Empirical Modeling of Exchange Rate Dynamics

ISBN-13: 9783540189664 / Angielski / Miękka / 1988 / 143 str.

Francis X. Diebold

Opis

This book uses the methods of statistical time-series analysis to characterize the stochastic structure of seven major dollar spot exchange rates, at both weekly and monthly frequencies, during the recent floating-rate regime 1973-1985. While the conditional-mean behaviour of each exchange rate is close to a random walk, the conditional variances are found to have strongly time-varying volatility. Models of autoregressive conditional heteroskedasticity (ARCH) are estimated and used to explain unconditional exchange-rate leptokurtosis (as well as convergence to normality under temporal aggregation), and to provide superior interval predictors. The results are extended to real exchange rates and deviations from purchasing power parity.

Spis treści

1 Introduction.- 2 Conditional Heteroskedasticity In Economic Time Series.- 2.1) Introduction and Summary.- 2.2) Autoregressive Conditionally Heteroskedastic Processes.- 2.2.1) Conditional Moment Structure.- 2.2.2) Unconditional Moment Structure.- 2.3) Temporal Aggregation of ARCH Processes.- 2.4) Estimation and Hypothesis Testing.- 2.5) The Asymptotic Distributions of Some Common Serial Correlation Test Statistics in the Presence of ARCH.- 2.5.1) Background.- 2.5.2) Correcting the Bartlett Standard Error Bands.- 2.5.3) On the Existence of EX4t.- 2.5.4) The Box-Pierce and Ljung-Box Statistics.- 2.5.5) Conclusions.- 2.6) Concluding Remarks.- 3 Weekly Univariate Nominal Exchange Rate Fluctuations.- 3.1) Introduction.- 3.2) Moving Sample Moments as Volatility Measures.- 3.3) The Data.- 3.4) Model Formulation.- 3.5) Empirical Results.- 3.6) Conclusions.- Appendix to Chapter 3 Testing For Unit Roots.- A3.1) The First-Order Case.- A3.2) Higher-Order Processes.- A3.3) General ARMA Representations.- 4 Monthly Univariate Nominal Exchange Rate Fluctuations.- 4.1) Introduction.- 4.2) Empirical Analysis.- 4.3) Comparison With Some Well-Known Results From Finance.- 4.4) Concluding Remarks.- 5 Real Exchange Rate Movements.- 5.1) Introduction.- 5.2) Forms of Purchasing Power Parity.- 5.3) The Relationship Between the Three Key Parity Conditions.- 5.3.a) Background.- 5.3.b) The Parity Conditions.- 5.3.c) Conclusions Regarding the Parity Conditions.- 5.4) On The Stochastic Behavior of Deviations From PPP.- 5.5) Empirical Analysis.- 5.6) Conclusions.- References.