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Full-Text Articles in Business
Modelling And Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach, Aijun Hou, Sandy Suardi
Modelling And Forecasting Short-Term Interest Rate Volatility: A Semiparametric Approach, Aijun Hou, Sandy Suardi
Sandy Suardi
This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast …
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Dynamic Effects Of Trade And Output Volatility On The Trade-Growth Nexus: Evidence From Singapore, Renuka Mahadevan, Sandy Suardi
Sandy Suardi
Purpose - This paper seeks to revisit the highly debated trade‐growth hypothesis by considering the effects of trade and output volatility on the relationship between trade and economic growth. Design/methodology/approach - The relationship is modeled by testing for the existence of output and trade (export and imports separately) using the conditional variances of the variables and then specifying an autoregressive conditional heteroskedastic (ARCH) process in a vector error correction model. Findings - Using Singapore as a case study, the paper finds the two‐way relationship between export growth and trade‐adjusted GDP growth is robust even after controlling for the effects of …
Central Bank Intervention, Threshold Effects And Asymmetric Volatility: Evidence From The Japanese Yen-Us Dollar Foreign Exchange Market, Sandy Suardi
Sandy Suardi
Recent empirical evidence of nonlinearities in the time series behaviour of exchange rates suggests that a linear model of the exchange rate may yield invalid inference when used to assess the effectiveness of central bank intervention. Using a double threshold GARCH model of the Japanese yen-US dollar exchange rates, we find that interventions by the Bank of Japan and the Federal Reserve are more effective in changing the direction of the exchange rate movements and reducing its volatility level in a regime when the exchange rates are severely misaligned. There is also evidence in such a regime for a negative …
Macroeconomic Volatility, Trade And Financial Liberalization In Africa, Abdullahi Ahmed, Sandy Suardi
Macroeconomic Volatility, Trade And Financial Liberalization In Africa, Abdullahi Ahmed, Sandy Suardi
Sandy Suardi
This paper examines the effects of financial and trade liberalization on growth volatility of real output and consumption in Africa. Our results suggest trade liberalization is associated with greater output and consumption growth volatility while financial liberalization increases the efficacy of consumption smoothing and stabilizes income and consumption growth. In addition, we find financial market depth and institutional quality operate jointly with trade and financial openness to reduce volatility in output and consumption growth. There is also evidence that good institutions which foster low inflation levels and volatility promote consumption and output growth stability.
A Nonparametric Garch Model Of Crude Oil Price Return Volatility, Aijun Hou, Sandy Suardi
A Nonparametric Garch Model Of Crude Oil Price Return Volatility, Aijun Hou, Sandy Suardi
Sandy Suardi
The use of parametric GARCH models to characterise crude oil price volatility is widely observed in the empirical literature. In this paper, we consider an alternative approach involving nonparametric method to model and forecast oil price return volatility. Focusing on two crude oil markets, Brent and West Texas Intermediate (WTI), we show that the out-of-sample volatility forecast of the nonparametric GARCH model yields superior performance relative to an extensive class of parametric GARCH models. These results are supported by the use of robust loss functions and the Hansen's (2005) superior predictive ability test. The improvement in forecasting accuracy of oil …