Structural models of exchange rate determination
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
- Engle, Robert F & Ito, Takatoshi & Lin, Wen-Ling, 1990.
"Meteor Showers or Heat Waves? Heteroskedastic Intra-daily Volatility in the Foreign Exchange Market,"
Econometrica, Econometric Society, vol. 58(3), pages 525-542, May.
- Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
- Engel, R.F. & Ito, T. & Lin, W-L., 1988. "Meteor Showers Or Heat Wages? Heteroskedastic Intra-Daily Volatility In A The Foreign Exchange Market," Papers 246, Minnesota - Center for Economic Research.
- Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 655-664, November.
- Robert E. Cumby & Maurice Obstfeld, 1984.
"International Interest Rate and Price Level Linkages under Flexible Exchange Rates: A Review of Recent Evidence,"
NBER Chapters, in: Exchange Rate Theory and Practice, pages 121-152,
National Bureau of Economic Research, Inc.
- Robert E. Cumby & Maurice Obstfeld, 1982. "International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence," NBER Working Papers 0921, National Bureau of Economic Research, Inc.
- Wolff, Christian C, 1987. "Forward Exchange Rates and Expected Future Spot Rates," CEPR Discussion Papers 187, C.E.P.R. Discussion Papers.
- Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
- McNown, Robert & Wallace, Myles, 1989. "Co-integration tests for long run equilibrium in the monetary exchange rate model," Economics Letters, Elsevier, vol. 31(3), pages 263-267, December.
- Wolff, Christian C P, 1987.
"Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach,"
Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
- Wolff, Christian C, 1987. "Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," CEPR Discussion Papers 189, C.E.P.R. Discussion Papers.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
- Hsieh, David A, 1989. "Testing for Nonlinear Dependence in Daily Foreign Exchange Rates," The Journal of Business, University of Chicago Press, vol. 62(3), pages 339-368, July.
- Schinasi, Garry J. & Swamy, P. A. V. B., 1989.
"The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change,"
Journal of International Money and Finance, Elsevier, vol. 8(3), pages 375-390, September.
- Garry J. Schinasi & P. A. V. B. Swamy, 1987. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," International Finance Discussion Papers 301, Board of Governors of the Federal Reserve System (U.S.).
- Garry J. Schinasi & P. A. V. B. Swamy, 1987. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," Special Studies Papers 212, Board of Governors of the Federal Reserve System (U.S.).
- Diebold, Francis X. & Nason, James A., 1990.
"Nonparametric exchange rate prediction?,"
Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
- Francis X. Diebold & James M. Nason, 1989. "Nonparametric exchange rate prediction?," Finance and Economics Discussion Series 81, Board of Governors of the Federal Reserve System (U.S.).
- Boothe, Paul & Glassman, Debra, 1987. "Comparing exchange rate forecasting models : Accuracy versus profitability," International Journal of Forecasting, Elsevier, vol. 3(1), pages 65-79.
- Mittnik, Stefan, 1990. "Macroeconomic forecasting experience with balanced state space models," International Journal of Forecasting, Elsevier, vol. 6(3), pages 337-348, October.
- Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Ekong, Christopher N. & Onye, Kenneth U., 2013. "The Failure of the Monetary Exchange Rate Model for the Naira-Dollar," MPRA Paper 88238, University Library of Munich, Germany.
- Fizza Malik, 2016. "Modeling Dynamics of Exchange Rates Volatility: A Case of Pakistan from 1980-2010," Bulletin of Business and Economics (BBE), Research Foundation for Humanity (RFH), vol. 5(3), pages 144-161, September.
- John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
- Hafsa Hina & Abdul Qayyum, 2015. "Re-estimation of Keynesian Model by Considering Critical Events and Multiple Cointegrating Vectors," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 54(2), pages 123-145.
- Hina, Hafsa & Qayyum, Abdul, 2013. "Estimation of Keynesian Exchange Rate Model of Pakistan by Considering Critical Events and Multiple Cointegrating Vectors," MPRA Paper 52611, University Library of Munich, Germany.
- Hina, Hafsa & Qayyum, Abdul, 2015. "Exchange Rate Determination and Out of Sample Forecasting: Cointegration Analysis," MPRA Paper 61997, University Library of Munich, Germany.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Richard A. Meese & Andrew K. Rose, 1991.
"An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 603-619.
- Richard Meese & Andrew K. Rose, 1989. "An empirical assessment of non-linearities in models of exchange rate determination," International Finance Discussion Papers 367, Board of Governors of the Federal Reserve System (U.S.).
- Wu, Yih-Jiuan, 1998. "Exchange rate forecasting: an application of radial basis function neural networks," ISU General Staff Papers 1998010108000013540, Iowa State University, Department of Economics.
- Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
- Meier, Carsten-Patrick, 1999. "Predicting real exchange rates from real interest rate differentials and net foreign asset stocks: evidence for the mark/dollar parity," Kiel Working Papers 962, Kiel Institute for the World Economy (IfW Kiel).
- Gencay, Ramazan, 1999. "Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules," Journal of International Economics, Elsevier, vol. 47(1), pages 91-107, February.
- de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Imad Moosa & Kelly Burns, 2014. "Error correction modelling and dynamic specifications as a conduit to outperforming the random walk in exchange rate forecasting," Applied Economics, Taylor & Francis Journals, vol. 46(25), pages 3107-3118, September.
- Irfan Civcir, 2003.
"The Monetary Models of the Turkish Lira/U.S. Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics, and Forecasting,"
Eastern European Economics, Taylor & Francis Journals, vol. 41(6), pages 43-63, January.
- CIVCIR Irfan, 2010. "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
- Blake LeBaron, "undated".
"Technical Trading Rules and Regime Shifts in Foreign Exchange,"
Working papers
_007, University of Wisconsin - Madison.
- LeBaron, B., 1991. "Technical Trading Rules and Regime Shifts in Foreign Exchange," Working papers 9118, Wisconsin Madison - Social Systems.
- Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
- MacDonald, Ronald & Nagayasu, Jun, 1998.
"On the Japanese Yen-U.S. Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials,"
Journal of the Japanese and International Economies, Elsevier, vol. 12(1), pages 75-102, March.
- MacDonald, Ronald, 1997. "On the Japanese Yen-US Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials," CEPR Discussion Papers 1639, C.E.P.R. Discussion Papers.
- Winston T. Lin, 2005. "Currency forecasting based on an error components-seemingly unrelated nonlinear regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 593-605.
- Preminger, Arie & Franck, Raphael, 2007.
"Forecasting exchange rates: A robust regression approach,"
International Journal of Forecasting, Elsevier, vol. 23(1), pages 71-84.
- PREMINGER, Arie & FRANCK, Raphael, 2005. "Forecasting exchange rates: a robust regression approach," LIDAM Discussion Papers CORE 2005025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- PREMINGER, Arie & FRANCK, Raphael, 2007. "Forecasting exchange rates: a robust regression approach," LIDAM Reprints CORE 1917, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009.
"How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach,"
Discussion Papers of DIW Berlin
944, DIW Berlin, German Institute for Economic Research.
- Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
- Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005.
"Markov switching regimes in a monetary exchange rate model,"
Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
- Michael Froemmel & Ronald Macdonald & Lukas Menkhoff, 2004. "Markov Switching Regimes In A Monetary Exchange Rate Model," Royal Economic Society Annual Conference 2004 119, Royal Economic Society.
- Lucio Sarno, 2003.
"Nonlinear Exchange Rate Models: A Selective Overview,"
Rivista di Politica Economica, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
- Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 2003/111, International Monetary Fund.
- Peggy Swanson, 1998. "Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 129-138, June.
- Hodrick, Robert J., 1989.
"Risk, uncertainty, and exchange rates,"
Journal of Monetary Economics, Elsevier, vol. 23(3), pages 433-459, May.
- Robert J. Hodrick, 1987. "Risk, Uncertainty and Exchange Rates," NBER Working Papers 2429, National Bureau of Economic Research, Inc.
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:eee:mulfin:v:10:y:2000:i:1:p:15-27. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/mulfin .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.