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The Monetary Model of Exchange Rates and Cointegration [electronic resource] : Estimation, Testing and Prediction / by Javier Gardeazabal, Marta Regulez.

By: Contributor(s): Material type: TextTextSeries: Lecture Notes in Economics and Mathematical Systems ; 385Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1992Edition: 1st ed. 1992Description: X, 194 p. online resourceContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9783642488580
Subject(s): Additional physical formats: Printed edition:: No title; Printed edition:: No titleDDC classification:
  • 330.1
LOC classification:
  • HB1-846.8
Online resources:
Contents:
1. Introduction -- 2. The Monetary Model of Exchange Rate Determination -- I. Introduction -- II. Monetary Models -- III. The Asset Market View -- IV. Empirical Evidence -- V. Treatment of Nonstationary Variables -- 3. Long Run Exchange Rate Determination I -- I. Introduction -- II. Some Preliminary Definitions and Engle and Granger Procedure -- III. Interpretation of Previous Results in terms of Cointegration -- IV. Testing for Cointegration Using Engle and Granger Methodology -- V. Empirical Results -- VI. Conclusions -- Appendix A -- 4. Long Run Exchange Rate Determination II -- I. Introduction -- II. Description of The Time Series Model -- III. The Data And Diagnostic Tests -- IV. Estimation And Testing For Cointegration -- V. Tests of Several Hypotheses -- VI. Conclusions -- Appendix A -- Appendix B -- 5. Short Run Exchange Rate Determination -- I. Introduction -- II. Weak Exogeneity of the Exchange Rate -- III. Testing for Weak Exogeneity -- IV. The Asset Market View Derived from an Error Correction Model -- V. Conclusions -- Appendix A -- 6. Effect of Non-Normal Disturbances on Likelihood Ratio Tests -- I. Introduction -- II. The Data Generating Process -- III. Hypotheses Tests -- IV. The Simulation Exercise -- V. Conclusions -- Appendix A: Size of the Tests -- Appendix B: Power of the Tests -- 7. Estimation of the Time Series Model -- I. Introduction -- II. Two Different Interpretations of the Time Series Model -- III. Estimation of the Model -- 8. Prediction in Cointegrated Systems -- I. Introduction -- II. Properties of the True Forecasts from a Cointegrated System -- III. Estimated Forecasts from a Cointegrated System -- 9. Nominal Exchange Rate Prediction -- I. Introduction -- II. Review of Literature -- III. Forecasting Exercise -- IV. Conclusions -- Appendix A -- 10. A Simulation Exercise -- I. Introduction -- II. The Data Generating Process -- III. Results -- Appendix A -- 11. Conclusions -- Data Appendix.
In: Springer Nature eBook
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Item type Home library Collection Call number Status Date due Barcode Item holds
E-Book E-Book Biblioteca Digital Colección SPRINGER 330.1 (Browse shelf(Opens below)) Not For Loan
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1. Introduction -- 2. The Monetary Model of Exchange Rate Determination -- I. Introduction -- II. Monetary Models -- III. The Asset Market View -- IV. Empirical Evidence -- V. Treatment of Nonstationary Variables -- 3. Long Run Exchange Rate Determination I -- I. Introduction -- II. Some Preliminary Definitions and Engle and Granger Procedure -- III. Interpretation of Previous Results in terms of Cointegration -- IV. Testing for Cointegration Using Engle and Granger Methodology -- V. Empirical Results -- VI. Conclusions -- Appendix A -- 4. Long Run Exchange Rate Determination II -- I. Introduction -- II. Description of The Time Series Model -- III. The Data And Diagnostic Tests -- IV. Estimation And Testing For Cointegration -- V. Tests of Several Hypotheses -- VI. Conclusions -- Appendix A -- Appendix B -- 5. Short Run Exchange Rate Determination -- I. Introduction -- II. Weak Exogeneity of the Exchange Rate -- III. Testing for Weak Exogeneity -- IV. The Asset Market View Derived from an Error Correction Model -- V. Conclusions -- Appendix A -- 6. Effect of Non-Normal Disturbances on Likelihood Ratio Tests -- I. Introduction -- II. The Data Generating Process -- III. Hypotheses Tests -- IV. The Simulation Exercise -- V. Conclusions -- Appendix A: Size of the Tests -- Appendix B: Power of the Tests -- 7. Estimation of the Time Series Model -- I. Introduction -- II. Two Different Interpretations of the Time Series Model -- III. Estimation of the Model -- 8. Prediction in Cointegrated Systems -- I. Introduction -- II. Properties of the True Forecasts from a Cointegrated System -- III. Estimated Forecasts from a Cointegrated System -- 9. Nominal Exchange Rate Prediction -- I. Introduction -- II. Review of Literature -- III. Forecasting Exercise -- IV. Conclusions -- Appendix A -- 10. A Simulation Exercise -- I. Introduction -- II. The Data Generating Process -- III. Results -- Appendix A -- 11. Conclusions -- Data Appendix.

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