange rates and fundamentals put forward by Engel and West (2005). We analyze the causal link within multivariate VARs by making use of the concept of multi-step causality. Our results show that, considering information content beyond...

Persistent link: https://www.econbiz.de/10005061438

Predicting Exchange Rates Out of Sample: Can Economic Fundamentals Beat the Random Walk?

Li, Jiahan; Tsiakas, Ilias; Wang, Wei - Rimini Centre for Economic Analysis (RCEA) - 2014

the effect of less informative predictors in out-of-sample forecasting. Using statistical and economic measures of …

Persistent link: https://www.econbiz.de/10010748422

Learning to forecast the exchange rate: Two competing approaches

De Grauwe, Paul; Markiewicz, Agnieszka - In: Journal of International Money and Finance 32 (2013) C, pp. 42-76

This paper compares two competing approaches to model foreign exchange market participants' behavior: statistical learning and fitness learning. These learning mechanisms are applied to a set of predictors: chartist and fundamentalist rules. We examine which of the learning approaches is best in...

Persistent link: https://www.econbiz.de/10010594667

Monetary and Financial Integration in Asia: Introduction

Benassy-Quere, Agnes; Mignon, Valerie - In: Economie Internationale (2007) 111, pp. 5-8

Surging growth and rising interdependence of East-Asian economies during the last two decades have heightened interest in monetary and financial integration. From 1985 to 2005, the share of intra-regional trade in total trade for the South-East and East Asian region (including Japan) grew from...

Persistent link: https://www.econbiz.de/10010602615

Evaluating non-linear models on point and interval forecasts: an application with exchange rates

Boero, Gianna; Marrocu, Emanuela - In: Banca Nazionale del Lavoro Quarterly Review 58 (2005) 232, pp. 91-120

The aim of this paper is to compare the forecasting performance of SETAR and GARCHmodels against a linear benchmark … produces some evidence of forecasting gains from nonlinear models in sub-samples characterised by stronger non … models, especially at forecasting events in the tail regions of the distribution. …

Persistent link: https://www.econbiz.de/10010658898