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Keywords:Random walks (Mathematics) 

Report
Short-term speculators and the origins of near-random walk exchange rate behavior

Research Paper , Paper 9221

Working Paper
Trends and random walks in macroeconomic time series: a re-examination

Working Paper Series / Economic Activity Section , Paper 105

Discussion Paper
Deviations from random-walk behavior: tests based on the variance-time function

Special Studies Papers , Paper 224

Working Paper
Why random walk models of the term structure are hard to reject

Finance and Economics Discussion Series , Paper 1

Working Paper
Random walks versus fractional integration: power comparisons of scalar and joint tests of the variance-time function

Finance and Economics Discussion Series , Paper 41

Working Paper
The algebra of I (1)

Finance and Economics Discussion Series , Paper 45

Working Paper
On the use of variance ratios in the analysis of nonstationary time series

Finance and Economics Discussion Series , Paper 89-97

Report
Short-term speculators and the origins of near-random-walk exchange rate behavior

This paper suggests that normal speculative activity could be a source of random-walk exchange rate behavior. Using a noise trader model to analyze very short-term exchange rate behavior, it shows that rational, risk-averse speculators will smooth the impact of shocks to exchange rate fundamentals. With sufficient speculative activity, an exchange rate could become statistically indistinguishable from a random walk, regardless of the generating processes of its fundamental determinants. ; This result may help resolve the apparent inconsistency between the observed behavior of floating ...
Staff Reports , Paper 3

Working Paper
Can long-horizon forecasts beat the random walk under the Engel-West explanation?

Engel and West (EW, 2005) argue that as the discount factor gets closer to one, present-value asset pricing models place greater weight on future fundamentals. Consequently, current fundamentals have very weak forecasting power and exchange rates appear to follow approximately a random walk. We connect the Engel-West explanation to the studies of exchange rates with long-horizon regressions. We find that under EW's assumption that fundamentals are I(1) and observable to the econometrician, long-horizon regressions generally do not have significant forecasting power. However, when EW's ...
Globalization Institute Working Papers , Paper 36

Working Paper
Measuring business cycle features

Since the extensive work by Burns and Mitchell (1947), many economists have interpreted economic fluctuations in terms of business cycle phases. Given this, we argue that in addition to usual model selection criteria currently used in the profession, the adequacy of a univariate macroeconomic time series model should be based on its ability to replicate two most important business cycle features of the U.S. data--duration and amplitude. We propose a number of checks for whether univariate statistical models generate business cycle features observed in US GDP and find that many popular ...
Research Working Paper , Paper 95-10

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