کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5056046 1371511 2006 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Why use Markov-switching models in exchange rate prediction?
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Why use Markov-switching models in exchange rate prediction?
چکیده انگلیسی
A large amount of empirical studies finds the superiority of the regime-switching model in generating the process of exchange rates and in forecasting future exchange rates. This paper justifies the use of Markov-switching models by showing that this kind of time series process is consistent with the most popular exchange rate regime in the world - the dirty floating exchange rate regime. The theoretical implication of exchange rate determination indicates that a higher probability of a central bank's future interventions raises the rational expectations discrepancy between the exchange rate and its fundamentals, even though the bank does not step in the foreign exchange market during that period.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 23, Issue 4, July 2006, Pages 662-668
نویسندگان
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