International macroe.. - Free

More documents

Recommendations

Info

170CHAPTER 6. FOREIGN EXCHANGE MARKET EFFICIENCY(109)⇒Estimating p tWe have evidence that p t = f t − E(s t+1 |I t ) evolves as a random process,but what does it look like? You can get a quick estimate of p tby projecting the realized proÞt f t − s t+1 = p t − u t+1 on a vector ofobservations z t where u t+1 = s t+1 − E(s t+1 |I t ) is the rational predictionerror. Using the law of iterated expectations and the property thatE(u t+1 |z t )=0,youhaveE(f t − s t+1 |z t )=E(p t |z t ). If you run theregressionf t − s t+1 = z 0 tβ + u t+1 ,you can use the Þtted value of the regression as an estimate of the exante payoff, ˆp t = z 0 ˆβ. tA slightly more sophisticated estimate can be obtained from a vectorerror correction representation that incorporates the joint dynamics ofthe spot and forward rates. Here, the log spot and forward rates are assumedto be unit root processes and the forward premium is assumed tobe stationary. The spot and forward rates are cointegrated with cointegrationvector (1, −1). As shown in chapter 2.6, s t and f t have a vectorerror correction representation which can be represented equivalentlyas a bivariate vector autoregression in the forward premium (f t − s t )and the depreciation ∆s t .Let’s pursue the VAR option. Let y t=(f t − s t , ∆s t ) 0 follow thek−th order VARy t=kXj=1A j y t−j+ v t .Let e 2 =(0, 1) be a selection vector such that e 2 y t= ∆s t picks off thedepreciation, and H t =(y t,y t−1,...) be current and lagged values ofh Pkj=1 iy t.ThenE(∆s t+1 |H t )=e 2 E(y t+1|H t )=e 2 A j y t+1−j ,andyou
6.1. DEVIATIONS FROM UIP 171A. US-UK50403020100-10-20-30-40-501976 1978 1980 1982 1984 1986 1988 1990 1992504030B. US-Germany20100-10-20-301976 1978 1980 1982 1984 1986 1988 1990 1992C. US-Japan50403020100-10-20-30-401976 1978 1980 1982 1984 1986 1988 1990 1992Figure 6.1: Time series point estimates of p t (boxes) with 2-standarderror bands and point estimates of E t (∆s t+1 )(circles).
Page 2:
To Shirley, Laurie, and Leslii
Page 8 and 9:
CONTENTSvii11 Balance of Payments C
Page 10 and 11:
2 CHAPTER 1. SOME INSTITUTIONAL BAC
Page 12 and 13:
Page 14 and 15:
Page 16 and 17:
Page 18 and 19:
10 CHAPTER 1. SOME INSTITUTIONAL BA
Page 20 and 21:
Page 22 and 23:
Page 24 and 25:
Page 26 and 27:
Page 28 and 29:
Page 30 and 31:
Page 32 and 33:
24 CHAPTER 2. SOME USEFUL TIME-SERI
Page 34 and 35:
Page 36 and 37:
Page 38 and 39:
Page 40 and 41:
Page 42 and 43:
Page 44 and 45:
Page 46 and 47:
Page 48 and 49:
Page 50 and 51:
Page 52 and 53:
Page 54 and 55:
Page 56 and 57:
Page 58 and 59:
Page 60 and 61:
Page 62 and 63:
Page 64 and 65:
Page 66 and 67:
Page 68 and 69:
Page 70 and 71:
Page 72 and 73:
Page 74 and 75:
Page 76 and 77:
Page 78 and 79:
Page 80 and 81:
Page 82 and 83:
Page 84 and 85:
Page 86 and 87:
Page 88 and 89:
80 CHAPTER 3. THE MONETARY MODEL3.1
Page 90 and 91:
82 CHAPTER 3. THE MONETARY MODEL604
Page 92 and 93:
84 CHAPTER 3. THE MONETARY MODEL0 <
Page 94 and 95:
86 CHAPTER 3. THE MONETARY MODELexc
Page 96 and 97:
Page 98 and 99:
90 CHAPTER 3. THE MONETARY MODELThe
Page 100 and 101:
92 CHAPTER 3. THE MONETARY MODEL=
Page 102 and 103:
94 CHAPTER 3. THE MONETARY MODELSub
Page 104 and 105:
96 CHAPTER 3. THE MONETARY MODELTab
Page 106 and 107:
98 CHAPTER 3. THE MONETARY MODELthe
Page 108 and 109:
Page 110 and 111:
102 CHAPTER 3. THE MONETARY MODELMo
Page 112 and 113:
104 CHAPTER 3. THE MONETARY MODELwh
Page 114 and 115:
106 CHAPTER 4. THE LUCAS MODEL(76)
Page 116 and 117:
108 CHAPTER 4. THE LUCAS MODELsubje
Page 118 and 119:
110 CHAPTER 4. THE LUCAS MODELeach
Page 120 and 121:
112 CHAPTER 4. THE LUCAS MODELcompl
Page 122 and 123:
114 CHAPTER 4. THE LUCAS MODELdenot
Page 124 and 125:
116 CHAPTER 4. THE LUCAS MODELc yt
Page 126 and 127:
118 CHAPTER 4. THE LUCAS MODELIn eq
Page 128 and 129: 120 CHAPTER 4. THE LUCAS MODELn t =
Page 130 and 131: 122 CHAPTER 4. THE LUCAS MODELRearr
Page 132 and 133: 124 CHAPTER 4. THE LUCAS MODELTable
Page 134 and 135: 126 CHAPTER 4. THE LUCAS MODEL4.5 C
Page 136 and 137: 128 CHAPTER 4. THE LUCAS MODELTable
Page 138 and 139: 130 CHAPTER 4. THE LUCAS MODELdisco
Page 140 and 141: 132 CHAPTER 4. THE LUCAS MODEL1.02A
Page 142 and 143: 134 CHAPTER 4. THE LUCAS MODELAppen
Page 144 and 145: 136 CHAPTER 4. THE LUCAS MODELProbl
Page 146 and 147: 138 CHAPTER 5. INTERNATIONAL REAL B
Page 170 and 171: 162CHAPTER 6. FOREIGN EXCHANGE MARK
Page 216 and 217: 208 CHAPTER 7. THE REAL EXCHANGE RA
Page 228 and 229:
220 CHAPTER 7. THE REAL EXCHANGE RA
Page 230 and 231:
Page 232 and 233:
Page 234 and 235:
Page 236 and 237:
Page 238 and 239:
230 CHAPTER 8. THE MUNDELL-FLEMING
Page 240 and 241:
Page 242 and 243:
Page 244 and 245:
Page 246 and 247:
Page 248 and 249:
Page 250 and 251:
Page 252 and 253:
Page 254 and 255:
Page 256 and 257:
Page 258 and 259:
Page 260 and 261:
Page 262 and 263:
Page 264 and 265:
Page 266 and 267:
Page 268 and 269:
Page 270 and 271:
Page 272 and 273:
264CHAPTER 9. THE NEW INTERNATIONAL
Page 274 and 275:
Page 276 and 277:
Page 278 and 279:
Page 280 and 281:
Page 282 and 283:
Page 284 and 285:
Page 286 and 287:
Page 288 and 289:
Page 290 and 291:
Page 292 and 293:
Page 294 and 295:
Page 296 and 297:
Page 298 and 299:
Page 300 and 301:
Page 302 and 303:
Page 304 and 305:
Page 306 and 307:
Page 308 and 309:
Page 310 and 311:
Page 312 and 313:
Page 314 and 315:
Page 316 and 317:
308 CHAPTER 10. TARGET-ZONE MODELSa
Page 318 and 319:
310 CHAPTER 10. TARGET-ZONE MODELSt
Page 320 and 321:
312 CHAPTER 10. TARGET-ZONE MODELSC
Page 322 and 323:
314 CHAPTER 10. TARGET-ZONE MODELSl
Page 324 and 325:
316 CHAPTER 10. TARGET-ZONE MODELST
Page 326 and 327:
318 CHAPTER 10. TARGET-ZONE MODELSa
Page 328 and 329:
320 CHAPTER 10. TARGET-ZONE MODELSM
Page 330 and 331:
322 CHAPTER 10. TARGET-ZONE MODELSt
Page 332 and 333:
324 CHAPTER 10. TARGET-ZONE MODELS
Page 334 and 335:
326 CHAPTER 10. TARGET-ZONE MODELS
Page 336 and 337:
328 CHAPTER 11. BALANCE OF PAYMENTS
Page 338 and 339:
Page 340 and 341:
Page 342 and 343:
Page 344 and 345:
Page 346 and 347:
Page 348 and 349:
Page 350 and 351:
Page 352 and 353:
Page 354 and 355:
Page 356 and 357:
Page 358 and 359:
Page 360 and 361:
Page 362 and 363:
Page 364 and 365:
Page 366 and 367:
358 AUTHOR INDEXFama, E.F., 161, 16
Page 368 and 369:
Subject IndexAAbsorption, 16, 230AI
Page 370 and 371:
362 SUBJECT INDEXEfficient capital
Page 372 and 373:
364 SUBJECT INDEXMethod of undeterm
Page 374 and 375:
366 SUBJECT INDEXRisk neutrality, 9
Page 376:
368 SUBJECT INDEXImpulse response a
show all

International macroe.. - Free

Create successful ePaper yourself

Delete template?

Save as template?