The Present-Value Model of the Exchange Rate with a Persistently Time-Varying Risk Premium: Evidence from the Dollar-Yen Rate

2020 ◽  
Vol 31 (5) ◽  
pp. 1037-1059 ◽  
Author(s):  
Makoto Shimizu
Keyword(s):  
Exchange Rate ◽  
Risk Premium ◽  
Time Varying ◽  
Present Value ◽  
Present Value Model ◽  
The Exchange Rate ◽  
Value Model

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).

scholarly journals Present value model between prices and dividends with constant and time-varying expected returns: enterprise-level Brazilian stock market evidence from non-stationary panels

2012 ◽  
Vol 9 (4) ◽  
pp. 51-86
Author(s):  
Edward Bernard Bastiaan de Rivera y Rivera ◽  
Diógenes Manoel Leiva Martin ◽  
Emerson Fernandes Marçal ◽  
Leonardo Fernando Cruz Basso
Keyword(s):  
Stock Market ◽  
Expected Returns ◽  
Time Varying ◽  
Present Value ◽  
Present Value Model ◽  
Enterprise Level ◽  
Value Model

The long-run stability of a small, open economy under crawling peg regime

2002 ◽  
Vol 52 (1) ◽  
pp. 57-78
Author(s):  
S. Çiftçioğlu
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Exchange Rate Policy ◽  
Price Stability ◽  
Output Stability ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

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’.

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