Journal ArticleDOI
Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff
Reads0
Chats0
TLDR
In this paper, various popular exchange rate models (a standard monetary model, a portfolio balance model, and sticky price model) are estimated and evaluated using U.S.-Canadian data for the 1970s.Abstract:
Various popular exchange rate models (a standard monetary model, a portfolio balance model, and sticky-price models) are estimated and evaluated using U.S.-Canadian data for the 1970s. Nonnested hypothesis tests demonstrate that none are correctly specified. The data suggest: 1) the exchange rate persistence observed is not fully explained by any of the models; 2) the small Durbin-Watson statistics indicate longer lags are required; 3) the current account is a useful explanatory variable; 4) the portfolio balance model fits the data well, but has potentially serious problems measuring the stock of foreign assets.(This abstract was borrowed from another version of this item.)read more
Citations
More filters
Book
The Economics of Exchange Rates
TL;DR: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination as mentioned in this paper. But, while our understanding of exchange rates has significantly improved, a few challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises.
Posted Content
The Economics of Exchange Rates
Lucio Sarno,Mark P. Taylor +1 more
TL;DR: In the last few decades exchange rate economics has seen a number of developments, with substantial contributions to both the theory and empirics of exchange rate determination as mentioned in this paper. But, while our understanding of exchange rates has significantly improved, a few challenges and open questions remain in the exchange rate debate, enhanced by events including the launch of the Euro and the large number of recent currency crises.
The economics of exchange rates
TL;DR: In this article, the authors present an overview of the literature in 5 key areas of the economics of exchange rates: exchange rate regimes issues; purchasing power parity and the PPP puzzle; nominal exchange modelling; real exchange rate modelling; the new open economy macroeconomics and exchange rate behaviour; the economic of fixed exchange rates; speculative attack models and the target zone literature.
Book ChapterDOI
Chapter 33 Empirical research on nominal exchange rates
TL;DR: In this article, the authors present a critical survey and an interpretation of recent exchange rate research, focusing on empirical results for exchange rates among major industrialized countries and examining the issue of speculative bubbles.
Journal ArticleDOI
Oil prices and the rise and fall of the us real exchange rate
TL;DR: The authors found that a stable link exists between oil price shocks and the US real effective exchange rate over the post-Bretton Woods period, suggesting that oil prices may have been the dominant source of persistent real exchange rate shocks.
References
More filters
Journal ArticleDOI
Specification Tests in Econometrics
TL;DR: In this article, the null hypothesis of no misspecification was used to show that an asymptotically efficient estimator must have zero covariance with its difference from a consistent but asymptonically inefficient estimator, and specification tests for a number of model specifications in econometrics.
Journal ArticleDOI
Likelihood ratio statistics for autoregressive time series with a unit root
David A. Dickey,Wayne A. Fuller +1 more
Journal ArticleDOI
Expectations and Exchange Rate Dynamics
TL;DR: In this paper, the authors developed a theory of exchange rate movements under perfect capital mobility, a slow adjustment of goods markets relative to asset markets, and consistent expectations, and showed that along that path a monetary expansion causes the exchange rate to depreciate.
Journal ArticleDOI
Several tests for model specification in the presence of alternative hypotheses
TL;DR: In this paper, several procedures are proposed for testing the specification of an econometric model in the presence of one or more other models which purport to explain the same phenomenon.
Related Papers (5)
Empirical exchange rate models of the seventies: Do they fit out of sample?
Richard Meese,Kenneth Rogoff +1 more