Long swings in exchange rates: Are they really in the data?

Journal of Business and Economic Statistics

Volumn 23, Issue 1, 2005, Pages 87-95

  Klaassen, Franc ^a  

^a UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Data frequency; Forecasting; Markov regime switching; Random walk; Testing; Unidentified parameters

Indexed keywords

EID: 12344264761     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000505     Document Type: Article

References (29)

1. Ang, A., and Bekaert, G. (1998), "Regime Switches in Interest Rates," Working Paper 6508, National Bureau of Economic Research.
2. Bollerslev, T., Chou, R. Y., and Kroner, K. F. (1992), "ARCH Modeling in Finance," Journal of Econometrics, 52, 5-59.
3. Choi, I., and Chung, B. S. (1995), "Sampling Frequency and the Power of Tests for a Unit Root: A Simulation Study," Economics Letters, 49, 131-136.
4. Coe, P. J. (2002), "Power Issues When Testing the Markov Switching Model With the Sup Likelihood Ratio Test Using U.S. Output," Empirical Economic, 27, 395-401.
5. Dewachter, H. (1997), "Sign Predictions of Exchange Rate Changes: Charts as Proxies for Bayesian Inferences," Weltwirtschaftliches Archiv, 133, 39-55.
6. Engel, C. (1994), "Can the Markov-Switching Model Forecast Exchange Rates?" Journal of International Economics, 36, 151-165.
7. Engel, C., and Hamilton, J. D. (1990), "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?" American Economic Review, 80, 689-713.
8. Engle, R. F., Ito, T., and Lin, W.-L. (1990), "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," Econometrica, 58, 525-542.
9. Evans, M. D. D., and Lewis, K. K. (1995), "Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?" Review of Financial Studies, 8, 709-742.
10. Garcia, R. (1998), "Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models," International Economic Review, 39, 763-788.
11. Garcia, R., and Perron, P. (1996), "An Analysis of the Real Interest Rate Under Regime Shifts," Review of Economics and Statistics, 78, 111-125.
12. Ghysels, E. (1994), "On the Periodic Structure of the Business Cycle," Journal of Business & Economic Statistics, 12, 289-298.
13. Goodwin, T. H. (1993), "Business-Cycle Analysis With a Markov-Switching Model," Journal of Business & Economic Statistics, 11, 331-339.
14. Gray, S. F. (1996), "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process," Journal of Financial Economics, 42, 27-62.
15. Hamilton, J. D. (1989), "A New Approach to the Economic Analysis of Non-stationary Time Series and the Business Cycle," Econometrica, 57, 357-384.
16. Hansen, B. E. (1992), "The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov Switching Model of GNP," Journal of Applied Econometrics, 7, S61-S82.
17. _ (1996), "Erratum: The Likelihood Ratio Test Under Nonstandard Conditions: Testing the Markov-Switching Model of GNP," Journal of Applied Econometrics, 11, 195-198.
18. Kaminsky, G. (1993), "Is There a Peso Problem? Evidence From the Dollar/Pound Exchange Rate, 1976-1987," American Economic Review, 83, 450-472.
19. Klaassen, F. (1999), "Purchasing Power Parity: Evidence From a New Test," Discussion Paper 9909, CentER for Economic Research, Tilburg University.
20. _ (2002), "Improving GARCH Volatility Forecasts With Regime-Switching GARCH," Empirical Economics, 27, 363-394.
21. Leitch, G., and Tanner, J. E. (1991), "Economic Forecast Evaluation: Profits versus the Conventional Error Measures," American Economic Review, 81, 580-590.
22. Lucas, R. E. (1976), "Econometric Policy Evaluation: A Critique," Carnegie-Rochester Series on Public Policy, 1, 19-46.
23. MacDonald, R., and Taylor, M. P. (1992), "Exchange Rate Economics: A Survey," IMF Staff Papers, 39, 1-57.
24. Maddala, G. S., and Kim, I. M. (1998), Unit Roots, Cointegration, and Structural Change, Cambridge, U.K.: Cambridge University Press.
25. Meese, R. A., and Rogoff, K. (1983), "Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?" Journal of International Economics, 14, 3-24.
26. Newey, W. K., and West, K. D. (1987), "A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, 55, 703-708.
27. _ (1994), "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, 61, 631-653.
28. Seo, B. (1999), "Distribution Theory for Unit Root Tests With Conditional Heteroskedasticity," Journal of Econometrics, 91, 113-144.
29. West, K. D., and Cho, D. (1995), "The Predictive Ability of Several Models of Exchange Rate Volatility," Journal of Econometrics, 69, 367-391.