Empirical Modeling of Exchange Rate Dynamics

Lingua: inglese

Editore: Springer, J.B. Metzler Mär 1988, 1988

3540189661 / 9783540189664

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This item is printed on demand - Print on Demand Titel. Neuware -Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a 'naive' random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 160 pp. Englisch.…

Codice articolo 9783540189664

Titolo
Empirical Modeling of Exchange Rate Dynamics
Autore
Francis X. Diebold
Editore
Springer, J.B. Metzler Mär 1988
Anno di pubblicazione
1988
Condizione
Neu
Rilegatura
Taschenbuch
Lingua
inglese
ISBN 10
3540189661
ISBN 13
9783540189664
Peso dell'articolo
289 grammi
Dimensioni
244x170x9 mm

buchversandmimpf2000

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ArticoloDa 60 a 60 giorni lavorativiDa 60 a 60 giorni lavorativi
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