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Author : Thanin Cheunsomchit
Release : 1998
Genre : Foreign exchange futures
Kind : eBook
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Book Synopsis Essays on the Foreign Exchange Market and Structural Breaks by : Thanin Cheunsomchit
Download or read book Essays on the Foreign Exchange Market and Structural Breaks written by Thanin Cheunsomchit. This book was released on 1998. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Isabel Ruiz
Release : 2006
Genre : Foreign exchange market
Kind : eBook
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Book Synopsis Essays on the Latin American Foreign Exchange Market by : Isabel Ruiz
Download or read book Essays on the Latin American Foreign Exchange Market written by Isabel Ruiz. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tomoyoshi Yabu
Release : 2006
Genre :
Kind : eBook
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Book Synopsis Essays on Theoretical and Empirical Aspects of Structural Break Models by : Tomoyoshi Yabu
Download or read book Essays on Theoretical and Empirical Aspects of Structural Break Models written by Tomoyoshi Yabu. This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation analyzes theoretical and empirical aspects of structural break models. The first chapter proposes a test for the slope of a trend function when it is a priori unknown whether the series is trend-stationary or contains an autoregressive unit root. The procedure is based on a Feasible Quasi Generalized Least Squares method from a first-order autoregressive specification. The autoregressive estimate is obtained by the Ordinary Least Squares method applied to detrended data and is truncated to take value 1 whenever the estimate is in some specified neighborhood of 1. This implies that inference on the slope parameter can be performed using the standard Normal distribution in both cases. The second chapter extends the analysis to the case of testing for changes in level or slope of the trend function. When the break dates are known, our test statistic has a chi-square limit distribution in both the stationary and unit root cases. When the break dates are unknown, a version of our test has nearly identical limit distributions in the two cases so that a testing procedure with nearly the same size can be obtained. We show our procedure to be substantially more powerful than currently available alternatives. The third chapter pertains to an empirical analysis involving a structural break. We analyze the reaction function of the Japanese monetary authorities in deciding when to intervene in the foreign exchange markets using daily Japanese data from April 1, 1991 to December 31, 2002. We document a regime change in June 21, 1995 when Dr. Sakakibara became in charge of intervention policy in Japan. The fourth chapter investigates real exchange rates dynamics. A standard model with transportation costs implies that real exchange rates should follow a band threshold model where the process is a random walk within the bands and mean-reverting outside them. Because of technological improvements, these bands should narrow over time. We examine whether this is the case in Japan. The evidence indicates that such a feature is not supported by the data, casting doubts on the relevance of such models to describe the behavior of exchange rates.
Author :
Release : 2006
Genre :
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Book Rating : 029/5 ( reviews)
Book Synopsis Essays on economic integration by :
Download or read book Essays on economic integration written by . This book was released on 2006. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Herbert Giersch
Release : 1993
Genre : Business & Economics
Kind : eBook
Book Rating : 482/5 ( reviews)
Book Synopsis Openness for Prosperity by : Herbert Giersch
Download or read book Openness for Prosperity written by Herbert Giersch. This book was released on 1993. Available in PDF, EPUB and Kindle. Book excerpt: Demonstrates the essential connection between theoretical academic research and the creation of economic policy, reflecting his belief that the study of economics should lead to improvement of the social order and of the quality of human life. Herbert Giersch is one of Germany's most prominent economists and an outstanding contributor to the debate on European economic policy. Openness for Prosperity brings together his major essays in macroeconomic policy, written or published over the past two and a half decades. In these twenty nontechnical essays, Giersch clearly demonstrates the essential connection between theoretical academic research and the creation of economic policy, reflecting his belief that the study of economics should lead to improvement of the social order and of the quality of human life. Some of the policy positions that Giersch favors are free trade, limits to government, and openness of economies to future possibilities.The chapters are arranged in two parts with the first focusing on economic growth and structural change and the second on issues of monetary policy, inflation, and exchange rates. The essays are arranged chronologically according to the dates of publication or writing to suggest how topics and emphases have changed over time.The first part, reflecting Giersch's support of Schumpeter's views, includes essays on aspects of growth, protectionism in foreign trade, the role of entrepreneurship in the 1980s, prospects and problems for European economic integration in the 1990s, the lessons to be learned from West Germany's transition to a market economy, and the author's vision of the European and world economies at the end of this century. In the second part, essays address such issues as flexible exchange rates, indexation, IMF surveillance over exchange rates, neglected aspects of inflation, the effect of central bank independence on monetary policy, and the relationship between real exchange rates and comparative economic growth.
