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Die empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses

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  • Nautz, Dieter

Abstract

Diese Arbeit untersucht die empirische Relevanz des Monetären Modells fiir die Erklärung des DM / Dollar Wechselkurses. Dabei zeigt sich, daß der in der neueren empirischen Literatur übliche Testansatz (reduced form approach) zu unplausiblen Parameterrestriktionen und zu ineffizienten Schätzungen der zugrundeliegenden Geldnachfragefunktionen führt. Das Monetäre Modell liefert nur dann eine gute Anpassung an die Entwicklung des Wechselkurses, wenn die Wechselkursgleichung in ihrer strukturellen Form geschätzt wird. Die Analyse der strukturellen Gleichungen des Monetären Modells erleichtert die ökonomische Interpretation der Wechselkursgleichung und vermindert die Gefahr statistischer Artefakte.

Suggested Citation

  • Nautz, Dieter, 1999. "Die empirische Relevanz des Monetären Modells für die Erklärung des DM/Dollar Wechselkurses," SFB 373 Discussion Papers 1999,63, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:199963
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