Open AccessPosted Content
Tests of Monetary and Portfolio Balance Models of Exchange Rate Determination
Jeffrey A. Frankel
- pp 239-260
Reads0
Chats0
About:
The article was published on 1984-01-01 and is currently open access. It has received 68 citations till now. The article focuses on the topics: Balance (accounting) & Exchange rate.read more
Citations
More filters
Book ChapterDOI
Monetary and Portfolio-Balance Models of Exchange Rate Determination
TL;DR: A survey of empirical models of the 1970s, published in Economic Interdependence and Flexible Exchange Rates, edited by J. Bhandari (M.I.T. Press: Cambridge), in 1983, is here supplemented with a brief epilogue to update the literature to 1987 as mentioned in this paper.
Journal ArticleDOI
Banking on currency forecasts: How predictable is change in money?
Menzie D. Chinn,Richard Meese +1 more
TL;DR: This article examined the predictive performance of four structural exchange rate models using both parametric and nonparametric techniques and found that error correction terms can explain exchange rate movements significantly better than a no change forecast for a subset of the models and currencies.
Journal ArticleDOI
Currency Fluctuations in the Post-Bretton Woods Era
TL;DR: The authors showed that even after-the-fact forecasts that use actual values (instead of forecasted values) of the explanatory variables cannot explain major currency movements over the post-Bretton Woods era.
Journal ArticleDOI
Perspectives on the recent currency crisis literature
Robert P. Flood,Nancy P. Marion +1 more
TL;DR: In this paper, the authors used the Generalised Johansen-Ledoit-Sornette (GJLS) model to diagnose the size of rational speculative bubble in Hong Kong stock market during global economic crisis 2008.
Journal ArticleDOI
Multi-country evidence on the behavior of purchasing power parity under the current float
TL;DR: This article showed that the real exchange rates of these countries can be characterized as mean-reverting, implying a close to one-to-one relation between average rates of growth of nominal exchange rates and average inflation differentials.
Related Papers (5)
Empirical exchange rate models of the seventies: Do they fit out of sample?
Richard Meese,Kenneth Rogoff +1 more