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dc.contributor.advisor任宇
dc.contributor.author张翔宇
dc.date.accessioned2018-12-05T01:43:31Z
dc.date.available2018-12-05T01:43:31Z
dc.date.issued2017-11-02
dc.identifier.urihttps://dspace.xmu.edu.cn/handle/2288/170237
dc.description.abstract本文利用来自经济合作与发展组织中18个国家和地区的宏观面板数据集对不同设定的货币汇率模型的样本外预测能力进行了重新检验。针对过往文献中的不足,本研究构建含多因子残差结构的异质面板计量模型,以控制横截面相关性、个体异质性和遗漏变量偏误及其引起的内生性问题,并选取合适的研究样本,从而提升实证结果的可靠性并提高货币模型预测变量的样本外预测能力。本研究针对不同的货币汇率模型设定、在不同的预测期间、采用不同的预测评价标准、分别在全部样本和不同的分组子样本上对不同计量模型的预测表现进行检验和对比,充分说明了本文所使用的计量模型的优越性。 本文的实证研究结果表明:在能够对相对货币供给量和相对实际产出作出准...
dc.description.abstractThis paper re-assesses the out-of-sample forecasting performance of the monetary exchange rate model with different specifications on a panel of 18 OECD countries. In view of the deficiencies in the past literature, we build the heterogeneous panel models with multifactor error structures which allow for analysis of heterogeneous panels subject to cross-sectional dependence and missing variable bi...
dc.language.isozh_CN
dc.relation.urihttps://catalog.xmu.edu.cn/opac/openlink.php?strText=57026&doctype=ALL&strSearchType=callno
dc.source.urihttps://etd.xmu.edu.cn/detail.asp?serial=62201
dc.subject汇率预测
dc.subject横截面相关性
dc.subject异质面板模型
dc.subjectExchange Rate Prediction
dc.subjectCross-sectional Dependence
dc.subjectHeterogeneous Panel Model
dc.title汇率的可预测性:基于含多因子残差结构的异质面板模型的新检验
dc.title.alternativeExchange Rate Predictability: A New Test Based on Heterogeneous Panels with Multifactor Error Structures
dc.typethesis
dc.date.replied2017-04-28
dc.description.note学位:经济学硕士
dc.description.note院系专业:王亚南经济研究院_数量经济学
dc.description.note学号:27720141152761


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