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Exchange rate determination...
This book has two aims. The first is to investigate the causes of the bad performance of many exchange rate models. It is concluded that probably the models' bad performance is due to the use of semi-reduced form relations in almost all studies on exchange rate determination and to an inappropriate approximation of expectations. Three criteria for approximating expectations are introduced. It is concluded that the rolling regressions technique and multi-state Kalman filters are correct procedures for approximating expectations formation. A structural model of exchange rate determination is developed in which exchange rate expectations are approximated by rolling regressions. It is shown how demand functions determine the explanatory power of the exchange rate or interest rate derived by means of this method. It appears that the derived exchange rate tracks its historical values very well. The second aim of the book is to determine a small industrial country's optimal exchange rate regime. This is related to the recent proposals for a European Monetary Union. Optimal control experiments are used to determine the optimal wag to peg a small European country's currency to the Deutsche Mark
Monografía
monografia Rebiun37254331 https://catalogo.rebiun.org/rebiun/record/Rebiun37254331 m o d cr bn||||||abp cr bn||||||ada 110315s1991 gw a ob 001 0 eng d 91013605 654136625 1001480445 1280747450 9783642516689 electronic bk.) 3642516688 electronic bk.) 3540540210 acid-free paper ;) Springer-Verlag Berlin Heidelberg New York) 9783540540212 acid-free paper ;) Springer-Verlag Berlin Heidelberg New York) 0387540210 acid-free paper ;) Springer-Verlag New York Berlin Heidelberg) 9780387540214 acid-free paper ;) Springer-Verlag New York Berlin Heidelberg) AU@ 000057643302 NZ1 15752022 AU@ 000074439914 OCLCE eng pn OCLCE OCLCQ OCLCF GW5XE OCLCQ UAB OCLCQ AU@ OCLCO OCLCA OCLCQ YDX OCLCQ INARC OCLCO OCLCQ OCLCO OCLCL OCLCQ dlr 332.4/5/015118 20 83.44 bcl Jong, Eelke de 1955-) https://id.oclc.org/worldcat/entity/E39PCjvkQgfbvR877CyXpttjbq Exchange rate determination and optimal economic policy under various exchange rate regimes Eelke de Jong Berlin New York Springer Verlag 1991 Berlin New York Berlin New York Springer Verlag 1 online resource (vi, 270 pages) illustrations 1 online resource (vi, 270 pages) Text txt rdacontent computer c rdamedia online resource cr rdacarrier Lecture notes in economics and mathematical systems 359 Includes bibliographical references (pages 249-265) and index Use copy. Restrictions unspecified star. MiAaHDL This book has two aims. The first is to investigate the causes of the bad performance of many exchange rate models. It is concluded that probably the models' bad performance is due to the use of semi-reduced form relations in almost all studies on exchange rate determination and to an inappropriate approximation of expectations. Three criteria for approximating expectations are introduced. It is concluded that the rolling regressions technique and multi-state Kalman filters are correct procedures for approximating expectations formation. A structural model of exchange rate determination is developed in which exchange rate expectations are approximated by rolling regressions. It is shown how demand functions determine the explanatory power of the exchange rate or interest rate derived by means of this method. It appears that the derived exchange rate tracks its historical values very well. The second aim of the book is to determine a small industrial country's optimal exchange rate regime. This is related to the recent proposals for a European Monetary Union. Optimal control experiments are used to determine the optimal wag to peg a small European country's currency to the Deutsche Mark Electronic reproduction. [Place of publication not identified] HathiTrust Digital Library 2011. MiAaHDL Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL digitized 2011 HathiTrust Digital Library committed to preserve pda MiAaHDL Foreign exchange- Mathematical models Change- Modèles mathématiques Foreign exchange- Mathematical models. Modell. Wechselkursänderung. Wisselkoersen. Financiële politiek. Print version Jong, Eelke de, 1955-. Exchange rate determination and optimal economic policy under various exchange rate regimes. Berlin ; New York : Springer Verlag, 1991 (DLC) 91013605 (OCoLC)23463053 Lecture notes in economics and mathematical systems 359