Search Results - subject:"Present Value Model"

A Re-examination of the link between Real Exchange Rates and Real Interest Rate Differentials

Hoffmann, Mathias; MacDonald, Ronald - Department of Economics, Adam Smith Business School - 2006

43; F31; F41 Keywords: Real Exchange Rates; Real Interest Rates; Present Value Model. 1 Introduction Many well … in a present value model in which the discount factor is known and equal to one.1 This interpretation allows us to proxy …-equation restrictions of the present-value model are statistically rejected. However, we note that this can be attributed to the time …

Persistent link: https://www.econbiz.de/10005729962

Present value relations, Granger non-causality and VAR stability

Fanelli, Luca - Volkswirtschaftliche Fakultät, … - 2006

When in "exact" present value (PV) relations the decision variables do not Granger cause the explanatory variables and a VAR process is used to derive restrictions, the system embodies explosive roots. Hence any test of the PV restrictions would reject the null if the system incorporates Granger...

Persistent link: https://www.econbiz.de/10005835920

The predictive power of the present value model of stock prices

Ryan, Geraldine - Society for Computational Economics - SCE - 2006

Using monthly data from 1926:01 to 2003:12 for the United States, this paper examines the predictability of real stock prices based on the dividend-price ratio. In particular, we focus on estimating and forecasting a nonlinear exponential smooth autoregressive model (ESTAR). One motivation for...

Persistent link: https://www.econbiz.de/10005342899

Pricing of New Zealand dairy farmland

Shi, Song; McCarthy, Iona - In: Journal of Property Investment & Finance 31 (2013) 2, pp. 118-134

using the present value model and then apply them in a pool regression model to show how farmers formulate their price bids …

Persistent link: https://www.econbiz.de/10014898359

Which Fundamentals Drive Exchange Rates? A Cross-Sectional Perspective

Sarno, Lucio; Schmeling, Maik - C.E.P.R. Discussion Papers - 2013

Standard present-value models suggest that exchange rates are driven by expected future fundamentals, implying that exchange rates contain information about future fundamentals. We test this key empirical prediction of present-value models in a sample of 35 currency pairs ranging from 1900 to...

Persistent link: https://www.econbiz.de/10011083568

Rational speculative bubbles in the Asian stock markets : tests on deterministic explosive bubbles and stochastic explosive root bubbles

Chen, Yen-hsiao; Quan, Lianfeng - In: The journal of asset management 14 (2013) 3, pp. 195-208

Persistent link: https://www.econbiz.de/10010207135

The New Keynesian Phillips Curve in Europe: does it fit or does it fail?

Tillmann, Peter - 2005

The canonical New Keynesian model specifies inflation as the present-value of future real marginal cost. This paper tests this New Keynesian Phillips Curve and exploits projections of future real marginal cost generated by VAR models to assess the model's ability to match the behavior of actual...

Persistent link: https://www.econbiz.de/10010295672

The Present Value Model, Farmland Prices and Structural Breaks

Gutierrez, Luciano; Erickson, Kenneth W.; Westerlund, Joakim - 2005

We review the constant discount rate present value model of farmland prices using non-stationary panel data analysis …. We use panel unit root and cointegration analysis to test if the present value model holds for a sample of 31 U.S. States … rejected if there is a regime shift. Thus, while the present value model of farmland prices must be rejected when the discount …

Persistent link: https://www.econbiz.de/10009443865

The Present Value Model, Farmland Prices and Structural Breaks

Gutierrez, Luciano; Erickson, Kenneth W.; Westerlund, Joakim - European Association of Agricultural Economists - EAAE - 2005

Persistent link: https://www.econbiz.de/10005522279

Equilibrium real price of a fixed asset in a growing economy

Kubíček, Jan - In: Politická ekonomie 2005 (2005) 3, pp. 405-422

asset can expressed using the present value model. The equilibrium real asset price increases in time in the same rate as …

Persistent link: https://www.econbiz.de/10005036700