Browsing by Author "McNelis, Paul D."

Now showing 1 - 4 of 4
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    A Dynamic Simulation Analysis of Currency Substitution in a Optimizing Framework with Transactions Costs
    (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 1992) McNelis, Paul D.; Asili, Carlos
    A Dynamic Simulation Analysis of Currency Substitution in a Optimizing Framework with Transactions Costs
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    Excess Returns and Systemic Risk for Chile and Mexico
    (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2000) Lim, Guay C.; McNelis, Paul D.
    This paper is concerned with excess returns in the equity markets and the evolution of systemic risk in Chile and Mexico during the years 1989-1998, a period of financial openness, policy reform and crisis. A time varying generalised autoregressive conditional heteroscedastic in mean framework is used to estimate progressively more complex models of risk. They include the univariate own volatily model, the bivariate market pricing model, and the trivariate intertemporal asset pricing model. The results show no evidence of a significant reduction in systemic risk rather excess returns have remained volatile for both countries. For Chile, excess returns are significantly related to own lagged levels, while for Mexico excess are significantly related to own lagged variances. The influence of global factors are relatively minimal compared to potential home factors
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    Indexing Policy in Historical and Doctrinal Perspective: A Survey of Recent Experience and Theoretical Development
    (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 1987) McNelis, Paul D.
    Indexing Policy in Historical and Doctrinal Perspective: A Survey of Recent Experience and Theoretical Development
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    Money Demand and Seigniorage-maximizing Inflation in Latin America: Approximation, Learning, and Estimation with Neural Networks
    (ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 1998) McNelis, Paul D.
    This paper examines money demand and the seigniorage-maximizing inflation rates in Chile, Colombia, Mexico, and Peru with error-correction models (ECM) and artificial neural network (ANN) methods. The purpose is to approximate more accurately the "true" underlying non-linear functional forms for the long-run equilibrium demand for money, to estimate the learning process in short-run monthly adjustment of money stocks, and to obtain better estimates of the seigniorage-maximizing rates of inflation in a region characterized by macroeconomic instability. Unlike most previous studies, this paper explicitly incorporates parallel-market exchange-rate uncertainty in the short-run demand for money. The ANN model shows that there are various degrees of non-linearity in the long-run demand for money, with Chile ranking highest. However, all of the countries examined showed that a relatively simple ANN model outperformed the ECM for the error-correction or learning process in the short-run demand for money. In one case, Peru, the ANN more than doubled the explanatory power of the linear ECM. The ANN approach also shows that uncertainty plays the dominant role in short-run money demand, and that the seigniorage-maximizing inflation rates are much lower that the predictions of previous studies.