東華大學圖書館 |

Language: English

Help

回圖書館首頁

手機版館藏查詢

Back

Switch To: Labeled | MARC Mode | ISBD

Essays on International Finance and ...

Kim, Young Ju.

Linked to FindBook

Google Book

Amazon

博客來

Essays on International Finance and Macroeconomics.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on International Finance and Macroeconomics./
Author:	Kim, Young Ju.
Description:	142 p.
Notes:	Source: Dissertation Abstracts International, Volume: 75-04(E), Section: A.
Contained By:	Dissertation Abstracts International75-04A(E).
Subject:	Economics, General. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3607911
ISBN:	9781303656514

Essays on International Finance and Macroeconomics.
Kim, Young Ju.

Essays on International Finance and Macroeconomics. - 142 p.

Source: Dissertation Abstracts International, Volume: 75-04(E), Section: A.

Thesis (Ph.D.)--University of California, Los Angeles, 2014.

This item must not be sold to any third party vendors.

This dissertation consists of two studies on International finance and macroeconomics. Each study addresses different topics. The first study exploits Speculators' positions in futures markets to forecast exchange rates. The forecasting model we propose combines Engel and Hamilton's (1990) point that exchange rates follow long swings with Evans and Lyons' (2004) finding that privately available information about market participants' order flow can predict exchange rates over the short-run. We extract speculators' private information by fitting a microfounded autoregressive Markov regime switching model to the speculators'net positions data in the Commitment-of-Traders report and forecasting the speculators' mode of accumulation. We then use this predicted mode to form both directional and point exchange rate forecasts for the six most traded currency pairs. Over forecasting horizons ranging from 6 to 12 months, we evaluate the performance of our forecasts vis-a-vis the random walk. The results indicate that our forecasts are significantly better than those from random walk models for most currencies, except the Swiss Franc.

ISBN: 9781303656514Subjects--Topical Terms:

1017424
Economics, General.

Essays on International Finance and Macroeconomics.
LDR:03029nmm a2200313 4500 001 2056984
005 20150630121433.5
008 170521s2014 ||||||||||||||||| ||eng d
020 $a 9781303656514
035 $a (MiAaPQ)AAI3607911
035 $a AAI3607911
040 $a MiAaPQ $c MiAaPQ
100 1 $a Kim, Young Ju. $3 1270709
245 1 0 $a Essays on International Finance and Macroeconomics.
300 $a 142 p.
500 $a Source: Dissertation Abstracts International, Volume: 75-04(E), Section: A.
500 $a Advisers: Jinyong Hahn; Aaron Tornell.
502 $a Thesis (Ph.D.)--University of California, Los Angeles, 2014.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a This dissertation consists of two studies on International finance and macroeconomics. Each study addresses different topics. The first study exploits Speculators' positions in futures markets to forecast exchange rates. The forecasting model we propose combines Engel and Hamilton's (1990) point that exchange rates follow long swings with Evans and Lyons' (2004) finding that privately available information about market participants' order flow can predict exchange rates over the short-run. We extract speculators' private information by fitting a microfounded autoregressive Markov regime switching model to the speculators'net positions data in the Commitment-of-Traders report and forecasting the speculators' mode of accumulation. We then use this predicted mode to form both directional and point exchange rate forecasts for the six most traded currency pairs. Over forecasting horizons ranging from 6 to 12 months, we evaluate the performance of our forecasts vis-a-vis the random walk. The results indicate that our forecasts are significantly better than those from random walk models for most currencies, except the Swiss Franc.
520 $a The second study investigates on the sources of macroeconomic fluctuations in emerging economies. I compare the performance of the Aguiar and Gopinath (2007) model with that of the encompassing model which combines shocks to trend growth with interest rate shocks and financial frictions. Exploiting the recent developments in the theory and implementation of Bayesian methods, I estimate two models using Korea's data over the same sample period as in Aguiar and Gopinath (2007), and Chang and Fernandez (2010). In addition, I explore the role of the transitional dynamics in the estimation results. My findings are contrary to those from existing studies. The magnitude of permanent shocks is much larger than that of transitory shocks and the frictionless stochastic trend model delivers closer a match to the moments calculated from the data.
590 $a School code: 0031.
650 4 $a Economics, General. $3 1017424
650 4 $a Economics, Theory. $3 1017575
690 $a 0501
690 $a 0511
710 2 $a University of California, Los Angeles. $b Economics 0246. $3 2093761
773 0 $t Dissertation Abstracts International $g 75-04A(E).
790 $a 0031
791 $a Ph.D.
792 $a 2014
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3607911