Nonlinear exchange rate predictability

Journal of International Money and Finance - Tập 30 - Trang 877-895 - 2011
Carlos Felipe López-Suárez1, José Antonio Rodríguez-López2
1University of California, Berkeley, 508-1 Evans Hall 3880, Berkeley, CA 94720-3880, USA
2University of California, 3151 Social Science Plaza, Irvine, CA 92697-5100, USA

Tài liệu tham khảo

Benninga, 1988, The equilibrium pricing of exchange rates and assets when trade takes time, Journal of International Money and Finance, 7, 129, 10.1016/0261-5606(88)90012-5 Berben, 1998 Berkowitz, 2001, Long-horizon exchange rate predictability?, Review of Economics and Statistics, 83, 81, 10.1162/003465301750160054 Cheung, 2005, Empirical exchange rate models of the nineties: are any fit to survive?, Journal of International Money and Finance, 24, 1150, 10.1016/j.jimonfin.2005.08.002 Diebold, 1990, Nonparametric exchange rate prediction?, Journal of International Economics, 28, 315, 10.1016/0022-1996(90)90006-8 Dumas, 1992, Dynamic equilibrium and the real exchange rate in a spatially separated world, Review of Financial Studies, 5, 153, 10.1093/rfs/5.2.153 Dumas, 1994, Partial equilibrium versus general equilibrium models of international capital markets Engel, 1990, Long swings in the dollar: are they in the data and do markets know it?, American Economic Review, 80, 689 Engel, 2007, Exchange rate models are not as bad as you think, NBER Macroeconomics Annual, 22, 381, 10.1086/ma.22.25554969 Engel, 2005, Exchange rates and fundamentals, Journal of Political Economy, 113, 485, 10.1086/429137 Faust, 2003, Exchange rate forecasting: the errors we’ve really made, Journal of International Economics, 60, 35, 10.1016/S0022-1996(02)00058-2 Granger, 1996, Future developments in the study of cointegrated variables, Oxford Bulletin of Economics and Statistics, 58, 537, 10.1111/j.1468-0084.1996.mp58003007.x Granger, 1993 Imbs, 2003, Nonlinearities and real exchange rate dynamics, Journal of the European Economic Association, 1, 639, 10.1162/154247603322391279 Kilian, 1999, Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions?, Journal of Applied Econometrics, 14, 491, 10.1002/(SICI)1099-1255(199909/10)14:5<491::AID-JAE527>3.0.CO;2-D Kilian, 2003, Why is it so difficult to beat the random walk forecast of exchange rates?, Journal of International Economics, 60, 85, 10.1016/S0022-1996(02)00060-0 Mark, 1995, Exchange rates and fundamentals: evidence on long-horizon predictability, American Economic Review, 85, 201 Mark, 2001, Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel, Journal of International Economics, 53, 29, 10.1016/S0022-1996(00)00052-0 Meese, 1983, Empirical exchange rate models of the seventies: do they fit out of sample?, Journal of International Economics, 14, 3, 10.1016/0022-1996(83)90017-X Meese, 1991, An empirical assessment of non-linearities in models of exchange rate determination, Review of Economic Studies, 58, 603, 10.2307/2298014 Obstfeld, 1997, Nonlinear aspects of goods-market arbitrage and adjustment: Heckscher’s commodity points revisited, Journal of the Japanese and International Economies, 11, 441, 10.1006/jjie.1997.0385 O’Connell, 2002, The bigger they are, the harder they fall: retail price differences across U.S. cities, Journal of International Economics, 56, 21, 10.1016/S0022-1996(01)00111-8 Ohanian, L.E., Stockman, A. C., 1997. Arbitrage costs and exchange rates, University of Rochester [Discussion paper]. Rogoff, 1996, The purchasing power parity puzzle, Journal of Economic Literature, 34, 647 Rogoff, 2008 Sercu, 1995, The exchange rate in the presence of transaction costs: implications for tests of purchasing power parity, Journal of Finance, 50, 1309, 10.2307/2329354 Stock, 1988, Variable trends in economic time series, Journal of Economic Perspectives, 2, 147, 10.1257/jep.2.3.147 Taylor, 2000, Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals, Journal of International Money and Finance, 19, 33, 10.1016/S0261-5606(99)00044-3 Taylor, 2001, Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles, International Economic Review, 42, 1015, 10.1111/1468-2354.00144 Teräsvirta, 1994, Specification, estimation, and evaluation of smooth transition autoregressive models, Journal of the American Statistical Association, 89, 208, 10.2307/2291217