Currency Forecasting with Markov Switching Models

Name: Currency Forecasting with Markov Switching Models
Brand: VDM Verlag Dr. Müller
SKU: 9783639152869
Price: 77.38 EUR
Availability: InStock

Exploring the Joint Behavior of the Term Structure of Forward Exchange Rate Premia and the Term Structure of Interest Rates

Autor: Charles Mouoyebe

Jazyk:

Väzba: Brožovaná

Vydavateľ: VDM Verlag Dr. Müller

Dostupnosť: U vydavateľa na objednávku

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Clarida and Taylor (1993) and Clarida et al. (2001) offer a new alternative for nominal spot exchang...

Informácie o knihe

Autor

Charles Mouoyebe

Jazyk

Angličtina

Väzba

Kniha - Brožovaná

Vydalo

2010

Stránok

496

EAN

9783639152869

Enbook ID

06823804

Vydavateľ

VDM Verlag Dr. Müller

Hmotnosť

673

Rozmery

150 x 220 x 25

Kompletný popis

Clarida and Taylor (1993) and Clarida et al. (2001) offer a new alternative for nominal spot exchange-rate forecasting. They show that they can improve on forecasting the spot exchange rate over the random walk by using the combination of the full term structure of forward premia and a non-linear model. This study proposes an extension of the Clarida and Taylor framework by developing a Markov switching model where the dynamics of the spot and forward exchange rate is tied to the term structure of interest rates. We motivate theoretically how an endogenous Markov switching model will emerge from a small open economy monetary model of exchange rate determination augmented with a monetary policy rule. And we estimate the resulting closed form solution of the model with a Markov switching vector error correction model with a time varying transition probability matrix. We show that our model can improve substantially over Clarida et al. (2001) model for certain currencies. Particularly on currencies for which the interest rate term structure has a strong relationship to the realized inflation regime.

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Currency Forecasting with Markov Switching Models

Exploring the Joint Behavior of the Term Structure of Forward Exchange Rate Premia and the Term Structure of Interest Rates

Informácie o knihe

Kompletný popis

Mohlo by vás zaujímať

Zákazníci, ktorí si kúpili túto knihu, kúpili tiež