In the context of a flexible-price monetary exchange rate model and the assumption of uncovered interest parity, we obtain a measure of the fundamental determinant of exchange rates. Daily data for the European Monetary System are used to explore the importance of nonlinearities in the relationship between the exchange rates and fundamentals. Many implications of existing “target-zone” exchange rate models are tested; little support is found for existing nonlinear models of limited exchange rate flexibility.
The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy...
Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary ...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
This paper develops an empirical model of exchange rates in a target zone. The distribution of excha...
The purpose of this paper is to implement empirically a variant of the new theory of exchange rate t...
The purpose of this paper is to implement empirically a variant of the new theory of exchange rate t...
Abstract: The purpose of this paper is to implement empirically a variant of the new theory of excha...
We examine the out-of-sample predictive power of real time linear monetary models with possible nonl...
Standard target zone exchange rate models are based on nonlinear functions of unobserved economic fu...
This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience o...
We develop a simple theoretical model in which chartists and fundamentalists interact. The model pre...
This paper reviews recent trends in exchange rate modelling with a view toward assessing new claims ...
We develop a nonlinear exchange rate model with heterogeneous agents. Some agents adopt a "fundament...
In this paper it is shown that relatively simple models are capable of generating exchange rate move...
The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy...
Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary ...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...
Krugman (1991) provided a rigorous economic argument for the merits of target zone exchange rate arr...
This paper develops an empirical model of exchange rates in a target zone. The distribution of excha...
The purpose of this paper is to implement empirically a variant of the new theory of exchange rate t...
The purpose of this paper is to implement empirically a variant of the new theory of exchange rate t...
Abstract: The purpose of this paper is to implement empirically a variant of the new theory of excha...
We examine the out-of-sample predictive power of real time linear monetary models with possible nonl...
Standard target zone exchange rate models are based on nonlinear functions of unobserved economic fu...
This paper tests for nonlinearity in EMS exchange rates using the bispectrum. The early experience o...
We develop a simple theoretical model in which chartists and fundamentalists interact. The model pre...
This paper reviews recent trends in exchange rate modelling with a view toward assessing new claims ...
We develop a nonlinear exchange rate model with heterogeneous agents. Some agents adopt a "fundament...
In this paper it is shown that relatively simple models are capable of generating exchange rate move...
The present study builds upon the seminal work of Engel and West [2005, Journal of Political Economy...
Meese and Rogoff (1983) first examined the dynamic relationship between exchange rates and monetary ...
This Doctoral Dissertation is about alternative exchange rate regimes and the trade-offs associated ...