دانلود مقاله ISI انگلیسی شماره 45948
عنوان فارسی مقاله

سوئیچینگ رژیم مارکوف با مدل نرخ ارز پولی بنیادی

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
45948 2015 11 صفحه PDF سفارش دهید 6920 کلمه
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Markov regimes switching with monetary fundamental-based exchange rate model
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Asia Pacific Management Review, Volume 20, Issue 2, June 2015, Pages 79–89

کلمات کلیدی
قیمت ارز - مدل مارکوف سوئیچینگ
پیش نمایش مقاله
پیش نمایش مقاله سوئیچینگ رژیم مارکوف با مدل نرخ ارز پولی بنیادی

چکیده انگلیسی

This paper examines whether the exchange rates of the Asia-Pacific countries can be captured by the Markov switching model (MSM). Using data from January 2000 to December 2011, the real interest differential (RID) model is tested first. However, supporting evidence is limited, and results are markedly different across the countries. It is worth noting that the signs on the coefficients for fundamental factors are mostly wrong from the RID model perspective. By using the MSM-RID model, the results identify that two regimes exist and persist, which is consistent with earlier literature indicating that there are complex influences in exchange rate determination. This leads to the conclusion that the results are strongly in favor of a nonlinear relationship between exchange rate volatility and fundamental factors. When the probabilities transition matrixes of MSM are allowed to change [MSM-RID-time varying transition probabilities model (TVTP)], it is found that MSM-RID-TVTP outperforms the MSM-RID model. MSM classifies the currencies regimes and provides information about the change of currency prices in some Asian-Pacific currencies.

خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.