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11 results on '"Dueker, Michael"'

5. Can Markov switching models predict excess foreign exchange returns?

Author

Dueker, Michael and Neely, Christopher J.

Subjects
Foreign exchange -- Analysis, Foreign exchange -- Models, Banking, finance and accounting industries, Business
Abstract

To link to full-text access for this article, visit this link: http://dx.doi.org/10.1016/j.jbankfin.2006.03.002 Byline: Michael Dueker, Christopher J. Neely Keywords: Technical trading rules; Markov switching; Exchange rates; Excess returns; Predictability Abstract: This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of-sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample. A portfolio of Markov and standard technical rules outperforms either set individually, on a risk-adjusted basis. The Markov rules' high excess returns contrast with mixed performance on statistical tests of forecast accuracy. There is no clear source for the trends, but permitting the mean to depend on higher moments of the exchange rate distribution modestly increases returns. Author Affiliation: Research Department, Federal Reserve Bank of St. Louis, Federal Reserve System, P.O. Box 442, St. Louis, MO 63166, United States Article History: Received 28 August 2004; Accepted 24 March 2006

Published
2007

6. Inflation targeting in a small open economy: empirical results for Switzerland

Author

Dueker, Michael and Fischer, Andreas M.

Subjects
Switzerland -- Economic aspects, Inflation (Finance) -- Research, Markov processes -- Usage, Banking, finance and accounting industries, Economics
Abstract

McCallum's (1987) nominal targeting rule is extended to a small open economy by allowing feedback from the exchange rate. A Markov switching model is used to estimate the parameters. It is claimed that a model of discrete parameter changes should be skillful in capturing sudden changes in policy regime. The Swiss monetary policy is examined by analyzing the legitimacy of an inflation targeting rule with exchange-rate feedback.

Published
1996

9. Aggregate price shocks and financial stability: the United Kingdom 1796-1999

Author

Bordo, Michael D., Wheelock, David C., and Dueker, Michael J.

Subjects
Financial services industry -- Forecasts and trends, Market trend/market analysis, Financial services industry, Economics, History
Abstract

The aggregate price shocks on financial stability in the United Kingdom are investigated. The nature and impact of these price shocks depended upon the existing monetary and financial regime.

Published
2003

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