政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/74337

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113318/144297 (79%)
Visitors : 50951445 Online Users : 998

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大典藏 > College of Commerce > Department of International Business > Proceedings > Item 140.119/74337

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/74337

Title:	Doing Justice to Fundamentals in Exchange Rate Forecasting: A Control over Estimation Risks
Authors:	Kuo, Biing-Shen 郭炳伸
Contributors:	國貿系
Keywords:	random walk;fundamentals;exchange rate forecasting;shrinkage estimator;estimation risk;bootstrap
Date:	2007
Issue Date:	2015-04-02 11:36:12 (UTC+8)
Abstract:	A shrinkage estimator that accounts for estimation risks is developed and employed to re-access whether the monetary fundamentals help predict changes in exchange rates. The suggested estimator is featured by optimally pooling information from cross-sections across time and that from the individual time series of concern. While the estimation risk in term of mean squared errors takes place in the presence of param- eter uncertainties, it is more problematic in the context of the exchange rate predictive regression where the time series under study are typically short and the predictors are highly persistent. Monte-Carlo simulations clearly demonstrate that comparing to the least-square estimator, the magnitude of estimation errors associated with our shrink- age estimator is 10% to 35% less. Moreover, the risk reductions convert into sizable power gains for tests for predictability, yielding a robust inference. In contrast to the previous studies, a uniform evidence of the higher ability of monetary fundamentals to forecast exchange rate movements is now found at both short and long horizons, whether in-sample or out-of-sample.
Data Type:	conference
Appears in Collections:	[Department of International Business] Proceedings

Files in This Item:

File	Description	Size	Format
Kuo_Biing-Shen2.pdf		215Kb	Adobe PDF2	574	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...