The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors
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The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors A Step Beyond
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Author : Richard H. Clarida
language : en
Publisher:
Release Date : 2001
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors A Step Beyond written by Richard H. Clarida and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors A Step Beyond
DOWNLOAD
Author :
language : en
Publisher:
Release Date : 2002
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors A Step Beyond written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with categories.
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors
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Author :
language : en
Publisher:
Release Date : 2001
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors
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Author : Richard H. Clarida
language : en
Publisher:
Release Date : 2002
The Out Of Sample Success Of Term Structure Models As Exchange Rate Predictors written by Richard H. Clarida and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Economics categories.
A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting future spot exchange rates and that exchange rate dynamics display nonlinearities. This paper proposes a term-structure forecasting model of exchange rates based on a regime-switching vector equilibrium correction model which is novel in this context. Our model significantly outperforms both a random walk and a linear term-structure vector equilibrium correction model for four major dollar rates across a range of horizons.
The Out Of Sample Success Of Term Sructure Models As Exchange Rate Predictors
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Author : Richard Clarida
language : en
Publisher:
Release Date : 2001
The Out Of Sample Success Of Term Sructure Models As Exchange Rate Predictors written by Richard Clarida and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
The Out Of Sample Forecasting Performance Of Exchange Rate Models When Coefficients Are Allowed To Change
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Author : Garry J. Schinasi
language : en
Publisher:
Release Date : 1987
The Out Of Sample Forecasting Performance Of Exchange Rate Models When Coefficients Are Allowed To Change written by Garry J. Schinasi and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1987 with Economic forecasting categories.
Imf Staff Papers Volume 51 No 3
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Author : International Monetary Fund. Research Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2004-11-23
Imf Staff Papers Volume 51 No 3 written by International Monetary Fund. Research Dept. and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-11-23 with Business & Economics categories.
This paper tests uncovered interest parity (UIP) using interest rates on longer maturity bonds for the Group of Seven countries. These long-horizon regressions yield much more support for UIP—all of the coefficients on interest differentials are of the correct sign, and almost all are closer to the UIP value of unity than to zero. The paper also analyzes the decision by a government facing electoral uncertainty to implement structural reforms in the presence of fiscal restraints similar to the Stability and Growth Pact.
Taking The Cochrane Piazzesi Term Structure Model Out Of Sample
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Author : Robert J. Hodrick
language : en
Publisher:
Release Date : 2018
Taking The Cochrane Piazzesi Term Structure Model Out Of Sample written by Robert J. Hodrick and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
We examine the Cochrane and Piazzesi (2005, 2008) model in several out-of-sample analyzes. The model's one-factor forecasting structure characterizes the term structures of additional currencies in samples ending in 2003. In post-2003 data one-factor structures again characterize each currency's term structure, but we reject equality of the coefficients across the two samples. We derive some implications of the model for the predictability of cross-currency investments, but we find little support for these predictions in either pre-2004 or post-2003 data. The model fails to beat historical average returns in recursive out-or-sample forecasting of excess rates of return for bonds and currencies.
Medium Term Exchange Rate Forecasting
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Author : Mr.Guy Meredith
language : en
Publisher: International Monetary Fund
Release Date : 2003-01-01
Medium Term Exchange Rate Forecasting written by Mr.Guy Meredith and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-01-01 with Business & Economics categories.
The medium-term predictability of exchange rate movements is examined using three models of fundamentals: purchasing power parity, the monetary model, and uncovered interest parity. While the first two approaches yield favorable in-sample results, these largely reflect finite-sample estimation biases. Adjusting for these biases, there is little evidence of predictability, consistent with the lack of systematic improvement in out-of-sample forecasting performance relative to a random walk. Uncovered interest parity fares better at long horizons, but reflects information already embodied in market prices; in this sense, it may not be useful as an indicator of exchange rate misalignment. While more elaborate models of fundamentals might have better medium-term forecasting properties, careful attention must be paid to finite-sample biases in assessing predictability.
Nonlinear Exchange Rate Models
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Author : Lucio Sarno
language : en
Publisher: International Monetary Fund
Release Date : 2003-05-01
Nonlinear Exchange Rate Models written by Lucio Sarno and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-05-01 with Business & Economics categories.
This paper provides a selective overview of nonlinear exchange rate models recently proposed in the literature and assesses their contribution to understanding exchange rate behavior. Two key questions are examined. The first question is whether nonlinear autoregressive models of real exchange rates help resolve the "purchasing power parity (PPP) puzzles." The second question is whether recently developed nonlinear, regime-switching vector equilibrium correction models of the nominal exchange rate can beat a random walk model, the standard benchmark in the exchange rate literature, in terms of out-of-sample forecasting performance. Finally, issues related to the adequateness of standard methods of evaluation of (linear and nonlinear) exchange rate models are discussed with reference to different forecast accuracy criteria.