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Filtering the BEER: A permanent and transitory decomposition

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  • Clark, Peter B.
  • MacDonald, Ronald

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Bibliographic Info

Article provided by Elsevier in its journal Global Finance Journal.

Volume (Year): 15 (2004)
Issue (Month): 1 ()
Pages: 29-56

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Handle: RePEc:eee:glofin:v:15:y:2004:i:1:p:29-56

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Web page: http://www.elsevier.com/locate/inca/620162

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References

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  1. Susana Garcia Cervero & J. Humberto Lopez & Enrique Alberola Ila & Angel J. Ubide, 1999. "Global Equilibrium Exchange Rates," IMF Working Papers, International Monetary Fund 99/175, International Monetary Fund.
  2. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198774501, October.
  3. Gian-Maria Milesi-Ferretti & Philip R. Lane, 2000. "The Transfer Problem Revisited," IMF Working Papers, International Monetary Fund 00/123, International Monetary Fund.
  4. Peter Isard, 1983. "An Accounting Framework and Some Issues for Modeling How Exchange Rates Respond to the News," NBER Chapters, National Bureau of Economic Research, Inc, in: Exchange Rates and International Macroeconomics, pages 19-66 National Bureau of Economic Research, Inc.
  5. G. C. Lim, 2000. "Misalignment and Managed Exchange Rates," IMF Working Papers, International Monetary Fund 00/63, International Monetary Fund.
  6. Paruolo, Paolo, 2002. "Asymptotic Inference On The Moving Average Impact Matrix In Cointegrated I (2) Var Systems," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(03), pages 673-690, June.
  7. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc.
  8. Gonzalo, J. & Granger, C., 1992. "Estimation of Common Long-Memory Components in Cointegrated Systems," Papers, Boston University - Department of Economics 4, Boston University - Department of Economics.
  9. Meese, R. & Rogoff, K., 1988. "Was It Real? The Exchange Rate-Interest Differential Ralation Over The Modern Floating-Rate Period," Working papers, Wisconsin Madison - Social Systems 368, Wisconsin Madison - Social Systems.
  10. Philip R. Lane & Gian Maria Milesi-Ferretti, 2000. "The Transfer Problem Revisited: Net Foreign Assets and Real Exchange Rates," Working Papers, Hong Kong Institute for Monetary Research 062000, Hong Kong Institute for Monetary Research.
  11. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers, International Monetary Fund 97/21, International Monetary Fund.
  12. Jun Nagayasu & Ronald MacDonald, 1999. "The Long-Run Relationship Between Real Exchange Rates and Real Interest Rate Differentials," IMF Working Papers, International Monetary Fund 99/37, International Monetary Fund.
  13. Ronald MacDonald, 1995. "Asset Market and Balance of Payments Characteristics," IMF Working Papers, International Monetary Fund 95/55, International Monetary Fund.
  14. John Y. Campbell & Richard H. Clarida, 1987. "The Dollar and Real Interest Rates," NBER Working Papers 2151, National Bureau of Economic Research, Inc.
  15. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  16. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
  17. Dominique Desruelle & Alessandro Zanello, 1997. "A Primeron the IMF's Information Notice System," IMF Working Papers, International Monetary Fund 97/71, International Monetary Fund.
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Citations

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Cited by:
  1. Joanna Beza-Bojanowska & Ronald MacDonald, 2009. "The Behavioural Zloty/Euro Equilibrium Exchange Rate," CESifo Working Paper Series, CESifo Group Munich 2568, CESifo Group Munich.
  2. repec:spo:wpecon:info:hdl:2441/53r60a8s3kup1vc9kd52ge69h is not listed on IDEAS
  3. T. Berger & B. Kempa & -, 2010. "Taylor rules and the Canadian-US equilibrium exchange rate," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 10/643, Ghent University, Faculty of Economics and Business Administration.
  4. Berger, Tino & Kempa, Bernd, 2014. "Time-varying equilibrium rates in small open economies: Evidence for Canada," Journal of Macroeconomics, Elsevier, Elsevier, vol. 39(PA), pages 203-214.
  5. Zhang, Zhibai, 2010. "Understanding the behavioral equilibrium exchange rate model via its application to the valuation of Chinese renminbi," MPRA Paper 40648, University Library of Munich, Germany.
  6. Makram El-Shagi & Axel Lindner & Gregor von Schweinitz, 2014. "Real Effective Exchange Rate Misalignment in the Euro Area: A Counterfactual Analysis," IWH Discussion Papers, Halle Institute for Economic Research 6, Halle Institute for Economic Research.
  7. Antoine Bouveret, 2010. "Politiques économiques, dynamique et équilibre de long terme du taux de change," Sciences Po publications, Sciences Po info:hdl:2441/53r60a8s3ku, Sciences Po.
  8. Joanna Bęza-Bojanowska, 2009. "Behavioral and Permanent Zloty/Euro Equilibrium," Central European Journal of Economic Modelling and Econometrics, CEJEME, CEJEME, vol. 1(1), pages 35-55, March.

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