Markov switching cointegration approach to modeling target zone behavior of the exchange rates with an application to FF/DM exchange rate
Döviz kurlarının band içindeki hareketinin analizine Markov değişim gösteren koentegrasyon yaklaşımı ve Fransız frangı/Alman markı kuruna uygulanması
- Tez No: 82215
- Danışmanlar: PROF. DR. HALUK ERLAT
- Tez Türü: Doktora
- Konular: Ekonomi, Economics
- Anahtar Kelimeler: Döviz kuru, Eşbütünleşme, Markov zinciri, Exchange rate, Cointegration, Markov chain
- Yıl: 1999
- Dil: İngilizce
- Üniversite: Orta Doğu Teknik Üniversitesi
- Enstitü: Sosyal Bilimler Enstitüsü
- Ana Bilim Dalı: Ekonomi Ana Bilim Dalı
- Bilim Dalı: Belirtilmemiş.
- Sayfa Sayısı: Belirtilmemiş.
Özet
In the described framework Markov switching cointegration approach is proposed as the appropriate method for analyzing the target zone exchange rates. The maximum likelihood estimators of the parameters of a cointegrated first order vector autoregressive process with Markov switching in all parameters are derived. Estimation is through the EM algorithm and the state dependent cointegration rank is tested by Johansen's (1988) trace statistic. As an application of the approach to the target zone exchange rates, a small country monetary model solution of the exchange rate is estimated for the FF/DM exchange rate over March 1980-July 1993. While the signs and the magnitudes of the first cointegration relation is economically plausible for an exchange rate equation, the adjustment coefficient of the exchange rate to this relation displays differences between the states. In comparison to the constant parameter model, the model selection criteria favor the Markov switching cointegration model. IV
Özet (Çeviri)
ABSTRACT MARKOV SWITCHING COINTEGRATION APPROACH TO MODELING TARGET ZONE BEHAVIOR OF THE EXCHANGE RATES WITH AN APPLICATION TO FF/DM EXCHANGE RATE Gürgenci, Zerrin Ph. D., Department of Economics Supervisor: Prof. Dr. Haluk Erlat July, 1999, 147 pages Existence of more than one regime is the natural characteristic of the target zones. Regime switching might take several forms such as interventions, realignments or once and for all abolition of the band. In such an environment, the agents' expectations about the regime changes have crucial impact on the exchange rate. Under rational expectations, the spot rate is a function of both the current and expected future fundamentals. Thus, a positive probability of a regime change in near future induces changes in the parameters of the long run relationship of the exchange rate even when each regime has its own linear equilibrium path. Ill
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