Dissertations / Theses on the topic 'Exchange rates – Econometric models'
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1
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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Wang, Ping. "Econometric analysis of exchange rates in East Asia." Thesis, Middlesex University, 1999. http://eprints.mdx.ac.uk/8032/.
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This study is concerned with the behaviour of exchange rate movements focusing specifically on purchasing power parity (PPP) and the non-stationarity of real exchange rates, for a number of East Asian currencies during their recent floating periods. As one of the most important building blocks in international economies, PPP forms a core component of several models of exchange rate determination, and it is the most intensively tested hypothesis in open-economy macroeconomics. Nevertheless, in contrast to the relative abundance of research on the currencies of industrialised countries, very few studies on East Asian currencies have been carried out, leaving an important gap in the literature. Using recent advances in time series analysis, the results reveal for the East Asian countries that there existed long-run comovement between the nominal exchange rate and domestic and foreign price levels, but that the strict PPP condition claimed by the theory did not hold. This implied that any deviation from the PPP equilibrium was permanent and that there was little tendency for the real exchange rate to be mean reverting. Further investigation suggested that the real exchange rate was cointegrated with fundamentals, with most of the variables entering the cointegration vector significantly, suggesting that the movements of real exchange rate were driven by these factors. Investigating the dynamic paths of the real exchange rate and the long-run relationship (cointegrating relationship) in response to exogenous shocks also revealed that the real exchange rates did not revert to their pre-shock equilibrium, but that the long-run relationship did. It took, normally three to five years, for the real exchange rate to reach and settle down to a new equilibrium and even if the effect of shocks on the long-run relationship was transitory, the speed of convergence to the equilibrium was slow. The results also showed that the effects of shocks vary from one country to another. This meant that there was no universal panacea to deal with fluctuations in real exchange rates, as they were influenced by a country's natural endowment, stage in industrialisation, as well as monetary and exchange policies.
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Malek, Mansour Jeoffrey H. G. "Three essays in international economics." Doctoral thesis, Universite Libre de Bruxelles, 2006. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210878.
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This thesis consists in a collection of research works dealing with various aspects of International Economics. More precisely, we focus on three main themes: (i) the existence of a world business cycle and the implications thereof, (ii) the likelihood of asymmetric shocks in the Euro Zone resulting from fluctuations in the euro exchange rate because of differences in sector specialization patterns and some consequences of such shocks, and (iii) the relationship between trade openness and growth influence of the sector specialization structure on that relationship.Regarding the approach pursued to tackle these problems, we have chosen to strictly remain within the boundaries of empirical (macro)economics - that is, applied econometrics. Though we systematically provide theoretical models to back up our empirical approach, our only real concern is to look at the stories the data can (or cannot) tell us. As to the econometric methodology, we will restrict ourselves to the use of panel data analysis. The large spectrum of techniques available within the panel framework allows us to utilize, for each of the problems at hand, the most suitable approach (or what we think it is).
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished
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Klongkratoke, Pittaya. "Econometric models in foreign exchange market." Thesis, University of Glasgow, 2016. http://theses.gla.ac.uk/7333/.
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According to the significance of the econometric models in foreign exchange market, the purpose of this research is to give a closer examination on some important issues in this area. The research covers exchange rate pass-through into import prices, liquidity risk and expected returns in the currency market, and the common risk factors in currency markets. Firstly, with the significant of the exchange rate pass-through in financial economics, the first empirical chapter studies on the degree of exchange rate pass-through into import in emerging economies and developed countries in panel evidences for comparison covering the time period of 1970-2009. The pooled mean group estimation (PMGE) is used for the estimation to investigate the short run coefficients and error variance. In general, the results present that the import prices are affected positively, though incompletely, by the exchange rate. Secondly, the following study addresses the question whether there is a relationship between cross-sectional differences in foreign exchange returns and the sensitivities of the returns to fluctuations in liquidity, known as liquidity beta, by using a unique dataset of weekly order flow. Finally, the last study is in keeping with the study of Lustig, Roussanov and Verdelhan (2011), which shows that the large co-movement among exchange rates of different currencies can explain a risk-based view of exchange rate determination. The exploration on identifying a slope factor in exchange rate changes is brought up. The study initially constructs monthly portfolios of currencies, which are sorted on the basis of their forward discounts. The lowest interest rate currencies are contained in the first portfolio and the highest interest rate currencies are in the last. The results performs that portfolios with higher forward discounts incline to contain higher real interest rates in overall by considering the first portfolio and the last portfolio though the fluctuation occurs.
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Ajagbe, Stephen Mayowa. "An analysis of the long run comovements between financial system development and mining production in South Africa." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002689.
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This study examines the nature of the relationship which exists between mining sector production and development of the financial systems in South Africa. This is particularly important in that the mining sector is considered to be one of the major contributors to the country’s overall economic growth. South Africa is also considered to have a very well developed financial system, to the point where the dominance of one over the other is difficult to identify. Therefore offering insight into the nature of this relationship will assist policy makers in identifying the most effective policies in order to ensure that the developments within the financial systems impact appropriately on the mining sector, and ultimately on the economy. In addition to using the conventional proxies of financial system development, this study utilises the principal component analysis (PCA) to construct an index for the entire financial system. The multivariate cointegration approach as proposed by Johansen (1988) and Johansen and Juselius (1990) was then used to estimate the relationship between the development of the financial systems and the mining sector production for the period 1988-2008. The study reveals mixed results for different measures of financial system development. Those involving the banking system show that a negative relationship exists between total mining production and total credit extended to the private sector, while liquid liabilities has a positive relationship. Similarly, with the stock market system, mixed results are also obtained which reveal a negative relationship between total mining production and stock market capitalisation, while a positive relationship is found with secondary market turnover. Of all the financial system variables, only that of stock market capitalisation was found to be significant. The result with the financial development index reveals that a significant negative relationship exists between financial system development and total mining sector production. Results on the other variables controlled in the estimation show that positive and significant relationships exist between total mining production and both nominal exchange rate and political stability respectively. Increased mining production therefore takes place in periods of appreciating exchange rates, and similarly in the post-apartheid era. On the other hand, negative relationships were found for both trade openness and inflation control variables. The impulse response and variance decomposition analyses showed that total mining production explains the largest amount of shocks within itself. Overall, the study reveals that the mining sector might not have benefited much from the development in the South African financial system.
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Fiess, Norbert. "Technical analysis : an econometric approach." Thesis, University of Strathclyde, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.248678.
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Liu, Kit-ying Ida. "Empirical exchange rate models : out-of-sample forecasts for the HK$/Yen exchange rate /." Hong Kong : University of Hong Kong, 1997. http://sunzi.lib.hku.hk/hkuto/record.jsp?B20666895.
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Kalev, Petko S. "Rational expectations and the term structure of interest rates." Monash University, Dept. of Econometrics and Business Statistics, 2001. http://arrow.monash.edu.au/hdl/1959.1/8700.
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Mazigh, Monia. "A linear model for the term structure of interest rates /." Thesis, McGill University, 2000. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=37778.
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The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfactory. The curve fitting methods, and particularly the spline method, used in practice to estimate the term structure are ad hoc and thus subject to arbitrage opportunities. Guo (1998) used the fundamental Partial Differential Equation (PDE) for bond pricing to derive a linear discount function, which is consistent with no-arbitrage. He showed that this is the unique linear solution to the PDE. This solution, the exponential-polynomial model or EP model for short, has n unobserved state factors that drive a stochastic discount process for pricing bonds so as to rule out arbitrage opportunities. In this thesis, we conduct an extensive cross-sectional analysis of the EP model on two different data sets: prices for daily Treasury bills, notes and bonds from the New York Federal Reserve Bank quotation sheets from July 1989 to October 1996, and daily Canadian bills, notes and bonds prices for the time period from June 1992 to May 1995. We estimate the model by applying a minimization criterion. The cross-sectional analysis shows that the EP model is able to describe adequately the term structure of interest rates. For the US data, we find that every term structure from the sampling period can be fully represented by either nine or ten state factors. Eigenvalue analysis indicates that the first three principal components are underlying the term structure movements. We conduct a time series analysis on the three principal components. They are found to be best described by ARMA/GARCH processes. We form two types of GARCH forecasts of the three principal components and test their out-of-sample performance. We conclude that the three principal components are predictable in a statis
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Liu, Kit-ying Ida, and 廖潔瑩. "Empirical exchange rate models: out-of-sampleforecasts for the HK$/Yen exchange rate." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1997. http://hub.hku.hk/bib/B3195456X.
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Anwar, Muslimin. "Modelling exchange rates and monetary policy in emerging Asian economies : non-linear econometric approach." Thesis, Brunel University, 2007. http://bura.brunel.ac.uk/handle/2438/4865.
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In this thesis we examine exchange rates and monetary policy of four emerging Asian countries, namely Indonesia, Malaysia, the Philippines and South Korea. We model equilibrium exchange rates using a general behavioural specification consistent with a variety of theoretical approaches; and short-run dynamics using a general non-linear adjustment model. We find in all countries examined, equilibrium nominal and real exchange rates are a function of permanent relative output and one or more variables from domestic and foreign price levels, nominal and real interest rate differentials, the level of and changes in net foreign assets, and a time trend. These results imply that individual countries present significant elements of idiosyncratic behaviour, casting doubt on empirical models using panel-data techniques. We also obtain evidence of non-linear exchange rate dynamics, with the speed of adjustment to equilibrium being in all cases a function of the size, and in two cases, the sign of the misalignment term. With respect to monetary policy, we examined these countries' monetary policy reaction function based on an open economy augmented Taylor rule including the exchange rate and the foreign interest rate. Using a formal testing approach, our tests reject linearity, suggesting that monetary authorities in these four emerging economies are subject to nonlinear inflation effects and that they respond more vigorously to inflation when it is further from the target. Our results also lead us to speculate that policymakers in three countries may have been attempting to keep inflation within the range, while those in the other country may have been pursuing a point inflation target. Finally, we also find monetary policy is asymmetric as policy makers respond differently to upward and downward deviations of inflation away from the target.
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Welander, Jesper. "Forecasting foreign exchange rates with large regularised factor models." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-193004.
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Vector autoregressive (VAR) models for time series analysis of high-dimensional data tend to suffer from overparametrisation as the number of parameters in a VAR model grows quadratically with the number of included predictors. In these cases, lower-dimensional structural assumptions are commonly imposed through factor models or regularisation. Factor models reduce the model dimension by projecting the observations onto a common lower-dimensional subspace, decomposing the variables into common and idiosyncratic terms, and might be preferred when predictors are highly collinear. Regularisation reduces overfitting by penalising certain features of the model estimates and might be preferred when, for example, only a few predictors are assumed important. We propose a regularised factor model where factors are constructed by projection onto a common subspace and where the transition matrices in a time series model with the resulting factors are estimated with regularisation. By the subspace estimation we hope to uncover underlying latent factors that explain the predictor dynamics and the additional penalisation is used to encourage additional sparsity and to impose a priori structural knowledge into the estimate. We investigate unsupervised and supervised subspace extraction and extend earlier results on dynamic subspace extraction. Additionally, we investigate element-wise regularisation by the ridge and lasso penalties and two extensions of the lasso penalty that encourage structural sparsity. The performance of the model is tested by forecasting log returns of exchange rates.Vektor autoregressiva (VAR) modeller för tidsserieanalys av högdimensionell data tenderar att drabbas av överparametrisering eftersom antalet parametrar i modellerna växer kvadratiskt med antalet inkluderade prediktorer. I dessa fall används ofta lägredimensionella strukturella antaganden genom faktormodeller eller regularisering. Faktormodeller reducerar modellens dimension genom att projicera observationerna på ett lägredimensionellt underrum av gemensamma faktorer och kan föredras om prediktorerna är kollineära. Regularisering minskar överanpassning genom att bestraffa vissa egenskaper hos modellens estimerade parametrar och kan föredras när exempelvis endast ett mindre antal prediktorer antas betydande. Vi föreslår en regulariserad faktormodell där prediktorerna projiceras på ett gemensamt underrum för att skapa faktorer och där övergångsmatriserna i en tidsseriemodell med de resulterande faktorerna estimeras med en bestraffande term. Den lägredimensionella projiceringen används för att hitta latenta faktorer som beskriver dynamiken i prediktorerna och den ytterligare regulariseringen används för att premiera gleshet och a priori kunskap om modellens struktur. Både övervakade och oövervakade metoder undersöks för att estimera det gemensamma underrummet och vi generaliserar tidigare resultat om dynamisk estimering av underrum. Dessutom undersöks elementvis regularisering genom bestraffningstermerna ridge och lasso samt två varianter av lasso som premierar strukturell gleshet. Modellens prestanda testas genom att prediktera logaritmerade valutakursförändringar.
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Yildirim, Dilem. "Star Models: An Application To Turkish Inflation And Exchange Rates." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12605735/index.pdf.
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The recent empirical literature has shown that the dynamic generating mechanism of macroeconomic variables can be asymmetric. Inspiring from these empirical results, this thesis uses a class of nonlinear models called smooth transition autoregressive models to investigate possible asymmetric dynamics in inflation and nominal exchange rate series of Turkey. Estimation results imply that variables under consideration contain strong nonlinearities and these can be modeled by STAR models.
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Amer, Islam S. S. "Foreign Exchange Rate Transaction Exposure in Emerging Insurance Markets: A Model of the Egyptian Insurance Market." Thesis, University of Bradford, 2013. http://hdl.handle.net/10454/7333.
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Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets.
An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant?
Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.
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Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Costantini, Mauro, Cuaresma Jesus Crespo, and Jaroslava Hlouskova. "Can Macroeconomists Get Rich Forecasting Exchange Rates?" WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4181/1/wp176.pdf.
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We provide a systematic comparison of the out-of-sample forecasts based on multivariate macroeconomic models and forecast combinations for the euro against the US dollar, the British pound, the Swiss franc and the Japanese yen. We use profit maximization measures based on directional accuracy and trading strategies in addition to standard loss minimization measures. When comparing predictive
accuracy and profit measures, data snooping bias free tests are used. The results indicate that forecast combinations help to improve over benchmark trading strategies for the exchange rate against the US dollar and the British pound, although the excess return per unit of deviation is limited. For the euro against the Swiss franc or the Japanese yen, no evidence of generalized improvement in profit measures over the benchmark is found. (authors' abstract)Series: Department of Economics Working Paper Series
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Amer, Islam Samy Soliman. "Foreign exchange rate transaction exposure in emerging insurance markets : a model of the Egyptian insurance market." Thesis, University of Bradford, 2013. http://hdl.handle.net/10454/7333.
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Emerging insurance markets, have limited access to financial instruments that they can use to create common hedge(s) to manage foreign exchange risk. This is the first empirical study to focus on the limitations when modelling foreign exchange rate transaction exposure in emerging insurance markets. This work is based on the cash flow methodology proposed by Martin and Mauer (2003, 2005) in reference to banks, and employed by Li et al. (2009) when assessing US insurance companies. Some econometric methodological innovations have been introduced to study the limitations of modelling foreign exchange rate transaction exposure in emerging insurance markets. An extensive literature review is followed by a quantitative investigation, to answer the following research questions. 1) Is the foreign exchange transaction exposure, as measured by a fundamental (economic) method of modelling the interplay of foreign exchange rates with other economic variables, significant, for all Egyptian insurance companies? 2) Is the foreign exchange transaction exposure, as measured by a technical (statistical) way of modelling the interplay of foreign exchange rates with other economic variables, significant for all Egyptian insurance companies? 3) Is the exchange transaction exposure for the Egyptian insurance industry, as a whole, significant? Although the foreign exchange rate transaction exposure for the Egyptian insurance industry, as a whole, is insignificant (question3), the percentage of Egyptian insurers affected by foreign exchange rate transaction exposure in US dollars, estimated at the individual firm level, was found to be 22% (question 1) and 35% (question2) respectively.
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Liu, Te-Ru. "An analysis of multivariate time series models of U.S. exchange rates /." The Ohio State University, 1991. http://rave.ohiolink.edu/etdc/view?acc_num=osu1487694702784766.
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Assaf, Ata A. "Fractional integration, stable distributions and long-memory models of foreign exchange rates." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0022/NQ50104.pdf.
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Garg, Ankita. "Forecasting exchage rates using machine learning models with time-varying volatility." Thesis, Linköpings universitet, Statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-79053.
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This thesis is focused on investigating the predictability of exchange rate returns on monthly and daily frequency using models that have been mostly developed in the machine learning field. The forecasting performance of these models will be compared to the Random Walk, which is the benchmark model for financial returns, and the popular autoregressive process. The machine learning models that will be used are Regression trees, Random Forests, Support Vector Regression (SVR), Least Absolute Shrinkage and Selection Operator (LASSO) and Bayesian Additive Regression trees (BART). A characterizing feature of financial returns data is the presence of volatility clustering, i.e. the tendency of persistent periods of low or high variance in the time series. This is in disagreement with the machine learning models which implicitly assume a constant variance. We therefore extend these models with the most widely used model for volatility clustering, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) process. This allows us to jointly estimate the time varying variance and the parameters of the machine learning using an iterative procedure. These GARCH-extended machine learning models are then applied to make one-step-ahead prediction by recursive estimation that the parameters estimated by this model are also updated with the new information. In order to predict returns, information related to the economic variables and the lagged variable will be used. This study is repeated on three different exchange rate returns: EUR/SEK, EUR/USD and USD/SEK in order to obtain robust results. Our result shows that machine learning models are capable of forecasting exchange returns both on daily and monthly frequency. The results were mixed, however. Overall, it was GARCH-extended SVR that shows great potential for improving the predictive performance of the forecasting of exchange rate returns.
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Jobe, Ndey Isatou. "Nonlinearity In Exchange Rates : Evidence From African Economies." Thesis, Uppsala universitet, Statistiska institutionen, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297055.
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In an effort to assess the predictive ability of exchange rate models when data on African countries is sampled, this paper studies nonlinear modelling and prediction of the nominal exchange rate series of the United States dollar to currencies of thirty-eight African states using the smooth transition autoregressive (STAR) model. A three step analysis is undertaken. One, it investigates nonlinearity in all nominal exchange rate series examined using a chain of credible statistical in-sample tests. Significantly, evidence of nonlinear exponential STAR (ESTAR) dynamics is detected across all series. Two, linear models are provided another chance to make it right by shuffling to data on African countries to investigate their predictive power against the tough random walk without drift model. Linear models again failed significantly. Lastly, the predictive ability of nonlinear models against both the random walk without drift and the corresponding linear models is investigated. Nonlinear models display useful forecasting gains over all contending models.
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Tan, Eu Chye. "Money demand, bank credit and real exchange rates in a small open developing economy : an econometric analysis for Malaysia." Thesis, University of Warwick, 1995. http://wrap.warwick.ac.uk/36148/.
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This is essentially a three-part thesis on money demand, bank credit and real exchange rates in Malaysia. Long and short run real money demand functions with money variously defined as MO, M1 and M2 have been estimated using the Johansen cointegration technique and the error correction approach respectively. While liberalisation and innovation in the Malaysian financial system have not ruled out the existence of stable long run money demand relationships as attested to by the presence of cointegrating vectors, they have rendered short run relationships unstable. This called for a reestimation of short run dynamics over more recent periods and all the revised estimates could withstand a battery of diagnostic tests akin to original full sample estimates. The estimated short run functions appear to track the direction of actual changes in the demand for money reasonably well. The second part of the thesis is basically concerned with the possible practice of equilibrium credit rationing (a la Stiglitz & Weiss, 1981 & 1983) amongst commercial banks in Malaysia and the significance of commercial bank credit vis-a-vis other monetary variables in the determination of economic activity in Malaysia. Two of the major implications of equilibrium credit rationing are the irresponsiveness of lending rates to changes in the factors determining loan demand and supply and the presence of a 'ceiling' on the lending rate. Via an application of cointegration and error correction techniques, the lending rate is found to be insensitive to determinants of loan demand while only nominally sensitive to loan supply determinants. This is corroborated by an evidence derived from an application of Sims' VAR technique that shows a lack of responsiveness of the lending rate to changes in the inter bank rate used as a proxy for the cost of financial market funds. With regard to the ceiling on the lending rate arising from equilibrium credit rationing, its effect on the volume of deposits and hence loanable funds mobilised by banks and the interest rate payable on them may depend on the interest elasticity of their flows. Two separate cases can be considered namely the case of zero elasticity and the case of non zero elasticity. In the former case, if it is against the banks' interests to impose a high lending rate owing to possible adverse selection effects, banks may suppress the deposit rate instead. In the latter case however, the higher is the interest elasticity of deposits, the greater will be the amount of loanable funds derived and the interest rate paid on them. In our empirical analysis involving the application of cointegration and error correction techniques, commercial bank deposits in Malaysia are found to have a zero elasticity in the short run. Hence the extent of excess demand arising from an any practice of equilibrium credit rationing may be relatively limited. By applying the Sims' VAR technique, commercial bank credit has been found to exert a greater influence than MI, M2 and the lending rate on the Malaysian GDP. The final part of the thesis pertains to exchange rates. In an adaptation of Dornbusch's (1976) model, it appears that any policy measure aimed at alleviating the asymmetric information problem in the domestic banking system could lead to a depreciation in the long run equilibrium exchange rate and a rise in the long run equilibrium price level. The impact effects are a weaker domestic currency and a higher output level. However the magnitude of the long run and impact effects would vary directly with the interest elasticity of money demand. The cointegration and error correction techniques have also been relied upon for estimating the long run equilibrium real effective and bilateral exchange rates of Malaysia and the short run dynamics of these rates a la Edwards (1988a, 1988b & 1989). The estimates suggest that there has been no sustained overvaluation or undervaluation of the Malaysian real exchange rates. By implication then, the question of a real exchange rate misalignment does not arise and that Malaysia's success in economic development so far has not been due to any deliberate undervaluation policy. Moreover the analysis of causal relationships amongst real exchange rate movements on one hand and exports and GDP on the other has highlighted no significant relationships existing between them. Finally, the results from modelling the short run dynamics of real effective exchange rates indicate that excess domestic credit could induce their depreciation instead of an appreciation, contrary to popular belief.
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McDonald, Mark F. J. "An investigation into the dynamics of correlation networks in the foreign exchange market." Thesis, University of Oxford, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.670178.
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Al-Zoubi, Haitham. "New Evidence on Interest Rate and Foreign Exchange Rate Modeling." ScholarWorks@UNO, 2003. http://scholarworks.uno.edu/td/467.
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This dissertation empirically and theoretically investigates three interrelated issues of market anomalies in interest rates derivatives and foreign exchange rates. The first essay models the spot exchange rate as a decomposition of permanent and transitory components. Unlike extant analysis, the transitory component could be stationary or explosive. The second essay examines the market efficiency hypothesis in the foreign exchange markets and relates the rejection of forward rate unbiasedness hypothesis to the existence of risk premium not to the failure of rational expectation. The third essay examines the behavior of short-term riskless rate and models the risk free rate as a nonlinear trend stationary process. While addressing these issues, these essays account for: (1) finite sample bias; (2) Unit root and other nonstationary behaviors; (3) the role of nonlinear trend; and (4) the interrelations between different behaviors. Several new results have been gleaned from our analysis; we find that: (1) the spot exchange rates display a very slow mean aversion behavior, which implies the failure of the purchasing power parity; (2) there are positive autocorrelations across the long horizons overlapping returns increases overtime and then begin to decline at a very long horizon period; (3) the short-term riskless rate displays a nonlinear trend stationary process which is closer to driftless random walk behavior; (4) modifying the mean reverting shortterm interest rates models to a nonlinear trend stationary shows an extreme improvement and outperforms all suggested models; (5) the traditional tests for rational expectations and market efficiency in the foreign exchange markets are subject to size distortions; (6) we relate the rejection of market efficiency in the foreign exchange markets documented across most currencies to the existence of risk premium not to the rejection of rational expectation hypothesis.
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Verges, Yuri. "Desalinhamento cambial: testando para a presença de não linearidade no mecanismo de ajustamento cambial." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11129.
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This work aims to estimate and compare VECM models with the TVECM models, in the modeling and study of exchange rate misalignment and how the adjustment of the real exchange rates proceed under a nonlinear modeling scope. Error correction models with distinct characteristics will be addressed as a strategy to study the error correction mechanism. As a linear method, this work will use the cointegration techniques proposed by Johansen (1988), the traditional approach. And as the nonlinear method the approach used was initially proposed by Balke and Fomby (1997), who consider a mechanism for error correction to incorporate features TAR and SETAR. To analyze the presence of nonlinearity in the error correction between time series, were performed in this work the proposed tests by Kapetanios, Shin and Snell, (2003), Hansen and Seo (2002) and Seo (2006)
Esta dissertação tem como objetivo a estimação e comparação entre modelos VECM com a abordagem de modelos TVECM, na modelagem e estudo do desalinhamento cambial e como o ajuste do câmbio real para que procede. Como estratégia a ser abordada serão considerados modelos de correção de erros com características distintas. Utilizaremos como abordagem linear a técnica de cointegração proposta por Johansen (1988), a abordagem tradicional. Como técnica não linear utilizaremos a abordagem inicialmente proposta por BALKE, FOMBY(1997), que consideram um mecanismo de correção de erros de forma a incorporar características TAR e SETAR. Para a análise da presença ou não de não linearidade na correção de erros entre as séries, foram realizados neste trabalho os testes de Kapetanios, Shin e Snell (2003), Hansen e Seo(2002) e Seo (2006)
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Kim, Jaebeom. "A study of real exchange rates of traded goods using structural error correction models." Connect to resource, 2000. http://rave.ohiolink.edu/etdc/view.cgi?acc%5Fnum=osu1267619801.
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Dzulkafli, Zamros. "The impact of oil prices on interest rates, exchange rates and prices : a comparison between discrete and continuous time models." Thesis, University of Essex, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.442509.
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Hartman, Joel, and Jan Sedlak. "Forecasting Conditional Correlation for Exchange Rates using Multivariate GARCH models with Historical Value-at-Risk application." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-202710.
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The generalization from the univariate volatility model into a multivariate approach opens up a variety of modeling possibilities. This study aims to examine the performance of the two multivariate GARCH models BEKK and DCC, applied on ten years exchange rates data. Estimations and forecasts of the covariance matrix are made for the EUR/SEK and USD/SEK, whereby the used in a practical application: 1-day and 10-day ahead historical simulated Value-at-Risk predictions for two theoretical portfolios, one equally weighted and one hedged, consisting of the two exchange rates. An univariate GARCH(1,1) approach is included in the Vale-at-Risk predictions to visualize the diversification effect in the portfolio. The conditional correlation forecasts are evaluated using three measures, OLS-regression, MAE and RMSE, based on an one year evaluation period of intraday data. The Value-at-Risk estimates are evaluated with the backtesting method introduced by Kupiec (1995). The results indicate that the BEKK model performs relatively better than the DCC model, and both these models perform better than the univariate GARCH(1,1) model.
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Bos, Charles Steven. "Time varying parameter models for inflation and exchange rates = Tijdsvariërende parameter modellen voor inflatie en wisselkoersen /." Rotterdam, 2001. http://aleph.unisg.ch/hsgscan/hm00065297.pdf.
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Zeileis, Achim, Ajay Shah, and Ila Patnaik. "Testing, monitoring, and dating structural changes in maximum likelihood models." Department of Statistics and Mathematics, WU Vienna University of Economics and Business, 2008. http://epub.wu.ac.at/1224/1/document.pdf.
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A unified toolbox for testing, monitoring, and dating structural changes is provided for likelihood-based regression models. In particular, least-squares methods for dating breakpoints are extended to maximum likelihood estimation. The usefulness of all techniques is illustrated by assessing the stability of de facto exchange rate regimes. The toolbox is used for investigating the Chinese exchange rate regime after China gave up on a fixed exchange rate to the US dollar in 2005 and tracking the evolution of the Indian exchange rate regime since 1993.Series: Research Report Series / Department of Statistics and Mathematics
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Hakim, Abdul. "Modelling the interactions across international stock, bond and foreign exchange markets." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0202.
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[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.
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Barbosa, Fernando Honorato. "Uma análise das elasticidades de bens e serviços não fatores, sua estabilidade e o ajuste externo brasileiro pós-99." Universidade de São Paulo, 2006. http://www.teses.usp.br/teses/disponiveis/12/12140/tde-03122006-120212/.
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Os recentes superávits comerciais da economia brasileira transformaram a percepção de elevada fragilidade das contas externas do país que se verificou nas duas últimas décadas e meia. Diante desta nova realidade, parece pertinente avaliarmos quais foram os determinantes deste saldo comercial a partir dos elementos tradicionais da literatura, como a taxa de câmbio, os preços externos e a renda doméstica e mundial. Com este propósito, foram estimadas equações de longo prazo para as exportações e importações brasileiras para que se pudesse avaliar as elasticidades do comércio de bens e serviços não fatores do país. A metodologia utilizada foi a de cointegração proposta por Johansen (1988) e Johansen e Juselius (1990). A estimação das elasticidades se dividiu em dois períodos: 1980-1998 e 1980-2005. Com tal divisão pretendemos capturar os efeitos da mudança do regime cambial de 1999 sobre as contas externas. Além disso, foram realizados uma série de testes recursivos para se checar a estabilidade, quebras e a robustez da cointegração destas variáveis. Os resultados obtidos foram satisfatórios para as elasticidades, condizentes com trabalhos anteriores, mas agregaram a informação da elasticidade para o conjunto de bens e serviços não fatores e não apenas de bens. Além disso, foram identificadas uma série de quebras no período de estimação, em geral associadas a períodos críticos de mudanças de política econômica. Finalmente, foi possível identificar que após a flutuação cambial houve um aumento da elasticidade renda externa das exportações e uma redução da elasticidade-câmbio de exportações e importações. O trabalho conclui sugerindo que os elevados saldos comerciais são resultantes de uma particular combinação de preços externos favoráveis, câmbio real depreciado e renda mundial elevada, além de alguma mudança estrutural associada à maior resposta das exportações à renda mundial, provavelmente por conta do resgate das vantagens comparativas brasileiras na esteira da mudança do regime cambial em 1999.The recent Brazilian trade surpluses changed the perception about the fragility of the external accounts of the Brazilian economy that lasted for the last two and a half decades. In the face of this new reality it seem reasonable to evaluate which were the determinants of this trade surplus, taking into account the traditional variables of the external accounts literature, like the currency, the external prices, the domestic and foreign output. With this purpose we estimated long run equations for exports and imports for evaluating the external trade of goods and services elasticities. The methodology applied was that proposed by Johansen (1988) and Johansen and Juselius (1990) that take for the account of cointegration methods. The estimation was divided into two periods: 1980-1998 and 1980-2005. With such a division, we intend to capture the effects of the change in the Brazilian foreign exchange regime introduced in 1999 over the external accounts. Further, we tested these models recursively to check for stability, breaks and cointegration power. The results were satisfactory in terms of the elasticities, in line with previous jobs on this field, but we add the information on the aggregated goods and services elasticities, usually estimated only for the goods markets. Further we identified many brakes over the estimation sample, generally associated with macroeconomic policy changes. Finally it was possible to identify that after the floating of the Brazilian currency the external income elasticity of the exports jumped to a higher level and the currency elasticities of both exports and imports showed some reduction. We conclude by saying that the huge trade surpluses recently observed are the result of a particular combination of external favorable prices, a depreciated real exchange and a high level of world income growth, as far as some structural change associated with the bigger responsiveness of the exports to the world growth, probably due to the resurge in the Brazilian external comparative advantages in the face of the currency flotation of 1999.
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Koske, Isabell. "Equilibrium exchange rate models, the euro and the 2004 expansion of the EU /." Frankfurt am Main [u.a.] : Lang, 2007. http://www.loc.gov/catdir/toc/fy0802/2007465686.html.
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Gendre, Victor Hugues. "Predicting short term exchange rates with Bayesian autoregressive state space models: an investigation of the Metropolis Hastings algorithm forecasting efficiency." The Ohio State University, 2015. http://rave.ohiolink.edu/etdc/view?acc_num=osu1437399395.
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Lopes, João Carlos de Jesus. "Recursos naturais, preços internacionais e inflação em Angola." Master's thesis, FEUC, 2015. http://hdl.handle.net/10316/29123.
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Dissertação de mestrado em Economia (Economia Financeira), apresentado à Faculdade de Economia da Universidade de Coimbra, sob a orientação de João Alberto Sousa Andrade.O presente trabalho tem como objetivo demonstrar a propensão inflacionista da economia angolana, enquanto economia aberta e dependente das exportações de petróleo, face a choques no preço internacional desta matéria prima. Mais do que apresentar respostas definitivas, colocaremos questões que merecem reflexão. O que estará a fazer cair sobre Angola a “fatalidade dos recursos naturais” sendo este país extremamente rico nestes recursos? Estará Angola a sofrer do fenómeno da Doença Holandesa, embora seja mais comum em países com algum desenvolvimento? Será possível obter ganhos de arbitragem de curto prazo, em períodos de instabilidade cambial e em setores de atividade que envolvam a utilização de divisas internacionais? Como podem os agentes económicos angolanos protegerse das flutuações cambiais da moeda nacional em período de instabilidade, face à fraca disponibilização de instrumentos financeiros pelo mercado? Poderá Angola criar mecanismos de estabilização para reduzir a dependência dos preços internacionais do petróleo?
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Corker, Lloyd A. "A test for Non-Gaussian distributions on the Johannesburg stock exchange and its implications on forecasting models based on historical growth rates." University of Western Cape, 2002. http://hdl.handle.net/11394/7447.
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Masters of CommerceIf share price fluctuations follow a simple random walk then it implies that forecasting models based on historical growth rates have little ability to forecast acceptable share price movements over a certain period. The simple random walk description of share price dynamics is obtained when a large number of investors have equal probability to buy or sell based on their own opinion. This simple random walk description of the stock market is in essence the Efficient Market Hypothesis, EMT. EMT is the central concept around which financial modelling is based which includes the Black-Scholes model and other important theoretical underpinnings of capital market theory like mean-variance portfolio selection, arbitrage pricing theory (APT), security market line and capital asset pricing model (CAPM). These theories, which postulates that risk can be reduced to zero sets the foundation for option pricing and is a key component in financial software packages used for pricing and forecasting in the financial industry. The model used by Black and Scholes and other models mentioned above are Gaussian, i.e. they exhibit a random nature. This Gaussian property and the existence of expected returns and continuous time paths (also Gaussian properties) allow the use of stochastic calculus to solve complex Black- Scholes models. However, if the markets are not Gaussian then the idea that risk can be. (educed to zero can lead to a misleading and potentially disastrous sense of security on the financial markets. This study project test the null hypothesis - share prices on the JSE follow a random walk - by means of graphical techniques such as symmetry plots and Quantile-Quantile plots to analyse the test distributions. In both graphical techniques evidence for the rejection of normality was found. Evidenceleading to the rejection of the hypothesis was also found through nonparametric or distribution free methods at a 1% level of significance for Anderson-Darling and Runs test.
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Tsu, Maria E. "Dynamic analysis of an open economy and foreign exchange risk management using path-dependent options." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-06112009-063829/.
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Slinko, Irina. "Essays in option pricing and interest rate models." Doctoral thesis, Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögskolan i Stockholm] (EFI), 2006. http://www2.hhs.se/EFI/summary/706.htm.
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"Exchange rate regime and monetary independence of four newly industrialized economies in East Asia." 2007. http://library.cuhk.edu.hk/record=b5893305.
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Lam, Lai Fong.Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.
Includes bibliographical references (p. 47-50).
Abstracts in English and Chinese.
ABSTRACT --- p.ii
ACKNOWLEDGEMENTS --- p.iv
LIST OF TABLES --- p.vi
LIST OF FIGURES --- p.vi
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- LITERATURE REVIEW --- p.6
Chapter III --- THE EXCHANGE RATE REGIMES OF THE FOUR NIES --- p.10
Review of the Exchange Rate Regimes of the Four NIEs
Frankel-Wei Regression
Chapter IV --- METHODOLOGY --- p.19
Measurement of the Monetary Independence
Specification of Model
Chapter V --- EMPIRICAL RESULTS --- p.2?
Unit Root Test
The Endogeneity Test
Cointegration Test and Error Correction Model
Chapter VI --- CONCLUSIONS --- p.37
APPENDICES --- p.41
BIBLIOGRAPHY --- p.47
TABLES --- p.51
FIGURES --- p.59
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"Models for major exchange rates: estimation and forecasting." 1999. http://library.cuhk.edu.hk/record=b5889900.
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by Hou Ka Chun.Thesis (M.Phil.)--Chinese University of Hong Kong, 1999.
Includes bibliographical references (leaves 89-95).
Abstracts in English and Chinese.
LIST OF TABLES --- p.vii
LIST OF ILLUSTRATIONS --- p.viii
CHAPTER
Chapter I --- INTRODUCTION --- p.1
Chapter II --- REVIEW OF THE LITERATURE --- p.6
Monetary Models
Nominal Exchange Rate Prediction
Nonparametric Estimation Techniques
Chapter III --- METHODOLOGY --- p.17
Unit-Root Tests
Zivot-Andrews Test
Error Correction Model
Autoregressive Distributed Lag (ARDL) Approach to Cointegration
Local Polynomial Fitting
Chapter IV --- DATA --- p.36
Chapter V --- PARAMETRIC MODELING --- p.39
Estimation Procedure
Empirical Findings
Japan
Germany
Britain
Chapter VI --- NONPARAMETRIC MODELING --- p.50
Estimation Procedure
Empirical Findings
Chapter VII --- CONCLUSION --- p.54
TABLES --- p.56
ILLUSTRATIONS --- p.77
BIBLIOGRAPHY --- p.89
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"Exchange rate pass-through: evidence from Hong Kong imports." 1997. http://library.cuhk.edu.hk/record=b5889223.
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by Ng Yiu Hong.Thesis (M.Phil.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (leaves 77-80).
Chapter ONE --- INTRODUCTION --- p.1
Chapter TWO --- HONG KONG'S IMPORT PERFORMANCE --- p.5
Chapter THREE --- REVIEW OF THE LITERATURE --- p.9
The Elasticity Approach
Market Structure and Product Characteristics
Long-Run Profit Maximization
Hysteresis Models
Multinational Corporations and Intra-Firm Trade
Non-Tariff Barriers
Other Explanations
Chapter FOUR --- THE ANALYTICAL FRAMEWORK --- p.19
Chapter FIVE --- DATA AND ECONOMETRIC ANALYSIS --- p.22
Data
Econometric Analysis
Chapter SIX --- EMPIRICAL RESULTS --- p.33
Chapter SEVEN --- CONCLUSION --- p.40
TABLES --- p.43
APPENDIX --- p.64
BIBLIOGRAPHY --- p.77