أعرض تسجيلة المادة بشكل مبسط

dc.creator Cheung, Yin-Wong
dc.creator Erlandsson, Ulf G.
dc.date 2004
dc.date.accessioned 2013-10-16T07:00:57Z
dc.date.available 2013-10-16T07:00:57Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18711
dc.identifier ppn:477413560
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18711
dc.description This article presents a systematic and extensive empirical study on the presence of Markov switching dynamics in three dollar-based exchange rates. A Monte Carlo approach is adopted to circumvent the statistical inference problem inherent to the test of regime-switching behavior. Two data frequencies, two sample periods, and various specifications are considered. Quarterly data yield inconclusive evidence - the test rejects neither random walk nor Markov switching. Monthly data, on the other hand, offer unambiguous evidence of the presence of Markov switching dynamics. The results suggest that data frequency, in addition to sample size, is crucial for determining the number of regimes.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1348
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F31
dc.subject C22
dc.subject ddc:330
dc.subject exchange rate dynamics
dc.subject regime switching
dc.subject Monte Carlo Test
dc.subject sampling frequency
dc.subject Wechselkurs
dc.subject Overshooting
dc.subject Kointegration
dc.subject Schätzung
dc.subject Preisniveau
dc.subject Markovscher Prozess
dc.subject Grossbritannien
dc.subject Frankreich
dc.subject Italien
dc.subject Deutschland
dc.subject regime switching
dc.title Exchange rates and Markov switching dynamics
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط