Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
Опубликовано на портале: 01-07-2004
Review of Economics and Statistics.
1990.
Vol. 72.
No. 3.
P. 498-506.
A multivariate time series model with time varying conditional variances and covariances
but with constant conditional correlations is proposed. In a multivariate regression
framework, the model is readily interpreted as an extension of the seemingly unrelated
regression (SUR) model allowing for heteroskedasticity. Each of the conditional variances
are parameterized as a univariate generalized autoregressive conditional heteroskedastic
(GARCH) process. The descriptive validity of the model is illustrated for a set of
5 nominal European-US dollar exchange rates following the inception of the European
Monetary System (EMS). EMS results are compared to estimates obtained for the same
model using data over the pre-EMS period, July 1973 to March 1979. When compared
to the pre-EMS free float period, the comovements between the currencies are found
to be significantly higher over the later period.
Ключевые слова
comparative studies economic model economic statistics foreign exchange rate monetary policy monetary system monetary theory multivariate analysis regression analysis research валютный курс кредитно-денежная политика регрессионный анализ теория денег финансовая система экономическая модель
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