Testing the Present‐Value Model of the Exchange Rate with Commodity Currencies

2021 ◽  
Author(s):  
MICHAEL B. DEVEREUX ◽  
GREGOR W. SMITH
Keyword(s):  
Exchange Rate ◽  
Present Value ◽  
Present Value Model ◽  
The Exchange Rate ◽  
Value Model ◽  
Commodity Currencies

scholarly journals Is Exchange Rate Moody? Estimating the Influence of Market Sentiments With Google Trends

2017 ◽  
Vol 2 (1) ◽  
pp. 1-21
Author(s):  
Michał Chojnowski ◽  
Piotr Dybka
Keyword(s):  
Exchange Rate ◽  
Principal Component ◽  
Google Trends ◽  
Vector Autoregressive Model ◽  
Present Value ◽  
Vector Autoregressive ◽  
Present Value Model ◽  
Model Based ◽  
Novel Method ◽  
Value Model

This paper proposes a novel method of exchange rate forecasting. We extend the present value model based on observable fundamentals by including three unobserved fundamentals: credit-market, financial-market, and price-market sentiments. We develop a method of sentiments extraction from Google Trends data on searched queries for different markets. Our method is based on evolutionary algorithms of variable selection and principal component analysis (PCA). Our results show that the extended vector autoregressive model (VAR) which includes markets' sentiment, shows better forecasting capabilities than the model based solely on fundamental variables or the random walk model (naïve forecast).

A look into German housing markets: A bubble call?

2018 ◽  
Vol 21 (4) ◽  
pp. 289-301
Author(s):  
Jan R. Kim ◽  
Gieyoung Lim
Keyword(s):  
Housing Market ◽  
House Prices ◽  
House Price ◽  
Housing Markets ◽  
Present Value ◽  
Present Value Model ◽  
Price Bubbles ◽  
Steep Rise ◽  
Value Model ◽  
German Housing Market

The steep rise in German house prices in recent years raises the question of whether a speculative bubble has already emerged. Using a modified present-value model, we estimate the size of speculative house price bubbles in the German housing market. We do not find evidence for positive bubble accumulation in recent years, and interpret the current bullish run as reflecting the correction of house prices that have been undervalued for more than 10 years. With house prices close to their fair values as of 2018:Q1, our answer to the question is, ‘Not yet, but it is likely soon’.

scholarly journals Break Risk

2020 ◽  
Author(s):  
Simon C Smith ◽  
Allan Timmermann
Keyword(s):  
Stock Returns ◽  
Cross Section ◽  
Prediction Models ◽  
Return Predictability ◽  
Present Value ◽  
New Approach ◽  
Present Value Model ◽  
Out Of Sample ◽  
Rate Processes ◽  
Value Model

Abstract We develop a new approach to modeling and predicting stock returns in the presence of breaks that simultaneously affect a large cross-section of stocks. Exploiting information in the cross-section enables us to detect breaks in return prediction models with little delay and to generate out-of-sample return forecasts that are significantly more accurate than those from existing approaches. To identify the economic sources of breaks, we explore the asset pricing restrictions implied by a present value model which links breaks in return predictability to breaks in the cash flow growth and discount rate processes.

Modeling Stock Prices without Knowing How to Induce Stationarity

1996 ◽  
Vol 12 (4) ◽  
pp. 739-740
Author(s):  
David N. Dejong ◽  
Charles H. Whiteman
Keyword(s):  
Stock Prices ◽  
Present Value ◽  
Posterior Odds ◽  
Knowing How ◽  
Present Value Model ◽  
Two Factors ◽  
Value Model

In “Modeling Stock Prices without Knowing How to Induce Stationarity” (1994, Econometric Theory 10, 701–719), we used posterior-odds calculations to evaluate restrictions imposed by a present-value model of stock prices across the equations of a VAR representation of stock prices and dividends. The results we reported are tainted by the omission of two factors: the Jacobians induced by the mapping of our priors over VAR parameters β into the restricted sample spaces relevant under hypotheses H2-H4 (hence, tainting our calculations of p(Hi|y,X) in (22) for i = 2–4), and an integrating constant needed in calculating the unrestricted probability p(Hi|y,X) in (22). Table 1 reports our revised calculations, which differ substantively from those reported previously.

The present value model and Thailand's current account balance

2012 ◽  
Vol 39 (3) ◽  
pp. 337-355 ◽  
Author(s):  
Ahmad Zubaidi Baharumshah ◽  
Hamizun Bin Ismail
Keyword(s):  
Current Account ◽  
Current Account Balance ◽  
Present Value ◽  
Present Value Model ◽  
Value Model
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