Time Varying Parameter Models For Inflation And Exchange Rates
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Time Varying Parameter Models For Inflation And Exchange Rates
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Author : Charles Steven Bos
language : en
Publisher:
Release Date : 2001
Time Varying Parameter Models For Inflation And Exchange Rates written by Charles Steven Bos 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.
Time Varying Parameters In Exchange Rate Models
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Author : Richard Henricsson
language : en
Publisher:
Release Date : 1997
Time Varying Parameters In Exchange Rate Models written by Richard Henricsson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Foreign exchange rates categories.
Point Interval And Density Forecasts Of Exchange Rates With Time Varying Parameter Models
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Author : Angela Abbate
language : en
Publisher:
Release Date : 2016
Point Interval And Density Forecasts Of Exchange Rates With Time Varying Parameter Models written by Angela Abbate and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with Economic forecasting categories.
We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence intervals, and is better suited at long horizons and in high-volatility periods. The biggest forecast improvements are obtained by modelling time variation in the volatilities of the innovations, rather than in the slope parameters. We do not find evidence that parameter time variation helps to unravel exchange rate predictability by macroeconomic fundamentals. However, an economic evaluation of the different forecast models reveals that controlling for parameter time variation and macroeconomic fundamentals leads to higher portfolio returns, and to higher utility values for investors.
Time Varying Exchange Rate Pass Through
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Author : Toshitaka Sekine
language : en
Publisher:
Release Date : 2006
Time Varying Exchange Rate Pass Through written by Toshitaka Sekine and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Exports categories.
This paper estimates exchange rate pass-through of six major industrial countries using a time - varying parameter with stochastic volatility model. Exchange rate pass-through is divided into impacts of exchange rate fluctuations to import prices (first-stage pass-through) and those of import price movements to consumer prices (second-stage pass-through). The paper finds that both stages of pass-through have declined over time for all the sample countries. The decline in second-stage pass-through is associated with the emergence of the low and stable inflation environment as well as a rise in import penetration, while the relationship to the inflation environment is weak for first-stage pass-through.
Exchange Rate Dynamics And Global Monetary Policy Spillovers
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Author : Wenting Liao
language : en
Publisher:
Release Date : 2020
Exchange Rate Dynamics And Global Monetary Policy Spillovers written by Wenting Liao and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
We show how to study time-varying dynamic causal effects of structural shocks using external instruments in a generalized Factor-Augmented-VAR(FAVAR) model with time-varying parameters and stochastic volatility. Specifically, we employ the Bayesian MCMC estimation methodology and focus on global factors of outputs, inflation rates, interest rates, and exchange rates in five representative advanced economies, namely the United States, Canada, Germany, Japan, and the United Kingdom, to study time-varying impacts of an exogenous U.S. monetary policy shock on these open economies. We find uniformly strong evidence over time in support of Dornbusch's theoretical prediction of the exchange rate overshooting in response to an exogenous monetary policy shock. The "delayed overshooting puzzle" commonly documented in the literature disappears, likely thanks to the better identification of the exogenous U.S. monetary policy shock via external instruments. We also find that the U.S. monetary policy shock has significant contributions to the dynamics of the exchange rates overall, and the contributions were particularly large during the period of global financial crisis in 2007-2008. We document a great deal of time variations of impacts of the U.S. monetary policy shock on global factors of all other economic variables including interest rates, inflation rates, and outputs. These empirical results lend strong support to the extension of the baseline model to the more general model with time-varying parameters and stochastic volatility.
Assessing The Transmission Of Monetary Policy Using Time Varying Parameter Dynamic Factor Models
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Author : Dimitris Korobilis
language : en
Publisher:
Release Date : 2013
Assessing The Transmission Of Monetary Policy Using Time Varying Parameter Dynamic Factor Models written by Dimitris Korobilis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
This article extends the current literature which questions the stability of the monetary transmission mechanism, by proposing a factor-augmented vector autoregressive (VAR) model with time-varying coefficients and stochastic volatility. The VAR coefficients and error covariances may change gradually in every period or be subject to abrupt breaks. The model is applied to 143 post-World War II quarterly variables fully describing the US economy. I show that both endogenous and exogenous shocks to the US economy resulted in the high inflation volatility during the 1970s and early 1980s. The time-varying factor augmented VAR produces impulse responses of inflation which significantly reduce the price puzzle. Impulse responses of other indicators of the economy show that the most notable changes in the transmission of unanticipated monetary policy shocks occurred for gross domestic product, investment, exchange rates and money.
Time Varying Parameters And Exchange Rate Forecasting
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Author : Giuseppe De Arcangelis
language : en
Publisher:
Release Date : 1992
Time Varying Parameters And Exchange Rate Forecasting written by Giuseppe De Arcangelis and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1992 with categories.
State Space Models
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Author : Yong Zeng
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-08-15
State Space Models written by Yong Zeng and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-08-15 with Business & Economics categories.
State-space models as an important mathematical tool has been widely used in many different fields. This edited collection explores recent theoretical developments of the models and their applications in economics and finance. The book includes nonlinear and non-Gaussian time series models, regime-switching and hidden Markov models, continuous- or discrete-time state processes, and models of equally-spaced or irregularly-spaced (discrete or continuous) observations. The contributed chapters are divided into four parts. The first part is on Particle Filtering and Parameter Learning in Nonlinear State-Space Models. The second part focuses on the application of Linear State-Space Models in Macroeconomics and Finance. The third part deals with Hidden Markov Models, Regime Switching and Mathematical Finance and the fourth part is on Nonlinear State-Space Models for High Frequency Financial Data. The book will appeal to graduate students and researchers studying state-space modeling in economics, statistics, and mathematics, as well as to finance professionals.
A Time Varying Parameter Model For The Mark Dollar Exchange Rate
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Author : Domenico SARTORE
language : en
Publisher:
Release Date : 1995
A Time Varying Parameter Model For The Mark Dollar Exchange Rate written by Domenico SARTORE and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
The Role Of Expectations In The Inflation Process In A Period Of Exchange Rate Shock
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Author : ümit koç
language : en
Publisher:
Release Date : 2022
The Role Of Expectations In The Inflation Process In A Period Of Exchange Rate Shock written by ümit koç and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
In this paper, we analyze the role of inflation expectations in inflation dynamics. The hike in inflation in Turkey following the exchange rate shock in 2018 provides an interesting period to analyze whether the sensitivity of inflation to its main determinants, including expectations, has changed. To this end, we estimate a time-varying parameter Phillips curve model to focus on the changes in inflation dynamics. We also jointly study the formation of inflation expectations to further investigate how the setting of inflation expectations evolved over the course of the rapid rise and the following gradual decline in inflation observed since the second half of 2018. Our results reveal that inflation expectations play an important role in inflation dynamics; and that the sensitivity of inflation to expectations did not change much recently. Meanwhile, the sensitivity of inflation to the exchange rate has sharply risen and corrected only partially afterwards. However, the most notable change has been witnessed in the weight attached to the past inflation in forming expectations; agents pay higher attention to inflation realizations. Overall, our results reveal that inflation expectations and the exchange rate movements are the leading driving forces of inflation in Turkey, in which the interaction between them further amplifies the impact on inflation.