A time series analysis of the Japanese yen
| dc.contributor.advisor | Brown, Bryan W. | |
| dc.creator | Kwon, Jae-Jung | |
| dc.date.accessioned | 2009-06-04T00:14:32Z | |
| dc.date.available | 2009-06-04T00:14:32Z | |
| dc.date.issued | 1988 | |
| dc.description.abstract | This paper sought to address the question as to whether the exchange rate can be forecasted more accurately by a monetary model of exchange rate determination or the random walk in the case of the Japan-U.S. exchange rate. The evidence of Meese and Rogoff (1983) on the out-of-sample forecasting performance of structural exchange rate models in comparison to the random walk model portrays a disappointing picture of structural models. I re-considered the issue for the Japanese yen for a more recent period. Besides out-of-sample evidence, within-sample evidence was also examined. The recent work of Phillips and Perron was employed so as to verify that the exchange rate series is well approximated by a random walk model without drift but with time dependent heteroscedasticity. Having established this benchmark, structural monetary models are constructed to see whether one can obtain better within-sample and/or out-of-sample results. It appeared that the random walk can be beaten. | |
| dc.format.extent | 65 p. | en_US |
| dc.format.mimetype | application/pdf | |
| dc.identifier.callno | Thesis Econ. 1988 Kwon | |
| dc.identifier.citation | Kwon, Jae-Jung. "A time series analysis of the Japanese yen." (1988) Master’s Thesis, Rice University. <a href="https://hdl.handle.net/1911/13295">https://hdl.handle.net/1911/13295</a>. | |
| dc.identifier.uri | https://hdl.handle.net/1911/13295 | |
| dc.language.iso | eng | |
| dc.rights | Copyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder. | |
| dc.subject | Economics | |
| dc.subject | Finance | |
| dc.title | A time series analysis of the Japanese yen | |
| dc.type | Thesis | |
| dc.type.material | Text | |
| thesis.degree.department | Economics | |
| thesis.degree.discipline | Social Sciences | |
| thesis.degree.grantor | Rice University | |
| thesis.degree.level | Masters | |
| thesis.degree.name | Master of Arts |
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