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Bayesian Model Averaging and Exchange Rate Forecasts

Wright, Jonathan H. - 2003

Exchange rate forecasting is hard and the seminal result of Meese and Rogoff (1983) that the exchange rate is well approximated by a driftless random walk, at least for prediction purposes, has never really been overturned despite much effort at constructing other forecasting models. However, in...

Persistent link: https://www.econbiz.de/10014075009

Devaluation, goods price variation and trade flows

Umoru, David; Obomeghie, Muhammed Adamu; Igbinovia, Beauty - In: Central European review of economics and management : CEREM 8 (2024) 3, pp. 41-88

effect of price variation on trade in developing nations and this was attributed to high inflation rate in these countries … volume of trade in different countries, the well-managed inflation rate and exchange rate policies of the developed economies … as their inflation rates. In contrast, the monetary policy managers of the developing countries should complement …

Persistent link: https://www.econbiz.de/10015323442

Credit Cycles : Evidence Based on a Non Linear Model for Developed Countries

Anguren Martín, Rebeca - 2011

We propose an econometric analysis of the evolution of bank credit to the private sector in order to describe credit cycles and identify phases of particularly low (or negative) credit growth such as those that typically accompany financial or banking crises. We use a sample of twelve developed...

Persistent link: https://www.econbiz.de/10013125017

Global Liquidity as an Early Warning Indicator of Asset Price Booms : G5 versus Broader Measures

Bierut, Beata K. - 2013

We test the performance of various measures of global liquidity as early warning indicators of booms in house and equity prices in 20 OECD countries between 1970 and 2010. We use a panel probit approach to test the relative performance of global liquidity measures based on two aggregation...

Persistent link: https://www.econbiz.de/10013081631

A Practitioner’s Guide to the CAPM : An Empirical Study

French, Jordan - 2018

The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results? This research looks at the out of sample forecasting...

Persistent link: https://www.econbiz.de/10012907773

Leveraged bubbles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2015

What risks do asset price bubbles pose for the economy? This paper studies bubbles in housing and equity markets in 17 countries over the past 140 years. History shows that not all bubbles are alike. Some have enormous costs for the economy, while others blow over. We demonstrate that what makes...

Persistent link: https://www.econbiz.de/10011309562

Leveraged Bubbles

Jordà, Òscar - 2015

Persistent link: https://www.econbiz.de/10013014986

Free to Flow? New Results on Capital Mobility Amongst the Developed Countries

Madarassy Akin, Rita; Chinn, Menzie David - 2003

This paper evaluates the evidence for uncovered and real interest parity at the long horizons for the non-G7 economies. We examine the behavior of exchange rates and interest differentials for bonds with 5-year maturity. Although there are substantial differences in the results among countries,...

Persistent link: https://www.econbiz.de/10014103948

The Balassa-Samuelson Hypothesis in Developed Countries and Emerging Market Economies : Different Outcomes Explained

García-Solanes, José - 2011

This paper studies the Balassa-Samuelson hypothesis in two areas with strong differences in economic development, sixteen OECD countries and sixteen Latin American economies. Applying panel cointegration and bootstrapping techniques that solve for cross-sectional dependence problems in the data,...

Persistent link: https://www.econbiz.de/10013132297

Forward Exchange Rate Biasedness Across Developed and Developing Country Currencies : Do Observed Patterns Persist Out of Sample?

Lucey, Brian M. - 2012

Forward exchange rate unbiasedness hypothesis (FRUH) has been a widely researched subject for decades. Recently, the sample populations of these studies have expanded to include developing country currencies. The majority of these findings have been that forward rate biasedness is more...

Persistent link: https://www.econbiz.de/10013101525