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Sterling's Relationship with the Dollar and the Deutschemark: 1976-89

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  • Haldane, A G
  • Hall, S G

Abstract

This paper evaluates the linkages between bilateral exchange rates using a time-varying parameter model, which can be estimated using the Kalman filter. The technique solves many of the statistical problems which arise when ordinary least squares is used to estimate currency correlation. Applying the technique to the dollar-sterling, DM-sterling, and DM-dollar bilateral exchange rates, the results suggest a market weakening (strengthening) of sterling's relationship with the dollar (DM) since the mid-1970s. Additionally, these currency linkages are shown to have undergone a number of regime shifts, suggesting that the timing of the weakening of the dollar/sterling relationship is different to that proposed by previous studies. Copyright 1991 by Royal Economic Society.

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Bibliographic Info

Article provided by Royal Economic Society in its journal The Economic Journal.

Volume (Year): 101 (1991)
Issue (Month): 406 (May)
Pages: 436-43

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Handle: RePEc:ecj:econjl:v:101:y:1991:i:406:p:436-43

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Cited by:
  1. Laurence Fung & Chi-sang Tam & Ip-wing Yu, 2008. "Changes in Investors' Risk Appetite - An Assessment of Financial Integration and Interdependence," Working Papers 0812, Hong Kong Monetary Authority.
  2. Neumann, Anne & Siliverstovs, Boriss, 2005. "Convergence of European Spot Market Prices for Natural Gas? A Real-Time Analysis of Market Integration using the Kalman Filter," Dresden Discussion Paper Series in Economics 05/05, Dresden University of Technology, Faculty of Business and Economics, Department of Economics.
  3. Oxley, Les & Greasley, David, 1997. "Convergence in GDP per capita and real wages: Some results for Australia and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 429-436.
  4. Yang, Lu & Hamori, Shigeyuki, 2014. "Dependence structure between CEEC-3 and German government securities markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 109-125.
  5. Nazifi, Fatemeh, 2013. "Modelling the price spread between EUA and CER carbon prices," Energy Policy, Elsevier, vol. 56(C), pages 434-445.
  6. Paolo del Giovane & Alberto Franco Pozzolo, 1998. "The Behaviour of the Dollar and Exchange Rates in Europe: Empirical Evidence and Possible Explanations," Temi di discussione (Economic working papers) 328, Bank of Italy, Economic Research and International Relations Area.
  7. Carlos Cortinhas, 2006. "Asymmetry of Shocks and Convergence in Selected Asean Countries: A Dynamic Analysis," NIPE Working Papers 3/2006, NIPE - Universidade do Minho.
  8. Igor Velickovski, 2013. "Assessing independent monetary policy in small, open and euroized countries: evidence from Western Balkan," Empirical Economics, Springer, vol. 45(1), pages 137-156, August.
  9. Arvind Subramanian & Martin Kessler, 2012. "The Renminbi Bloc is Here: Asia Down, Rest of the World to Go?," Working Paper Series WP12-19, Peterson Institute for International Economics, revised 2013.
  10. Rico Ihle & Linde Götz & Ofir D. Rubin, 2011. "State-Space Cointegration Modeling for the Analysis of Exogenous Shocks to Prices in Israeli-Palestinian Food Trade," Courant Research Centre: Poverty, Equity and Growth - Discussion Papers 100, Courant Research Centre PEG.
  11. Bank for International Settlements, 2008. "Assessing the integration of Asia's equity and bond markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Regional financial integration in Asia: present and future, volume 42, pages 1-37 Bank for International Settlements.

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