Dissertations / Theses: 'Foreign exchange Econometric models'

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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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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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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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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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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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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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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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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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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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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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12

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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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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Chimhini, Joseline. "International portfolio diversification with special reference to emerging markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2001. https://ro.ecu.edu.au/theses/1076.

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This study evaluates the potential benefits that investors obtain from diversifying their portfolios into emerging markets when the time varying behavior of assets is considered. It also tests whether the existing asset-pricing model developed in the context of developed markets, which assumes complete integration, can explain the expected returns in emerging markets and determines the risk of investing in these markets using cross section and time series data. An international capital asset pricing model (ICAPM) with time varying moments developed by Harvey (1991) is adopted. The conditional asset-pricing model, which takes into account prevailing world economic factors, was used. The Generalized Methods of Moments (GMM) is used to test the model. Results indicate that some markets have become more integrated to the world markets than they were in the 1980s and other which failed to open their economies fully have become more segmented. The thesis looks at regional markets of Latin America, Africa Sub-Sahara, Middle East and North Africa, East Europe and Asia. A number of authors have looked at the emerging markets of Asia and Latin America but little is known about the African, Middle East and East Europe markets. The innovation of this research is it looked at the behavior of assets in all regional global markets and sees if they behave differently.

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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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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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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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Fritz, Markus Per. "Stochastic correlation models in foreign exchange markets." Thesis, Imperial College London, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.434776.

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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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23

Benson, Robert D. "Market models and exposure management in foreign exchange." Thesis, Imperial College London, 1991. http://hdl.handle.net/10044/1/8659.

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Lampietti, Dario Giovanni. "Foreign exchange markets linear vs. non-linear models /." [Zürich] : [Citibank], 1993. http://www.ub.unibe.ch/content/bibliotheken_sammlungen/sondersammlungen/dissen_bestellformular/index_ger.html.

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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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Nieuwland, Frederik Gertruda Maria Carolus. "Speculative markets dynamics an econometric analysis of stock market and foreign exchange market dynamics /." Proefschrift, Maastricht : Maastricht : Universitaire Pers Maastricht ; University Library, Maastricht University [Host], 1993. http://arno.unimaas.nl/show.cgi?fid=6219.

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Idvall, Patrik, and Conny Jonsson. "Algorithmic Trading : Hidden Markov Models on Foreign Exchange Data." Thesis, Linköping University, Department of Mathematics, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-10719.

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In this master's thesis, hidden Markov models (HMM) are evaluated as a tool for forecasting movements in a currency cross. With an ever increasing electronic market, making way for more automated trading, or so called algorithmic trading, there is constantly a need for new trading strategies trying to find alpha, the excess return, in the market.

HMMs are based on the well-known theories of Markov chains, but where the states are assumed hidden, governing some observable output. HMMs have mainly been used for speech recognition and communication systems, but have lately also been utilized on financial time series with encouraging results. Both discrete and continuous versions of the model will be tested, as well as single- and multivariate input data.

In addition to the basic framework, two extensions are implemented in the belief that they will further improve the prediction capabilities of the HMM. The first is a Gaussian mixture model (GMM), where one for each state assign a set of single Gaussians that are weighted together to replicate the density function of the stochastic process. This opens up for modeling non-normal distributions, which is often assumed for foreign exchange data. The second is an exponentially weighted expectation maximization (EWEM) algorithm, which takes time attenuation in consideration when re-estimating the parameters of the model. This allows for keeping old trends in mind while more recent patterns at the same time are given more attention.

Empirical results shows that the HMM using continuous emission probabilities can, for some model settings, generate acceptable returns with Sharpe ratios well over one, whilst the discrete in general performs poorly. The GMM therefore seems to be an highly needed complement to the HMM for functionality. The EWEM however does not improve results as one might have expected. Our general impression is that the predictor using HMMs that we have developed and tested is too unstable to be taken in as a trading tool on foreign exchange data, with too many factors influencing the results. More research and development is called for.

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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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Kani, Felix C. "Shocks, macroeconomic policy and economic growth performance in Zambia, 1964-90 : an econometric analysis." Thesis, University of Sussex, 1994. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.318503.

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Public opinion tends to look at Zambia as some mythical land of promise, predestined to enjoy for years to come the same sort of economic bliss as during the copper price boom of 1964 -75. But there can be little doubt that one of the most striking facts of Zambia's economic history since 1964 has been poor macroeconomic performance. Since the mid 1970's Zambia's economy has experienced negative economic growth, high unemployment, rapid inflation and a weak balance of payments. This problem is crucial in the context of two-gap models. This thesis discusses the main facts about this worrying development and advances a line of argument which may well account for most of the observed facts. Prior to the Third Republic Zambian politicians tended to blame external forces for the current problems. My main contention is that that is wrong Economic difficulties arose from a combination of policy failures: growth of 'nonmarketable output', the government's politically induced tendency for crisis management, coupled with its well known propensity to delay taking corrective action, against a background of difficult initial conditions. However, since this is a thesis, both the scope and the method of investigation are limited by the time allowed for the study. What we do is to use historical data and use econometric analysis to shape my arguments, and to make them plausible. Inadequate domestic savings reflected in investment slumps, coupled with foreign exchange shortages, are shown to be the ultimate constraint on economic growth performance. The new government's liberal attitude and the fact that there is export potential in the economy offers some hope for success but the thesis draws attention to the structural rigidities which will remain a major constraint to export diversification in the short to medium term. In the long run, non-traditional exports would have to grow by some 30 percent annually if they were to become the new engine of growth. We stress that success will depend crucially on the government's macroeconomic policies being both conducive to the promotion of investment spending and supportive to the objective of restoring viability in the balance of payments.

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Liu, Siyang, and 劉巳洋. "Essays on spillover effects from foreign direct investment in China and internal promotions in the government of Qing China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2007. http://hub.hku.hk/bib/B39321368.

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31

Price, Diana N. "Theoretical and empirical issues in the choice of exchange rate policy." Thesis, University of British Columbia, 1990. http://hdl.handle.net/2429/30633.

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Part I of this thesis is concerned with providing an explanation for the absence of an international monetary agreement since the breakdown of the Bretton Woods system. The analysis centers around the proposition that the potential gains are not sufficiently large to induce countries to engage in cooperative exchange rate management. The analysis is undertaken in the context of a two country model in which the monetary authorities of each country intervene in the foreign exchange market with the objective of stabilizing domestic consumption and prices. Non-cooperative behaviour is characterized in terms of the equilibrium intervention strategies associated with Cournot and Stackelberg games, as well as a game in which each player correctly anticipates the responses of his opponent; the principal form of cooperative behaviour considered is the agreement to participate in joint loss minimization. The results of the numerical simulations, used to compare the losses associated with cooperative and non-cooperative intervention strategies, support the proposition that countries behave non-cooperatively because the gains from policy coordination are too small to extract a cooperative effort. The primary objective of Part II is to formulate a quantitative measure of exchange market intervention that- can be used to classify exchange rate practices and to conduct empirical studies of exchange rate policy. The measure that is proposed in this study is an index of exchange market intervention which characterizes exchange rate policy as the proportion of exchange market pressure that is alleviated by an endogenous change in the domestic money supply. Exchange market pressure is measured using a model-consistent generalization of the Girton and Roper (1977) formulation. In order to provide a basis of comparison for future empirical work, the proposed measures of exchange market pressure and exchange market intervention are calculated quarterly for Canada, Germany, Japan, United Kingdom, and the United States over the period 1973(I) - 1984(IV). Estimates are obtained for each country on the basis of a multiple-partner small open economy model as well as a model in which interdependence among trading partners is explicitly incorporated.
Arts, Faculty of
Vancouver School of Economics
Graduate

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32

Spitz, David Evan. "Optimization models for foreign exchange rate hedging using currency options." Thesis, Massachusetts Institute of Technology, 1989. http://hdl.handle.net/1721.1/33479.

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33

Walter, Jason Michael. "Determinants of Bilateral Trade between the United States and Japan." Thesis, North Dakota State University, 2010. https://hdl.handle.net/10365/29311.

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The objective of this study is to evaluate the effects of macroeconomic policy variables on bilateral trade between the United States and Japan. An auto-regressive distributed lag model is developed to estimate the effects of government economic policies on four commodity groups: agriculture; materials and chemicals; machinery and transport equipment; and manufactured goods. Results indicate that monetary policy significantly affects U. S. and Japanese imports of manufactured goods and transport equipment. The results also show that changes in government expenditure have a significant long-run effect on U.S. imports of manufactured goods and Japanese imports of materials and chemicals, while the long-run effects of income and exchange rates are significant for most commodity groups.

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34

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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35

Keibah, M. S. "An econometric investigation of international labour migration in Libya : A comparison of equilibrium and disequilibrium models." Thesis, University of Leeds, 1987. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.379224.

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36

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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37

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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38

Lee, Chi-ming Simon, and 李志明. "A study of Hong Kong foreign exchange warrants pricing using black-scholes formula." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1992. http://hub.hku.hk/bib/B3126542X.

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39

Calver, Robin Barnaby. "Macroeconomic and Political Determinants of Foreign Direct Investment in the Middle East." PDXScholar, 2013. https://pdxscholar.library.pdx.edu/open_access_etds/1074.

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This study argues that governments with sustained GDP growth, open markets, low country risk, high levels and low standard deviation of government performance, and few or no occurrences of war, will see larger levels of foreign direct investment (FDI) over time. Scholarship on the determinants of FDI variously argues the influence of GDP growth, the openness of a country's economy, a government's level of political capacity, the level of country risk, and the negative effects of inter-, intra- and extrastate conflict. These studies on the various effects on FDI, while providing insightful and substantial statistical results, fail to capture the simultaneous effects of macroeconomic, government performance, country risk, and war variables. The present study attempts to resolve this gap in the literature on FDI by proposing a multi-dimensional model of the combined effects of un-weighted macroeconomic, political, country risk, and war variables on FDI flows over time. The empirical results confirm the expected multi-dimensional nature of FDI flows over time and provide insight into the macroeconomic and political effects on regional and country-level yearly flows of FDI, as well as yielding some unexpected and counter-intuitive results of the role war plays on FDI flows over time.

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40

Cozma, Andrei. "Numerical methods for foreign exchange option pricing under hybrid stochastic and local volatility models." Thesis, University of Oxford, 2017. https://ora.ox.ac.uk/objects/uuid:44a27fbc-1b7a-4f1a-bd2d-abeb38bf1ff7.

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In this thesis, we study the FX option pricing problem and put forward a 4-factor hybrid stochastic-local volatility model. The model, which describes the dynamics of an exchange rate, its volatility and the domestic and foreign short rates, allows for a perfect calibration to European options and has a good hedging performance. Due to the high-dimensionality of the problem, we propose a Monte Carlo simulation scheme that combines the full truncation Euler scheme for the stochastic volatility component and the stochastic short rates with the log-Euler scheme for the exchange rate. We analyze exponential integrability properties of Euler discretizations for the square-root process driving the stochastic volatility and the short rates, properties which play a key role in establishing the finiteness of moments and the strong convergence of numerical approximations for a large class of stochastic differential equations in finance, including the ones studied in this thesis. Hence, we prove the strong convergence of the exchange rate approximations and the convergence of Monte Carlo estimators for a number of vanilla and exotic options. Then, we calibrate the model to market data and discuss its fitness for pricing FX options. Next, due to the relatively slow convergence of the Monte Carlo method in the number of simulations, we examine a variance reduction technique obtained by mixing Monte Carlo and finite difference methods via conditioning. We consider a purely stochastic version of the model and price vanilla and exotic options by simulating the paths of the volatility and the short rates, and then evaluating the "inner" Black-Scholes-type expectation by means of a partial differential equation. We prove the convergence of numerical approximations and carry out a theoretical variance reduction analysis. Finally, we illustrate the efficiency of the method through a detailed quantitative assessment.

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41

Wang, Jingjing. "Different estimations of time series models and application for foreign exchange in emerging markets." Thesis, Mississippi State University, 2016. http://pqdtopen.proquest.com/#viewpdf?dispub=10141678.

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Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One of the traditional ways is to use maximum likelihood estimation to make an approach. However, when the error terms don’t have normality, MLE would be less efficient. Quasi maximum likelihood estimation, also regarded as Gaussian MLE, would be more efficient. Considering the heavy-tailed financial data sets, we can use non-Gaussian quasi maximum likelihood, which needs less assumptions and conditions. We use real financial data sets to compare these estimators.

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42

Berhane, Joel. "Zero-Inflated Hidden Markov Models and Optimal Trading Strategies in High-Frequency Foreign Exchange Trading." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-221098.

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The properties of high-frequency foreign exchange markets and how well they can be modeled using Hidden Markov Models will be studied in this thesis. Specifically, a Zero-inflated Poisson HMM will be implemented and evaluated for high-frequency price data for the EURSEK exchange rate. Furthermore, a trading strategy aimed at distributing large volumes optimally is developed and evaluated. The results show that the price model performs better than a random walk for some prediction horizons, both when used as a price predictor and as a classifier. The initial tests of the strategy indicate that it has good performance compared to the market benchmark. Both the price model and the strategy needs to undergo more testing before any final conclusions can be made.
Egenskaperna hos högfrekventa valutamarknader och hur dessa kan modelleras med Dolda Markovmodeller behandlas i detta examensarbete. Noll-utökade Poisson distributioner, tillsammans med Dolda Markovmodeller, implementeras och utvärderas för högfrekvent växelkursdata för valutaparet EURSEK. Vidare, utvecklas och utvärderas en handelsstrategi med målet att distribuera stora volymer optimalt. Resultaten visar att prismodellen presterar bättre än en slumpvandring för en del prediktionshorisonter, både när den används för prisprediktion och för klassificering. Initiala tester av strategin indikerar att prestandan är bra jämfört med marknadens prestandamått. Både prismodellen och strategin behöver dock undersökas mer innan några definitiva slutsatser kan dras.

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43

Seerattan, Dave Arnold. "The effectiveness of central bank interventions in the foreign exchange market." Thesis, Brunel University, 2012. http://bura.brunel.ac.uk/handle/2438/7361.

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The global foreign exchange market is the largest financial market with turnover in this market often outstripping the GDP of countries in which they are located. The dynamics in the foreign exchange market, especially price dynamics, have huge implications for financial asset values, financial returns and volatility in the international financial system. It is therefore an important area of study. Exchange rates have often departed significantly from the level implied by fundamentals and exhibit excessive volatility. This reality creates a role for central bank intervention in this market to keep the rate in line with economic fundamentals and the overall policy mix, to stabilize market expectations and to calm disorderly markets. Studies that attempt to measure the effectiveness of intervention in the foreign exchange market in terms of exchange rate trends and volatility have had mixed results. This, in many cases, reflects the unavailability of data and the weaknesses in the empirical frameworks used to measure effectiveness. This thesis utilises the most recent data available and some of the latest methodological advances to measure the effectiveness of central bank intervention in the foreign exchange markets of a variety of countries. It therefore makes a contribution in the area of applied empirical methodologies for the measurement of the dynamics of intervention in the foreign exchange market. It demonstrates that by using high frequency data and more robust and appropriate empirical methodologies central bank intervention in the foreign exchange market can be effective. Moreover, a framework that takes account of the interactions between different central bank policy instruments and price dynamics, the reaction function of the central bank, different states of the market, liquidity in the market and the profitability of the central bank can improve the effectiveness of measuring the impact of central bank policy in the foreign exchange market and provide useful information to policy makers.

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44

區寶樹 and Po-shu Au. "The evolution of multinational enterprises: afour-level hierarchy of needs model and econometric analysis ofdeterminants of the Hong Kong SAR as an international investmentlocation." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2001. http://hub.hku.hk/bib/B31242820.

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45

"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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46

"Cointegration and model selection on foreign exchange markets." 1998. http://library.cuhk.edu.hk/record=b5889711.

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by Wai-Man Leung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 107-112).
Abstract also in Chinese.
Chapter 1 --- Introduction --- p.1
Chapter 1.1 --- Problems of Cointegration Analysis --- p.1
Chapter 1.2 --- Contributions of this Research --- p.2
Chapter 1.3 --- Applications of this Research --- p.3
Chapter 1.4 --- Organization of this Thesis --- p.3
Chapter 2 --- Foreign Exchange Features --- p.5
Chapter 2.1 --- Spot Exchange Rate Markets --- p.5
Chapter 2.2 --- Development of International Monetary System --- p.6
Chapter 2.3 --- Determinants of Foreign Exchange Rates --- p.7
Chapter 2.4 --- Description of Foreign Exchange Data --- p.9
Chapter 3 --- Literature Overview --- p.17
Chapter 3.1 --- Model Selection --- p.17
Chapter 3.2 --- Line and Curve Detection......................................................' --- p.20
Chapter 3.3 --- Concluding Remarks --- p.23
Chapter 4 --- Regression by Minor Component Analysis --- p.24
Chapter 4.1 --- Regression by Ordinary Least Squares --- p.24
Chapter 4.2 --- Regression by Total Least Squares --- p.27
Chapter 4.3 --- The comparison of PCA and MCA --- p.28
Chapter 4.4 --- Experiment 4A : Regression on Artifical Data --- p.29
Chapter 4.5 --- Experiment 4B : Regression on FX Data --- p.30
Chapter 4.6 --- Concluding Remarks --- p.32
Chapter 5 --- Cointegration Test by Minor Component Analysis --- p.33
Chapter 5.1 --- Concept of Cointegration --- p.33
Chapter 5.2 --- MCA Based Cointegration Test --- p.34
Chapter 5.3 --- Experiment 5B : Cointegration Test on FX Data --- p.36
Chapter 5.4 --- Concluding Remarks --- p.38
Chapter 6 --- Model Selection by Minor Component Analysis --- p.44
Chapter 6.1 --- Hypothesis Test on Minor Component Coefficients --- p.44
Chapter 6.2 --- Experiment 6B : Forward Selection on FX Data --- p.46
Chapter 6.3 --- Experiment 6B : Backward Elimination on FX Data --- p.50
Chapter 6.4 --- Experiment 6C : MCA Based Selection on FX Data --- p.53
Chapter 6.5 --- Concluding Remarks --- p.54
Chapter 7 --- Cointegration by Modular MCA --- p.55
Chapter 7.1 --- Ordinary Modular MCA Based Cointegration --- p.56
Chapter 7.2 --- Experiment 8A : OMMCA on Artificial Data --- p.58
Chapter 7.3 --- Experiment 8B : OMMCA on FX Data --- p.63
Chapter 7.4 --- Variable-Dependent Modular MCA Method --- p.71
Chapter 7.5 --- "Experiment 8C : VMMCA on Artificial Data," --- p.73
Chapter 7.6 --- Experiment 8D : VMMCA on FX Data --- p.80
Chapter 7.7 --- Adaptive Modular MCA Based Cointegration --- p.89
Chapter 7.8 --- Experiment 8E : AMMCA on Artificial Data --- p.90
Chapter 7.9 --- Experiment 8F : AMMCA on FX Data --- p.94
Chapter 7.10 --- Concluding Remarks --- p.103
Chapter 8 --- Conclusions and Future Works --- p.105

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47

"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

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48

"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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49

Buncic, Daniel Economics Australian School of Business UNSW. "An examination of some statistical and economic models involving exchange rates." 2007. http://handle.unsw.edu.au/1959.4/40577.

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This dissertation is concerned with the examination of some widely employed nonlinear exchange rate models. In particular, its aim is to assess how well non-linear statistical models accommodate the theoretical implications contained in economic models and how well they are able to capture the empirical properties of the data. Chapter 2 gives a brief background to the concept of PPP and discusses the role of transaction costs in economic models, making it necessary to model exchange rates within a non-linear framework. Parametric as well as non-parametric statistical techniques are applied to a long time-series data set to give an indication of the empirical validity of non-linearity in real exchange rates. Wide threshold bands are found to be a common characteristic of real exchange rate data. Chapter 3 studies the fitness of the ESTAR model for real exchange rate modelling. It is shown that wide threshold bands in the empirical data necessitate a small transition function parameter in the exponential regime weighting function, leading to difficulties in the meaningful interpretation of regimes. When this occurs, it is also shown that the ESTAR model is weakly identified over the range of the sample data that one generally works with. These results are illustrated on an empirical data set by replicating the often cited study of Taylor et al. (2001). In Chapter 4 and Chapter 5 a number of non-linear models are evaluated. Simulation experiments indicate that LM style tests that are commonly employed in the literature to test for ESTAR non-linearity have a very low probability of rejecting the false null hypothesis of linearity when the true data generating process is in fact the ESTAR model of Taylor et al. (2001). It is further shown that, contrary to the claims of the recent study by Rapach and Wohar (2006), long-horizon forecasts from the ESTAR model converge to the unconditional mean of the series, so that there is no gain in utilising the ESTAR model for long-horizon forecasts. Studying the Markov switching model of Bergman and Hansson (2005) reveals that the model does not generate any non-linearity as predicted from economic models.

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"Forecasting exchange rates using extended Markov switching models." Chinese University of Hong Kong, 1995. http://library.cuhk.edu.hk/record=b5888468.

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by Hok-hoi Fung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 1995.
Includes bibliographical references (leaves 58-59).
LIST OF TABLES --- p.ii
LIST OF FIGURES --- p.iii
CHAPTER
Chapter 1. --- INTRODUCTION --- p.1
Chapter 2. --- LITERATURE REVIEW --- p.3
Chapter 3. --- METHODOLOGY --- p.6
Formulation of the TVTP Model --- p.6
Filtered and Smoothed Probabilities --- p.9
Maximization of the Expected Log-likelihood --- p.13
Chapter 4. --- EMPIRICAL RESULTS --- p.15
The Simple 2-state Markov Switching Model --- p.15
The TVTP Model --- p.17
The 3-state Markov Switching Model --- p.26
Chapter 5. --- OUT - OF- SAMPLE FORECASTING --- p.34
Chapter 6. --- CONCLUSION --- p.40
APPENDICES --- p.42
BIBLIOGRAPHY --- p.58

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