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

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  • Charles Engel
  • Kenneth D. West

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/0002828041301722
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Bibliographic Info

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

Note: DOI: 10.1257/0002828041301722
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References

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  1. Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
  2. Cheung, Yin-Wong & Chinn, Menzie David & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Department of Economics, Working Paper Series qt12z9x4c5, Department of Economics, UC Santa Cruz.
  3. 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.
  4. 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.
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Cited by:
  1. Engel, Charles, 2005. "Some New Variance Bounds for Asset Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 37(5), pages 949-55, October.
  2. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  3. Martin D. D. Evans(Georgetown University and NBER) and Richard K. Lyons(U.C. Berkeley and NBER, Haas School of Business), 2005. "Meese-Rogoff Redux: Micro-Based Exchange Rate Forecasting," Working Papers gueconwpa~05-05-01, Georgetown University, Department of Economics.
  4. Tilak Abeysinghe & Ananda Jayawickrama, 2013. "A segmented trend model to assess fiscal sustainability: The US experience 1929–2009," Empirical Economics, Springer, vol. 44(3), pages 1129-1141, June.
  5. Jian Wang, 2005. "Can Long Horizon Data Beat Random Walk Under Engel-West Explanation?," International Finance 0501002, EconWPA.
  6. 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.
  7. 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.

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