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Understanding forecast failure of ESTAR models of real exchange rates

Buncic, Daniel - 2009 - This Version : July 23, 2009

The forecast performance of the empirical ESTAR model of Taylor, Peel and Sarno (2001) is examined for 4 bilateral real exchange rate series over an out-of-sample eval-uation period of nearly 12 years. Point as well as density forecasts are constructed, considering forecast horizons of 1 to 22...

Persistent link: https://www.econbiz.de/10011523710

Nonlinear adjustment effects in the purchasing power parity

Phiri, Andrew - 2017

This study examines nonlinear adjustment effects in the purchasing power parity (PPP) between South Africa and her main currency trading partners; namely, the US, the UK, the Euro area, China and Japan. We use monthly data of the nominal exchange rates and domestic price level data collected...

Persistent link: https://www.econbiz.de/10011785059

Purchasing Power Parity : A Nonlinear Multivariate Approach

Bec, Frederique; Ben Salem, Melika; Rahbek, Anders - 2009

The goal of this paper is to disentangle the respective contributions of the nominal exchange rate and the price differential to the adjustment towards the Purchasing Power Parity relation. To this end, we estimate a threshold vector equilibrium correction model, whose dynamics is consistent...

Persistent link: https://www.econbiz.de/10014209711

Is exchange rate - customer order flow relationship linear? : evidence from the Hungarian FX market

Lovcha, Yuliya; Perez-Laborda, Alejandro - 2010

Over the last decade, the microstructure approach to exchange rates has become very popular. The underlying idea of this approach is that the order flows at different levels of aggregation contain valuable information to explain exchange rate movements. The bulk of empirical literature has...

Persistent link: https://www.econbiz.de/10008746440

On the degree of homogeneity in dynamic heterogeneous panel data models

Offermanns, Christian J. - 2014

We propose a semi-parametric approach to heterogeneous dynamic panel data modelling. The method generalizes existing approaches to model cross-section homogeneity within such panels. It allows for partial influence of other cross-section units on estimated coefficients, differentiating between...

Persistent link: https://www.econbiz.de/10010414225

Equilibrium real exchange rate estimates across time and space

Fischer, Christoph - 2019

estimation method used to derive them. Essentially, these methods differ in their treatment of the time-series (time) and the … cross-section (space) variation in the panel. The study shows that conventional panel estimation methods (pooled OLS, fixed … literature to show that the distortion is generally very large. This suggests the use of the CRE model for the panel estimation …

Persistent link: https://www.econbiz.de/10011998982

A New Approach to the Estimation of Equilibrium Exchange Rates Among East-Asian Economies

Martinez Oliva, Juan Carlos - 2015

alternative assumptions on bilateral price elasticities. While the methodology can further benefit from empirical estimation of …

Persistent link: https://www.econbiz.de/10013017607

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2011

This study focuses on the question whether nonlinear transformation of lagged time series values and residuals are able to systematically improve the average forecasting performance of simple Autoregressive models. Furthermore it investigates the potential superior forecasting results of a...

Persistent link: https://www.econbiz.de/10009310287

On the predictive content of nonlinear transformations of lagged autoregression residuals and time series observations

Rossen, Anja - 2014

Although many macroeconomic time series are assumed to follow nonlinear processes, nonlinear models often do not provide better predictions than their linear counterparts. Furthermore, such models easily become very complex and difficult to estimate. The aim of this study is to investigate...

Persistent link: https://www.econbiz.de/10010434848

Nonparametric Estimation of the Volatility Under Microstructure Noise : Wavelet Adaptation

Hoffmann, Marc - 2010

We study nonparametric estimation of the volatility function of a diffusion process from discrete data, when the data … the quality of estimation; we retrieve the usual minimax theory when this approach is restricted to deterministic …

Persistent link: https://www.econbiz.de/10013139169