| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP4946 |
| DP4946 Demand for Education and Labour Market Outcomes: Lessons from the Abolition of Compulsory Conscription in France | |
| Eric Maurin; Theodora Xenogiani | |
| 发表日期 | 2005-03-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | In this paper we develop a multivariate threshold vector error correction model of spot and forward exchange rates that allows for different forms of equilibrium reversion in each of the cointegrating residual series. By introducing the notion of an indicator matrix to differentiate between the various regimes in the set of nonlinear processes we provide a convenient framework for estimation by OLS. Empirically, out-of sample forecasting exercises demonstrate its superiority over a linear VECM, while being unable to out-predict a (driftless) random walk model. As such we provide empirical evidence against the findings of Clarida and Taylor (1997). |
| 主题 | Financial Economics |
| 关键词 | Multivariate threshold cointegration Tar models Foreign exchange |
| URL | https://cepr.org/publications/dp4946 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533845 |
| 推荐引用方式 GB/T 7714 | Eric Maurin,Theodora Xenogiani. DP4946 Demand for Education and Labour Market Outcomes: Lessons from the Abolition of Compulsory Conscription in France. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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