Fundamental structural changes over time and predictability of exchange rates: a Monte Carlo study of time varying regression and applications

Show simple item record


dc.degree.department Economics en_US
dc.degree.discipline Economics en_US
dc.degree.grantor Texas Tech University en_US
dc.degree.level Doctoral en_US
dc.degree.name Ph .D . en_US
dc.rights.availability unrestricted en_US
dc.creator Wan , Bin en_US
dc.date.accessioned 2014 -02 -19T18 :43 :29Z
dc.date.available 2011 -02 -18T23 :48 :26Z en_US
dc.date.available 2014 -02 -19T18 :43 :29Z
dc.date.issued 1996 -08 en_US
dc.identifier.uri http : / /hdl .handle .net /2346 /20589 en_US
dc.description.abstract The difficulties of modeling and forecasting foreign exchange rates have been well known since early 1970's . One of the possible explanations for our inability to provide an accurate model is the structural changes over time , especially in emerging markets . The traditional regression techniques that assume constant parameters are incapable of capturing the changing dynamics over time . Consequently , most foreign exchange regression models are ineffective . To better capture fundamental structural changes in a market , a moving block regression technique is recommended by the author . The moving block regression procedure utilizes sub -sample information , rather than the prevailing whole sample data that intends to increase regression efficiency with more observations . To find out the loss or gain of forecast efficiency , a Monte Carlo study is carried out under several different scenarios : data in compliance with the classic OLS assumptions , data with heteroscedasticity , data with autocorrelation , model with a missing variable , model with changing regression coefficients , and data with nonlinear relationships . Simulation results show a trivial loss of out -of -sample forecast efficiency with the moving block regressions and a small trade -off in the presence of minor violations of the assumptions . However , there is a clear dominance of the moving block regressions over the traditional whole sample regressions in terms of forecasting efficiency when the violations of assumptions are serious , such as missing variable , changing coefficients , or nonlinear relations . Then the moving block regressions are applied to exchange rates of six currencies against the U .S . dollar . The comparisons of forecasting residuals , both in -sample and out -of -sample , show a strong support for the moving block techniques , indicating the inevitable violations of regression assumptions in foreign exchange markets . en_US
dc.language.iso en _US en_US
dc.publisher Texas Tech University en_US
dc.subject Foreign exchange rates en_US
dc.subject Economic forecasting en_US
dc.subject Monte Carlo method en_US
dc.subject Regression analysis en_US
dc.title Fundamental structural changes over time and predictability of exchange rates : a Monte Carlo study of time varying regression and applications en_US
dc.type Electronic Dissertation en_US

Citation

Fundamental structural changes over time and predictability of exchange rates: a Monte Carlo study of time varying regression and applications. Doctoral dissertation, Texas Tech University. Available electronically from http : / /hdl .handle .net /2346 /20589 .

Files in this item

Files Size Format View
31295011191821.pdf 16.92Mb application/pdf View/Open

This item appears in the following Collection(s)

Show simple item record

Search DSpace

Advanced Search

Browse