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Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1

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Author Info
Charles Engel
Kenneth D. West

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Abstract

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File URL: http://hdl.handle.net/10.1257/0002828041301722
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File URL: http://www.aeaweb.org/articles/article_detail.php?journal=AER&volume=94&issue=2&article=23&issue_date=May2004
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Article provided by American Economic Association in its journal American Economic Review.

Volume (Year): 94 (2004)
Issue (Month): 2 (May)
Pages: 119-125
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Handle: RePEc:aea:aecrev:v:94:y:2004:i:2:p:119-125

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Working Paper Series 248, European Central Bank. [Downloadable!]
    Other versions:
  2. Chinn, Menzie D. & Meese, Richard A., 1995. "Banking on currency forecasts: How predictable is change in money?," Journal of International Economics, Elsevier, vol. 38(1-2), pages 161-178, February. [Downloadable!] (restricted)
  3. Diba, Behzad T, 1987. "A Critique of Variance Bounds Tests for Monetary Exchange Rate Models: A Note," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(1), pages 104-11, February. [Downloadable!] (restricted)
  4. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance 0501002, EconWPA. [Downloadable!]
  2. Dimitris Christopoulos & Miguel A. León-Ledesma, 2009. "On causal Relationships Between Exchange Rates and Fundamentals: Better Than You Think," Studies in Economics 0909, Department of Economics, University of Kent. [Downloadable!]
  3. Charles Engel, 2004. "Some New Variance Bounds for Asset Prices," NBER Working Papers 10981, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Ananda Jayawickrama & Tilak Abeysinghe, 2006. "Sustainability Of Fiscal Deficits: The U.S. Experience 1929-2004," SCAPE Policy Research Working Paper Series 05xx, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
  5. Martin D. D. Evans & Richard K. Lyons, 2005. "Meese-Rogoff Redux: Micro-Based Exchange-Rate Forecasting," American Economic Review, American Economic Association, vol. 95(2), pages 405-414, May. [Downloadable!]
    Other versions:
  6. Michael Kühl, 2008. "Strong comovements of exchange rates: Theoretical and empirical cases when currencies become the same asset," cege – Center for European, Governance and Economic Development Research Discussion Papers 76, cege – Center for European, Governance and Economic Development Research, University of Goettingen (Germany)., revised 03 Sep 2008. [Downloadable!]
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This page was last updated on 2009-12-13.

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