IDEAS home Printed from https://ideas.repec.org/a/bla/manch2/v61y1993i3p270-86.html
   My bibliography  Save this article

Modelling the Sterling Effective Exchange Rate Using Expectations and Learning

Author

Abstract

This paper builds on earlier work by Hall (1987) and Currie and Hall (1989) which model the Sterling Effective exchange rate as a structural equation making explicit allowance for the forward-looking nature of the Foreign Exchange markets. This earlier work was based on the assumption of rationality on the part of the agents and the estimation was carried out on the basis of the REH assumption. This paper relaxes the assumption of full information and proposes a learning model of expectations formation. It then develops a stochastic parameter model of expectations formation and discusses how such a model may be estimated by using a Kalman Filter. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Hall, S G, 1993. "Modelling the Sterling Effective Exchange Rate Using Expectations and Learning," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(3), pages 270-286, September.
    • Handle: RePEc:bla:manch2:v:61:y:1993:i:3:p:270-86
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nicholas Sarantis & Chris Stewart, 2000. "The ERM Effect, Conflict and Inflation in the European Union," International Review of Applied Economics, Taylor & Francis Journals, vol. 14(1), pages 25-43.
    2. Sarantis, Nicholas, 2006. "Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1168-1186, November.
    3. Parise, Gerald F., 1994. "Permanent income hypothesis and the cost of adjustment," ISU General Staff Papers 1994010108000012303, Iowa State University, Department of Economics.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:manch2:v:61:y:1993:i:3:p:270-86. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/semanuk.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.