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Empirical Modeling of Exchange Rate Dynamics
Francis X. Diebold
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Description for Empirical Modeling of Exchange Rate Dynamics
Paperback. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 150 pages, biography. BIC Classification: KCA; KCL. Category: (P) Professional & Vocational. Dimension: 244 x 170 x 8. Weight in Grams: 288.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
1988
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
150
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
143
Place of Publication
Berlin, Germany
ISBN
9783540189664
SKU
V9783540189664
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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