| 書目名稱 | Empirical Modeling of Exchange Rate Dynamics |
| 編輯 | Francis X. Diebold |
| 視頻video | http://file.papertrans.cn/309/308869/308869.mp4 |
| 叢書名稱 | Lecture Notes in Economics and Mathematical Systems |
| 圖書封面 |  |
| 描述 | Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems |
| 出版日期 | Book 1988 |
| 關(guān)鍵詞 | Finance; distribution; dynamics; exchange rates; modeling; statistics; time series; value-at-risk; volatilit |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-642-45641-1 |
| isbn_softcover | 978-3-540-18966-4 |
| isbn_ebook | 978-3-642-45641-1Series ISSN 0075-8442 Series E-ISSN 2196-9957 |
| issn_series | 0075-8442 |
| copyright | Springer-Verlag Berlin Heidelberg 1988 |
|Archiver|手機版|小黑屋|
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