Article1987

A forward looking model of the exchange rate

52 citations0/0 files storedJournal of Applied Econometrics

No readable copy stored yet — this record is metadata only.

Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

Abstract

Abstract This paper outlines a simple framework for testing some of the underlying concepts which form the basis of a number of recent models of exchange rate determination. It estimates a structural exchange rate equation with explicit forward expectations using the Wickens errors‐in‐variables method. The paper finds a strong rejection of the simple open arbitrage model in favour of a more complex model.

Citations in this library

Stored only when both papers are in the corpus — 52 citations exist upstream.

References

1961Rational Expectations and the Theory of Price Movements 1976Expectations and Exchange Rate Dynamics 1958Liquidity Preference as Behavior Towards Risk 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials 1982The Efficient Estimation of Econometric Models with Rational Expectations 1981MONETARY POLICY AND INTERNATIONAL COMPETITIVENESS: THE PROBLEMS OF ADJUSTMENT 1981EXCHANGE RATES AND MONETARY POLICY: MODELLING STERLING'S EFFECTIVE EXCHANGE RATE, 1972–80

Cited by

2008The Undisclosed Renminbi Basket: Are the Markets Telling Us Something about Where the Renminbi–US Dollar Exchange Rate is Going?1995Macroeconomics and a Bit More Reality 2011Credit Growth and Bank Soundness 1985Rational Expectations in an Econometric Model: Niesr Model 8∗1988Supply, Liquidity and Credit: a New Version of the Institute's Domestic Econometric Macromodel 1995Monetary and Asset Market Models for Sterling Exchange Rates: A Cointegration Approach

Imported from OpenAlex (CC0) — nothing here is generated.