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An Investigation Into Exchange Rate Dynamics, Adjustment Mechanisms and Monetary Policy.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	An Investigation Into Exchange Rate Dynamics, Adjustment Mechanisms and Monetary Policy./
作者:	Erem, Emmanuel.
面頁冊數:	1 online resource (201 pages)
附註:	Source: Dissertations Abstracts International, Volume: 84-06, Section: A.
Contained By:	Dissertations Abstracts International84-06A.
標題:	Neural networks. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30167718click for full text (PQDT)
ISBN:	9798358423107

An Investigation Into Exchange Rate Dynamics, Adjustment Mechanisms and Monetary Policy.
Erem, Emmanuel.

An Investigation Into Exchange Rate Dynamics, Adjustment Mechanisms and Monetary Policy. - 1 online resource (201 pages)

Source: Dissertations Abstracts International, Volume: 84-06, Section: A.

Thesis (Ph.D.)--National University of Ireland, Maynooth (Ireland), 2022.

Includes bibliographical references

Chapter 1 uses monthly frequency data to recover the preferred anchor currencies for a global set of currencies. For a smaller sample of currencies, the Chapter uses a Markov-switching process to examine how exchange rates evolve over time. The anchor currency regressions reveal that there is a strong preference for the USD and EUR, with the EUR dominant in Western Europe and the USD dominant in the rest of the world. The GBP and JPY still form part of the anchor currency basket, but their significance seems to have declined over time. There is also evidence of 1:1 parity for some currencies, especially with the USD. The Markovswitching results indicate that the model is able to decompose the currency behaviour of eight currencies into appreciating and depreciating regimes and identify the key turning points in the exchange rate series, especially the 2008/2009 crisis period. However, the Markov model was not able to capture the Engel and Hamilton (1990) long swings phenomenon, except for the Swiss Franc.Chapter 2, still using monthly frequency data, investigates the extent to which there was currency value parity right before the introduction of the Euro. By testing for the existence of Purchasing Power Parity (PPP) using the French Franc and Deutsche Mark as reference currencies, and using data on the real exchange rate, nominal exchange rate and price differential, the results reveal that, to a greater extent, there was indeed currency value convergence for some countries. The weak-form test (a co-integration test) for PPP reveals that the long-run speeds of adjustment for all currencies in the sample are less than 1% per month and that deviations from PPP may be permanent too.Chapter 3 attempts to examine the transmission mechanism/channels of the European Central Bank (ECB) Unconventional Monetary Policy (UMP), both domestic and international spillover effects by employing a Global Vector Autoregressive (GVAR) model. Generally, ECB UMP effects show encouraging and positive responses from economies within the Euro Area region while international spill-over effects are mixed, probably due to the varying nature of the monetary policy regimes deployed in the different countries, especially the emerging economies.Chapter 4 uses the science of a single hidden layer perceptron Artificial Neural Network (ANN) structure to forecast daily, weekly and monthly exchange rate data on CHF/EUR, GBP/EUR and USD/EUR. The results show good accuracy of the model as evidenced by the low Mean Absolute Error (MAE) and Root Mean Square Error (RMSE), especially for the daily frequency data. Furthermore, the ANN performs best in out-of-sample predictions for the CHF/EUR currency pair for daily and weekly predictions, and best for the GBP/EUR pair when it comes to monthly frequency data. The USD/EUR pair proves more difficult to model, performing worst, especially in the validation period. The non-linear nature of the ANN model goes a long way in learning and capturing complex movements in the exchange rates.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9798358423107Subjects--Topical Terms:

677449
Neural networks.
Index Terms--Genre/Form:

542853
Electronic books.

An Investigation Into Exchange Rate Dynamics, Adjustment Mechanisms and Monetary Policy.
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500 $a Source: Dissertations Abstracts International, Volume: 84-06, Section: A.
500 $a Advisor: Connor, Gregory.
502 $a Thesis (Ph.D.)--National University of Ireland, Maynooth (Ireland), 2022.
504 $a Includes bibliographical references
520 $a Chapter 1 uses monthly frequency data to recover the preferred anchor currencies for a global set of currencies. For a smaller sample of currencies, the Chapter uses a Markov-switching process to examine how exchange rates evolve over time. The anchor currency regressions reveal that there is a strong preference for the USD and EUR, with the EUR dominant in Western Europe and the USD dominant in the rest of the world. The GBP and JPY still form part of the anchor currency basket, but their significance seems to have declined over time. There is also evidence of 1:1 parity for some currencies, especially with the USD. The Markovswitching results indicate that the model is able to decompose the currency behaviour of eight currencies into appreciating and depreciating regimes and identify the key turning points in the exchange rate series, especially the 2008/2009 crisis period. However, the Markov model was not able to capture the Engel and Hamilton (1990) long swings phenomenon, except for the Swiss Franc.Chapter 2, still using monthly frequency data, investigates the extent to which there was currency value parity right before the introduction of the Euro. By testing for the existence of Purchasing Power Parity (PPP) using the French Franc and Deutsche Mark as reference currencies, and using data on the real exchange rate, nominal exchange rate and price differential, the results reveal that, to a greater extent, there was indeed currency value convergence for some countries. The weak-form test (a co-integration test) for PPP reveals that the long-run speeds of adjustment for all currencies in the sample are less than 1% per month and that deviations from PPP may be permanent too.Chapter 3 attempts to examine the transmission mechanism/channels of the European Central Bank (ECB) Unconventional Monetary Policy (UMP), both domestic and international spillover effects by employing a Global Vector Autoregressive (GVAR) model. Generally, ECB UMP effects show encouraging and positive responses from economies within the Euro Area region while international spill-over effects are mixed, probably due to the varying nature of the monetary policy regimes deployed in the different countries, especially the emerging economies.Chapter 4 uses the science of a single hidden layer perceptron Artificial Neural Network (ANN) structure to forecast daily, weekly and monthly exchange rate data on CHF/EUR, GBP/EUR and USD/EUR. The results show good accuracy of the model as evidenced by the low Mean Absolute Error (MAE) and Root Mean Square Error (RMSE), especially for the daily frequency data. Furthermore, the ANN performs best in out-of-sample predictions for the CHF/EUR currency pair for daily and weekly predictions, and best for the GBP/EUR pair when it comes to monthly frequency data. The USD/EUR pair proves more difficult to model, performing worst, especially in the validation period. The non-linear nature of the ANN model goes a long way in learning and capturing complex movements in the exchange rates.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
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650 4 $a Finance. $3 542899
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773 0 $t Dissertations Abstracts International $g 84-06A.
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=30167718 $z click for full text (PQDT)