Relevant bibliographies by topics / Exchange rates – Econometric models

Academic literature on the topic 'Exchange rates – Econometric models'

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Published: 4 June 2021
Last updated: 9 February 2022

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Journal articles on the topic "Exchange rates – Econometric models"

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Ford, J. L., Paul De Grauwe, and Theo Peeters. "Exchange Rates in Multicountry Econometric Models." Economic Journal 95, no. 378 (June 1985): 518. http://dx.doi.org/10.2307/2233243.

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Edwards, Sebastian. "Exchange rates in multi-country econometric models." Journal of International Economics 19, no. 3-4 (November 1985): 387–90. http://dx.doi.org/10.1016/0022-1996(85)90047-9.

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Berdinazarov, Zafar, Khasanjon Dodoev, Jamshid Mamasalaev, and Jakhongirmirzo Fakhodjonov. "Determinants of Exchange Rate Fluctuations of Uzbek Sum." Business and Management Studies 5, no. 1 (March 20, 2019): 52. http://dx.doi.org/10.11114/bms.v5i1.4162.

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This paper examines the determinants of exchange rate fluctuations of Uzbek sum by using three econometric models OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and ML ARCH (Multivariate Long memory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. Also, it should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.
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Chen, An-Sing, and Mark T. Leung. "Dynamic Foreign Currency Trading Guided by Adaptive Forecasting." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (September 1998): 383–418. http://dx.doi.org/10.1142/s0219091598000247.

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The difficulty in predicting exchange rates has been a long-standing problem in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of multivariate time-series models to generate better forecasts. At the same time, artificial neural network models have been emerging as alternatives to predict exchange rates. In this paper we propose a nonlinear forecast model combining the neural network with the multivariate econometric framework. This hybrid model contains two forecasting stages. A time series approach based on Bayesian Vector Autoregression (BVAR) models is applied to the first stage of forecasting. The estimates from BVAR are then used by the nonparametric General Regression Neural Network (GRNN) to generate enhanced forecasts. To evaluate the economic impact of forecasts, we develop a set of currency trading rules guided by these models. The optimal conditions implied by the investment rules maximize the expected profits given the expected changes in exchange rates and the interest rate differentials between domestic and foreign countries. Both empirical and simulation experiments suggest that the proposed nonlinear adaptive forecasting model not only produces better forecasts but also results in higher investment returns than other types of models. The effect of risk aversion is also considered in the investment simulation.
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ZIMMERMANN, GEORG, RALPH NEUNEIER, and RALPH GROTHMANN. "MULTI-AGENT MARKET MODELING OF FOREIGN EXCHANGE RATES." Advances in Complex Systems 04, no. 01 (March 2001): 29–43. http://dx.doi.org/10.1142/s021952590100005x.

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A market mechanism is basically driven by a superposition of decisions of many agents optimizing their profit. The macroeconomic price dynamic is a consequence of the cumulated excess demand/supply created on this micro level. The behavior analysis of a small number of agents is well understood through the game theory. In case of a large number of agents one may use the limiting case that an individual agent does not have an influence on the market, which allows the aggregation of agents by statistic methods. In contrast to this restriction, we can omit the assumption of an atomic market structure, if we model the market through a multi-agent approach. The contribution of the mathematical theory of neural networks to the market price formation is mostly seen on the econometric side: neural networks allow the fitting of high dimensional nonlinear dynamic models. Furthermore, in our opinion, there is a close relationship between economics and the modeling ability of neural networks because a neuron can be interpreted as a simple model of decision making. With this in mind, a neural network models the interaction of many decisions and, hence, can be interpreted as the price formation mechanism of a market.
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Panopoulou, Ekaterini, and Theologos Pantelidis. "Regime-switching models for exchange rates." European Journal of Finance 21, no. 12 (April 9, 2014): 1023–69. http://dx.doi.org/10.1080/1351847x.2014.904240.

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Panda, Ajaya Kumar, Swagatika Nanda, Vipul Kumar Singh, and Satish Kumar. "Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies." Journal of Financial Economic Policy 11, no. 2 (May 7, 2019): 174–92. http://dx.doi.org/10.1108/jfep-03-2018-0042.

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Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample. The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.
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Ahmed, KHATTAB, and SALMI Yahya. "Modeling Sources of Asymmetry in the Volatility of the Moroccan Dirham Exchange Rate." Applied Economics and Finance 8, no. 4 (July 26, 2021): 31. http://dx.doi.org/10.11114/aef.v8i4.5232.

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The main objective of this paper is to study the sources of asymmetry in the volatility of the bilateral exchange rates of the Moroccan dirham (MAD), against the EUR and the USD using the asymmetric econometric models of the ARCH-GARCH family. An empirical analysis was conducted on daily central bank data from March 2003 to March 2021, with a sample size of 4575 observations. Central bank intervention in the foreign exchange (interbank) market was found to affect the asymmetry in the volatility of the bilateral EUR/MAD and USD/MAD exchange rates. Specifically, sales of foreign exchange reserves by the monetary authority cause a fall in the exchange rate, which means that the market response to shocks is asymmetric. Finally, the selection criterion (AIC) allowed us to conclude that the asymmetric model AR(1)-TGARCH(1,1) is adequate for modeling the volatility of the exchange rate of the Moroccan dirham.
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Bozhechkova, A. V., S. G. Sinelnikov-Murylev, and P. V. Trunin. "Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s." Voprosy Ekonomiki, no. 8 (August 3, 2020): 5–22. http://dx.doi.org/10.32609/0042-8736-2020-8-5-22.

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The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the models of the real and nominal ruble exchange rates using dynamic least squares method (DOLS) are presented. It is shown that the key factors shaping the dynamics of the nominal ruble exchange rate are the terms of trade, the interest rate spread, the VIX volatility index, and the operations of the Russian Ministry of Finance under the budget rule. The long-term trajectory of the real exchange rate is formed by the terms of trade conditions, the Balassa—Samuelson effect, the dynamics of net foreign assets of the private sector.
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Anderson, Bing, Peter J. Hammond, and Cyrus A. Ramezani. "Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates." Journal of Financial and Quantitative Analysis 45, no. 5 (August 13, 2010): 1341–65. http://dx.doi.org/10.1017/s0022109010000438.

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AbstractThis paper extends the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. In particular, the issue of how to reconcile the low volatility of interest rates with the high volatility of exchange rates is addressed. The incomplete market approach of introducing exchange rate volatility that is orthogonal to both interest rates and the pricing kernels is shown to be infeasible in the affine setting. Models in which excess exchange rate volatility is orthogonal to interest rates but not orthogonal to the pricing kernels are proposed and validated via Kalman filter estimation of maximal 5-factor models for 6 country pairs.
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Dissertations / Theses on the topic "Exchange rates – Econometric models"

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Yuen, Wai-kee, and 袁偉基. "A historical event analysis of the variability in the empirical uncovered interest parity (UIP) coefficient." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B36424201.

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Hillman, Robert J. T. "Econometric modelling of nonlinearity and nonstationarity in the foreign exchange market." Thesis, University of Southampton, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.264846.

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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

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李寶昇 and Po-sing Li. "The study of the combination of technical analysis and qualitative model in financial forecasting." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1998. http://hub.hku.hk/bib/B31269035.

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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.

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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.

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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domestic prices in Kenya. In addition, it takes into account the direction and size of changes in the exchange rates to determine whether the exchange rate fluctuations are symmetric or asymmetric. The thesis uses quarterly data ranging from 1993:Ql - 2008:Q4 as it takes into account the period when the process of liberalization occurred. The empirical estimation was done in two stages. The first stage was estimated using the Johansen (1991) and (1995) co integration techniques and a vector error correction model (VECM). The second stage entailed estimating the impulse response and variance decomposition functions as well as conducting block exogeneity Wald tests. In determining the asymmetric aspect of the analysis, the study followed Pollard and Coughlin (2004) and Webber (2000) frameworks in analysing asymmetry with respect to appreciation and depreciation and large and small changes in the exchange rate to import prices. The results obtained showed that ERPT to Kenya is incomplete but relatively low at about 36 percent in the long run. In terms of asymmetry, the results showed that ERPT is found to be higher in periods of appreciation than depreciation. This is in support of market share and binding quantity constraints theory. In relation to size changes, the results show that size changes have no significant impact on ERPT in Kenya.
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Wang, Bruce Chang-Ming. "Structural breaks and regime switching models : theoretical extensions and applications /." Thesis, Connect to this title online; UW restricted, 2007. http://hdl.handle.net/1773/7476.

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Walker, Sébastien. "Essays in development macroeconomics." Thesis, University of Oxford, 2015. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.712398.

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Senzangakhona, Phakama. "The impact of oil price volatility on unemployment: a case study of South Africa." Thesis, University of Fort Hare, 2014. http://hdl.handle.net/10353/1697.

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This study analyses and investigates the impact of crude oil price vitality on unemployment in South Africa. This is done by firstly surveying theoretical and empirical literature on the crude oil price-unemployment relationship before relating it to South Africa. Secondly, crude oil and unemployment trends with their causes are overviewed. The study employs a Johansen co-integration technique based on VAR to model unemployment against crude oil prices, real effective exchange rate, real interest rates and real gross domestic product. Using quarterly data for the period 1990-2010, econometric results show that crude oil prices are positively related to unemployment in the long run while the opposite is true in the short run. Parameter estimates and variables are statistically significant; hence there are also policy recommendations which are related to both empirical and theoretical literature. Lastly, impulse response functions show that unemployment returns to equilibrium in the long run when crude oil price changes whereas real interest rates followed by crude oil prices explain most of unemployment changes compared to other variables in the long run.
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Wolden, Bache Ida. "Econometrics of exchange rate pass-through /." Oslo : Unipub, 2007. http://www.gbv.de/dms/zbw/527973297.pdf.

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Books on the topic "Exchange rates – Econometric models"

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Obstfeld, Maurice. Risk and exchange rates. Cambridge, MA: National Bureau of Economic Research, 1998.

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Hans, Dewachter, and Embrechts Marc, eds. Exchange rate theory: Chaotic models of foreign exchange markets. Oxford, UK: Blackwell, 1993.

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Kearney, Colm. Stabilization policy with flexible exchange rates. Dublin: Central Bank of Ireland, 1988.

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P, Dooley Michael. Interest rates, exchange rates and international adjustment. Cambridge, MA: National Bureau of Economic Research, 2005.

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P, Dooley Michael. Interest rates, exchange rates and international adjustment. Cambridge, Mass: National Bureau of Economic Research, 2005.

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Edwards, Sebastian. Exchange rates as nominal anchors. Cambridge, MA: National Bureau of Economic Research, 1992.

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Pavlova, Anna. Asset prices and exchange rates. Cambridge, Mass: National Bureau of Economic Research, 2003.

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Exchange rate economics. Cambridge [England]: Cambridge University Press, 1995.

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Knetter, Michael. Exchange rates and corporate pricing strategies. Cambridge, MA: National Bureau of Economic Research, 1992.

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Bergvall, Anders. Essays on exchange rates and macroeconomic stability. Uppsala, Sweden: Dept. of Economics, Uppsala University, 2002.

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Book chapters on the topic "Exchange rates – Econometric models"

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Várpalotai, Viktor. "Disaggregated Econometric Models to Forecast Inflation in Hungary." In Exchange Rates and Macroeconomic Dynamics, 139–66. London: Palgrave Macmillan UK, 2008. http://dx.doi.org/10.1057/9780230582699_6.

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Garbers, Hermann. "Constructing an Empirical Model for Swiss Franc Exchange Rates and Interest Rate Differentials." In Econometric Analysis of Financial Markets, 79–88. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_6.

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Kaehler, Juergen, and Volker Marnet. "Markov-Switching Models for Exchange-Rate Dynamics and the Pricing of Foreign-Currency Options." In Econometric Analysis of Financial Markets, 203–30. Heidelberg: Physica-Verlag HD, 1994. http://dx.doi.org/10.1007/978-3-642-48666-1_13.

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Tungtrakul, Tanaporn, Natthaphat Kingnetr, and Songsak Sriboonchitta. "Do We Have Robust GARCH Models Under Different Mean Equations: Evidence from Exchange Rates of Thailand?" In Robustness in Econometrics, 599–613. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-50742-2_37.

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Söylemez, Arif Orçun. "Comparing the predictive powers of models." In Foreign Exchange Rates, 30–47. Abingdon, Oxon ; New York, NY : Routledge, 2021. | Series: Routledge focus on economics and finance: Routledge, 2020. http://dx.doi.org/10.4324/9781003102809-6.

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Hencic, Andrew, and Christian Gouriéroux. "Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates." In Econometrics of Risk, 17–40. Cham: Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-13449-9_2.

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MacDonald, Ronald, and Ian Marsh. "Long-Run Econometric Modelling of Exchange Rates." In Advanced Studies in Theoretical and Applied Econometrics, 173–206. Boston, MA: Springer US, 1999. http://dx.doi.org/10.1007/978-1-4757-2997-9_7.

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Söylemez, Arif Orçun. "Prominent structural models for exchange rate determination." In Foreign Exchange Rates, 6–12. Abingdon, Oxon ; New York, NY : Routledge, 2021. | Series: Routledge focus on economics and finance: Routledge, 2020. http://dx.doi.org/10.4324/9781003102809-2.

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Husted, Steven, and Ronald MacDonald. "Nominal Equilibrium Exchange Rate Models: A Panel Perspective." In Equilibrium Exchange Rates, 209–40. Dordrecht: Springer Netherlands, 1999. http://dx.doi.org/10.1007/978-94-011-4411-7_8.

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Cenedese, Gino, and Thomas Stolper. "Currency Fair Value Models." In Handbook of Exchange Rates, 313–42. Hoboken, NJ, USA: John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118445785.ch11.

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Conference papers on the topic "Exchange rates – Econometric models"

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Hacıoğlu Deniz, Müjgan, and Kutluk Kağan Sümer. "The Effects of Oil Price Volatility on Foreign Trade Revenue and National Income: A Comparative Analysis on Selected Eurasian Economies." In International Conference on Eurasian Economies. Eurasian Economists Association, 2015. http://dx.doi.org/10.36880/c06.01362.

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The aim of this study is to identify the effects of the volatility of oil prices and exchange rates on foreign trade revenue of a few selected Eurasian Economies. These countries are oil and natural gas exporting countries and getting most of their trade revenue from exporting these commodities. The effects of sharply falling oil prices since June 2014 and depreciating exchange rates on these countries’ external trade were analyzed by using alternative econometric models. The sample of this analysis covered the period from June 2014 when oil prices has started falling sharply – till June 2015 in which still world oil price is lower than the price of 140-150 dollars for per gallon in the previous years. Decreasing prices basically destabilize the revenues of these states since approximately two third (2/3) of their export revenue and substantial part of their budget revenue that comes from oil and natural gas. In Russian economy falling prices of oil depreciates both public revenue and economic activity. This means predominantly depending on one commodity for export and foreign trade makes these countries’ economies in dependence of that commodity’s price and makes these economies so vulnerable to global crisis and price volatilities. In order to avoid from this situation, these countries should divert their production and increase in variety for exporting goods.
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Ağayev, Seymur. "The Validity of Purchasing Power Parity Hypothesis for Kazakhstan." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00594.

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The article examines the validity of Purchasing Power Parity (PPP) hypothesis for Kazakhstan by using the data set belonging to the period January 1995 to December 2012. Both linear and nonlinear unit root tests are used to make an econometrical investigation on stationarity characteristics of real exchange rate series of Kazakhstan’s Tenge that defined according to different foreign countries or country groups. First of two nonlinear unit root tests that applied in this paper models structural change as a smooth transition and the other nonlinear unit root test takes into account both structural change and asymmetric adjustment characteristics of real exchange rates. Linear unit root test findings support the validity of the PPP hypothesis between Kazakhstan and Commonwealth of Independent States (CIS) countries. In addition to this finding, unit root tests that allow for nonlinear adjustment support evidences on stationarity of Tenge – US dollar real exchange rate, Tenge – Euro real exchange rate and Tenge’s non-CIS related real effective exchange rate series. As a whole, findings of this study provide a strong support on the validity of PPP hypothesis for Kazakhstan. Furthermore, it is also shows that the nonlinear adjustment characteristics of real exchange rate should be taken into account, if foreign countries are represented by free market economies.
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Santos, André Alves Portela, Leandro dos Santos Coelho, and Newton C. A. da Costa Jr. "Forecasting Brazilian Exchange Rates with Nonlinear Models." In 7. Congresso Brasileiro de Redes Neurais. SBRN, 2016. http://dx.doi.org/10.21528/cbrn2005-029.

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Liu, Ya-chen, and Shuai Zhang. "Econometric analysis on the relationship between RMB exchange rate and real estate price by VAR model." In 2012 First National Conference for Engineering Sciences (FNCES). IEEE, 2012. http://dx.doi.org/10.1109/nces.2012.6543996.

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Liu, Yachen, and Shuai Zhang. "Econometric Analysis on the Relationship Between RMB Exchange Rate and Real Estate Price by VAR Model." In 2nd International Conference on Science and Social Research (ICSSR 2013). Paris, France: Atlantis Press, 2013. http://dx.doi.org/10.2991/icssr-13.2013.97.

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Marcek, Dusan. "Some Statistical Models vs. Models Based on SC Applied to Daily Exchange Rates." In 2013 International Conference on Advanced Computer Science and Electronics Information. Paris, France: Atlantis Press, 2013. http://dx.doi.org/10.2991/icacsei.2013.134.

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ŞAHBAZ, AHMET, Uğur Adıgüzel, Tayfur Bayat, and Selim Kayhan. "The Relationship between Oil Prices and Exchange Rate: The Case of Romania." In International Conference on Eurasian Economies. Eurasian Economists Association, 2013. http://dx.doi.org/10.36880/c04.00660.

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This study investigates to causality between crude oil prices and exchange rates in Romania employing monthly data from the beginning of floating exchange regime for November 2004 to December 2011. The study benefits from the recent advance in the time series econometric analysis and carries out non-linear causality and frequency domain causality tests. According to nonlinear causality test results there is no causality between the variables. Results show that frequency domain causality results slightly differentiate from the nonlinear causality analysis and imply that there is a causality running from real exchange rate to real oil price on the mediun and long run.
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Piotr, Fiszeder. "Application of SVR models to forecast the volatility of the exchange rates." In 9th International Conference on Modern Research in Management, Economics and Accounting. Acavent, 2019. http://dx.doi.org/10.33422/9th.meaconf.2019.05.1063.

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Ersungur, Ş. Mustafa, Mehmet Barış Aslan, and Ömer Doru. "The Econometric Analysis in the Sectorial Basis of Income and Price Effects on the Foreign Trade Deficits: The Case of Turkey." In International Conference on Eurasian Economies. Eurasian Economists Association, 2017. http://dx.doi.org/10.36880/c08.01864.

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In Turkey which is one of the countries whose current account deficit has been chronic from the 1980s until today, the most important reason for the current account deficit is foreign trade deficit. The aim of our study in this context is to shed light on policies oriented foreign trade deficits by examining foreign trade of intermediate and capital goods which are one of the most important causes of foreign trade deficits in Turkey, in terms of income and exchange rate indicators. In the study in which the Marshall-Lerner condition and the foreign and domestic income elasticities were tested separately for each model, the Econometric method and quartile data between 1998 to 2014 were used. The results of the study showed that Marshall-Lerner condition is not valid in foreign trade of any goods group, and domestic and foreign income variable coefficients are strong effect on both imports and exports. In the direction of these results, we think that the economic policies to be developed for domestic and foreign revenues will be more effective than the real exchange rate policies for being decreased the foreign trade deficits of both intermediate and capital goods in Turkey.
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Huang, Xiaoxia. "Mean-Variance Models for International Portfolio Selection with Uncertain Exchange Rates and Security Returns." In 2010 International Conference on Information Science and Applications. IEEE, 2010. http://dx.doi.org/10.1109/icisa.2010.5480377.

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Reports on the topic "Exchange rates – Econometric models"

1

Chari, V. V., Patrick Kehoe, and Ellen McGrattan. Can Sticky Price Models Generate Volatile and Persistent Real Exchange Rates? Cambridge, MA: National Bureau of Economic Research, September 2000. http://dx.doi.org/10.3386/w7869.

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2

Flood, Robert, and Peter Garber. The Linkage Between Speculative Attack and Target Zone Models of Exchange Rates. Cambridge, MA: National Bureau of Economic Research, April 1989. http://dx.doi.org/10.3386/w2918.

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3

Chari, V., Patrick Kehoe, and Ellen McGrattan. Monetary Shocks and Real Exchange Rates in Sticky Price Models of International Business Cycles. Cambridge, MA: National Bureau of Economic Research, January 1997. http://dx.doi.org/10.3386/w5876.

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