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Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression?
van Dijk, D.; Berben, R.P. - Econometrisch Instituut, Faculteit der Economische … - 1998
One of the stylized facts in financial and international economics is that of increasing predictability of variables such as exchange rates and stock returns at longer horizons. This fact is based upon applications of long horizon regressions, from which the typical findings are that the point...
Persistent link: https://www.econbiz.de/10005625244
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Examining Responsiveness of India’s Trade Flows to Exchange Rate Movements
Shingal, Anirudh - 2010
Determinants of trade flows have always attracted researchers. In this paper, we model monthly trade flows in India over January 2000 - December 2007 in a bid to gauge their responsiveness to exchange rate movements. Capital account and overall BOP surplus have led the Indian Rupee (INR) to...
Persistent link: https://www.econbiz.de/10013146532
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Examining responsiveness of India’s trade flows to exchange rate movements
Shingal, Anirudh - Volkswirtschaftliche Fakultät, … - 2007
Determinants of trade flows have always attracted researchers. In this paper, we model monthly trade flows in India over January 2000 – December 2007 in a bid to gauge their responsiveness to exchange rate movements. Capital account and overall BOP surplus have led the Indian Rupee (INR) to...
Persistent link: https://www.econbiz.de/10009246892
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Heterogeneity of the Maghreb: the results of optimized monetary rules
Belhadj, Aam - Volkswirtschaftliche Fakultät, … - 2009
The launch of the euro has fed doubts concerning the constitution of an optimal European monetary zone. Indeed, the differences in legal, institutional and cultural frameworks… as well as the diversity of the productive and financial European systems may have led to the idea that Europe does...
Persistent link: https://www.econbiz.de/10011258339
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Should one rely on professional exchange rate forecasts : an empirical analysis of professional forecasts for the €/US-$ rate
Bofinger, Peter; Schmidt, Robert - 2003
The study analyses the characteristics of professional exchange rate forecasts for the € /US-$ rate. The results … indicate that the quality of forecasts produced by professional economists is rather poor and incompatible with the rational … expectations hypothesis. This dismal result is according to our analysis attributed to the fact that professional forecasts are to …
Persistent link: https://www.econbiz.de/10010498977
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Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?
Kilian, L. - Research Seminar in International Economics, University … - 1997
Long-horizon regression tests are widely used in empirical finance, despite evidence of severe size distortions. I propose a new bootstrap method for small-sample inference in long-horizon regressions. A Monte Carlo study shows that this bootstrap test greatly reduces the size distortions of...
Persistent link: https://www.econbiz.de/10005734392
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Forecasting the Real US/DEM Exchange Rate: TAR vs. AR.
Kuo, B.-S.; Mikkola, A. - 2000
alternative in terms of out-of-sample forecast accuracy. Preliminary results using the RMSE criterion indicate that TAR forecasts …
Persistent link: https://www.econbiz.de/10005619080
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Improving the Short-Term Forecast of World Trade During the COVID-19 Pandemic Using Swift Data on Letters of Credit
Carton, Benjamin; Hu, Nan; Mongardini, Joannes; Moriya, Kei - 2021
-learning algorithms for the world and 40 large economies shows that forecasts based on linear regressions often outperform those based on …
Persistent link: https://www.econbiz.de/10013252036
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Trade Linkages and the Trade Matrices in the OECD Interlink Model
Le Fouler, Laurence - 2001
This paper provides a mainly graphical summary of the trade matrices underlying the OECD’s international macroeconomic model Interlink. In doing so it gives a snapshot of the geographical nature of global trading relationships, in particular between individual OECD countries and the main...
Persistent link: https://www.econbiz.de/10012444780
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Protection in a Dynamic Macroeconomic Model with Imperfect Competition.
Fender, J.; Yip, C.K. - Department of Economics, University of Birmingham - 1995
Persistent link: https://www.econbiz.de/10005357585