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The Econometrics of Exchange Rates

In: Palgrave Handbook of Econometrics

Author

Listed:
  • Efthymios G. Pavlidis
  • Ivan Paya
  • David A. Peel

Abstract

We provide a selective overview of the econometric methods employed in modeling some of the key relationships which determine the behavior of exchange rates and the efficacy of models employed to forecast them.

Suggested Citation

  • Efthymios G. Pavlidis & Ivan Paya & David A. Peel, 2009. "The Econometrics of Exchange Rates," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 22, pages 1025-1083, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-24440-5_22
    DOI: 10.1057/9780230244405_22
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    Citations

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    Cited by:

    1. Frederique Bec & Melika Ben Salem, 2020. "An asymmetrical overshooting correction model for G20 nominal effective exchange rates," Economics Bulletin, AccessEcon, vol. 40(3), pages 1937-1947.
    2. Pavlidis, Efthymios G. & Paya, Ivan & Peel, David A., 2011. "Real exchange rates and time-varying trade costs," Journal of International Money and Finance, Elsevier, vol. 30(6), pages 1157-1179, October.
    3. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.

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