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Liberalized Markets Have More Stable Exchange Rates; Short-Run Evidence From Four Transition Countries

Bulir, Ales - International Monetary Fund (IMF) - 2004

The paper looks at the hypothesis that financial market liberalization can create a basis for more stable exchange rates, as deviations of exchange rates from equilibrium levels bring forth stabilizing flows of liquidity. This "endogenous liquidity" hypothesis suggests that opening financial...

Persistent link: https://www.econbiz.de/10005599329

Nonlinearity in Deviations From Uncovered Interest Parity; An Explanation of the Forward Bias Puzzle

Valente, Giorgio; Leon, H. L.; Sarno, Lucio - International Monetary Fund (IMF) - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10005604790

Threshold models for trended time series

Kapetanios, George - In: Empirical Economics 28 (2003) 4, pp. 687-707

This paper presents the theoretical development of a new threshold autoregressive model based on trended time series. The theoretical arguments underlying the model are outlined and a nonlinear economic model is used to derive the specification of the empirical econometric model. Estimation and...

Persistent link: https://www.econbiz.de/10005612914

Forecasting monetary policy rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - In: International Journal of Forecasting 28 (2012) 2, pp. 446-455

that there are gains from semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10010577328

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

Persistent link: https://www.econbiz.de/10008584688

Studies in Time Series Analysis of Consumption, Asset Prices and Forecasting

Takala, Kari - Suomen Pankki - 2001

, and forecasting. The papers apply techniques related to the analysis of unit roots and cointegration methods. <p> The … first paper deals with consumption theories and formulates an error-correction forecasting model for consumption. A single … variables can be in forecasting variables such as consumption and inflation. <p> The first paper on asset prices, is based on …

Persistent link: https://www.econbiz.de/10008774212

Forecasting Monetary Policy Rules in South Africa

Naraidoo, Ruthira; Paya, Ivan - Economic Research Southern Africa (ERSA) - 2010

rule specifications as well as nonparametric and semiparametric models in forecasting the nominal interest rate setting … semiparametric models in forecasting the interest rates as the forecasting horizon lengthens. …

Persistent link: https://www.econbiz.de/10008643862

A Perspectiveon Predicting Currency Crises

Flood, Robert P.; Yepez, Juan; Marion, Nancy P. - International Monetary Fund (IMF) - 2010

Currency crises are difficult to predict. It could be that we are choosing the wrong variables or using the wrong models or adopting measurement techniques not up to the task. We set up a Monte Carlo experiment designed to evaluate the measurement techniques. In our study, the methods are given...

Persistent link: https://www.econbiz.de/10008680277

Reviving the Competitive Storage Model; A Holistic Approach to Food Commodity Prices

Funke, Norbert; Wu, Weifeng; Miao, Yanliang - International Monetary Fund (IMF) - 2011

We revive in this paper the empirical relevance of the competitive storage model by taking a holistic approach to food commodity prices. We augment the seminal Deaton and Laroque (1992, 1996) model by incorporating more comprehensive and realistic supply and demand factors: output and demand...

Persistent link: https://www.econbiz.de/10008876584

An exponential FISTAR model applied to the US real effective exchange rate

Boutahar, Mohamed; Mootamri, Imene; Peguin-Feissolle, Anne - HAL - 2007

The aim of this paper is to study the dynamics of the US real effective exchange rate by capturing nonlinearity and …

Persistent link: https://www.econbiz.de/10008794103