Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Released on by Yin-Wong Cheung
preview-18

  • Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models Book Detail

  • Author : Yin-Wong Cheung
  • Release Date : 1997
  • Publisher :
  • Genre : Foreign exchange rates
  • Pages : 66
  • ISBN 13 :
  • File Size : 20,20 MB
DOWNLOAD BOOK

Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models by Yin-Wong Cheung PDF Summary

Book Description: Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that it is fairly easy for the generated forecasts to pass the first requirement. However, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead horizon, most series and their respective forecasts do not appear cointegrated. Of the cointegrated pairs, the restriction of unitary elasticity of forecasts with respect to actual appears not to be rejected in general. The exception to this pattern is in the case of the error correction models in the longer subsample. Using the Horvath-Watson procedure, which imposes a unitary coefficient restriction, we find fewer instances of consistency, but a relatively higher proportion of the identified cases of consistency are found at the longer horizons.

Disclaimer: www.yourbookbest.com does not own Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models books pdf, neither created or scanned. We just provide the link that is already available on the internet, public domain and in Google Drive. If any way it violates the law or has any issues, then kindly mail us via contact us page to request the removal of the link.