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 predi...

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Bibliographische Detailangaben

1. Verfasser:	Diebold, Francis X. (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Berlin, Heidelberg Springer Berlin Heidelberg 1988
Ausgabe:	1st ed. 1988
Schriftenreihe:	Lecture Notes in Economics and Mathematical Systems 303
Schlagworte:	Economic Theory/Quantitative Economics/Mathematical Methods International Economics Economic theory International economics Zeitreihenanalyse Modell Wechselkursänderung Stochastischer Prozess Mathematisches Modell
Online-Zugang:	BTU01 Volltext
Zusammenfassung:	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 and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2
Beschreibung:	1 Online-Ressource (VII, 143 p)
ISBN:	9783642456411
DOI:	10.1007/978-3-642-45641-1