Topics in Time Series Econometrics

汇率是市场经济运行的核心。美元在欧元和日元等货币中的价值不仅对贸易平衡和资本流动很重要，而且对通胀、货币政策、生产和就业也很重要。因此，更好地理解汇率将有助于我们更好地理解对经济福利和经济政策至关重要的变量的行为。汇率随着对未来经济状况的预期而波动。这一点被“现值模型”捕捉到了。在这种模型中，预期被折现回现在，对遥远未来经济事件的预期对当前汇率的影响小于对近期发生事件的预期。然而，很难在汇率和被认为能很好地反映预期经济状况的可观察基本面之间建立强有力的统计联系。的确，汇率的变化很难预测。就这样的变化可以与基本面因素(如美国和国外的利率差异)联系起来而言，这种联系似乎是违反直觉的，很难合理化。这项研究开发并应用了适合于解释汇率和其他变量的计量经济学结果，这些变量随着对未来经济事件的预期而波动。这项研究提高了我们对汇率和其他假定由现值模型决定的变量的行为进行概率和统计陈述的能力；提高了我们对汇率和其他变量之间关系中某些众所周知的规律的理解，包括汇率和跨国利差之间的关系；并提高了我们对汇率的经济决定因素的理解。这项研究还开发了用于预测的统计和计量工具。预测是科学分析和健全政策设计的核心。这项工作的一个方面是，面板数据对汇率的预测似乎取得了相对较好的经验成功。(在“面板数据”预测中，研究人员试图同时预测几个变量，在这种情况下是几个汇率。)第二个方面是改进对一组相互竞争的模型之间预测能力差异的推断。这方面的研究开发并应用了适用于嵌套模型比较的计量经济学结果。这些结果有助于概率模型的其他用户识别预测的好方法。这些用户不仅包括经济学家，还包括其他科学研究人员和政策制定者。

Exchange rates are central to the functioning of market economies. The value of the U.S. dollar in terms of currencies such as the Euro and the yen is important not only for trade balances and capital flows, but also for inflation, monetary policy, production and employment. Better understanding of exchange rates will thus help us better understand the behavior of variables that are central to economic welfare and economic policy. Exchange rates fluctuate in response to expectations about future economic conditions. This is captured by a "present value model." In such a model, expectations are discounted back to the present, with expectations of economic events in the distant future having less influence on current exchange rates than do expectations of events occurring in the near future. It is difficult, however, to establish strong statistical links between exchange rates and observable fundamentals that are supposed to well reflect prospective economic conditions. Indeed, changes in exchange rates are very difficult to predict. And insofar as such changes can be linked to fundamentals such as the difference between interest rates in the U.S. and abroad, the link seems counterintuitive, and difficult to rationalize. This research develops and applies econometric results that are appropriate for interpreting exchange rates and other variables that fluctuate in response to expectations about future economic events. The research improves our ability to make probabilistic and statistical statements about the behavior of exchange rates and other variables presumed to be determined by a present value model; improves our understanding of certain well known regularities in the relationship between exchange rates and other variables, including the relationship between exchange rates and cross-country interest differentials; and improves our understanding of the economic determinants of exchange rates. This research also develops statistical and econometric tools for forecasting. Prediction is central to scientific analysis and to sound policy design. One aspect of this work is motivated by what seems to be relatively good empirical success of panel data prediction of exchange rates. (In "panel data" prediction, a researcher attempts to simultaneously predict several variables, in this case several exchange rates.) A second aspect is on improved inference about differences in predictive ability across a set of competing models. This aspect of the research develops and applies econometric results applicable to comparison of nested models. These results help other users of probabilistic models identify good ways to predict. Such users include not only economists, but other scientific researchers and policy makers as well.