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A standard monetary model and the variability of the deutschemark-dollar exchange rate

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Author Info
West, Kenneth D.

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Article provided by Elsevier in its journal Journal of International Economics.

Volume (Year): 23 (1987)
Issue (Month): 1-2 (August)
Pages: 57-76
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Handle: RePEc:eee:inecon:v:23:y:1987:i:1-2:p:57-76

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References listed on IDEAS
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. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September. [Downloadable!] (restricted)
  2. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
    Other versions:
  3. Kenneth D. West, 1988. "A Specification Test for Speculative Bubbles," NBER Working Papers 2067, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February. [Downloadable!] (restricted)
  5. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  6. Hodrick, Robert J., 1979. "On the monetary analysis of exchange rates : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 11(1), pages 103-121, January. [Downloadable!] (restricted)
  7. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, vol. 3(1), pages 5-29, April. [Downloadable!] (restricted)
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  8. Meese, Richard A, 1986. "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 345-73, April. [Downloadable!] (restricted)
  9. Kenneth D. West, 1988. "Dividend Innovations and Stock Price Volatility," NBER Working Papers 1833, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  10. Shiller, Robert J, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," Journal of Finance, American Finance Association, vol. 36(2), pages 291-304, May. [Downloadable!] (restricted)
  11. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May. [Downloadable!] (restricted)
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  12. Frenkel, Jacob A & Mussa, Michael L, 1980. "The Efficiency of Foreign Exchange Markets and Measures of Turbulence," American Economic Review, American Economic Association, vol. 70(2), pages 374-81, May. [Downloadable!] (restricted)
  13. Richard Meese & Kenneth Rogoff, 1983. "The Out-of-Sample Failure of Empirical Exchange Rate Models: Sampling Error or Misspecification?," NBER Chapters, in: Exchange Rates and International Macroeconomics, pages 67-112 National Bureau of Economic Research, Inc. [Downloadable!]
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  14. Robert E. Cumby & Maurice Obstfeld, 1985. "International Interest-Rate and Price-Level Linkages Under Flexible Exchalge Rates: A Review of Recent Evidence," NBER Working Papers 0921, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. Robert P. Flood & Robert J. Hodrick, 1987. "Asset Price Volatility, Bubbles, and Process Switching," NBER Working Papers 1867, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  16. McCallum, Bennett T, 1976. "Rational Expectations and the Natural Rate Hypothesis: Some Consistent Estimates," Econometrica, Econometric Society, vol. 44(1), pages 43-52, January. [Downloadable!] (restricted)
  17. N. Gregory Mankiw & Lawrence H. Summers, 1987. "Are Tax Cuts Really Expansionary?," NBER Working Papers 1443, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  18. Robert J. Shiller, 1981. "The Use of Volatility Measures in Assessing Market Efficiency," NBER Working Papers 0565, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  19. Jacob A. Frenkel & Michael L. Mussa, 1980. "Efficiency of Foreign Exchange Markets and Measures of Turbulence," NBER Working Papers 0476, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  20. Stephen M. Goldfeld, 1976. "The Case of the Missing Money," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 7(1976-3), pages 683-740. [Downloadable!]
  21. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November. [Downloadable!] (restricted)
  22. Maurice Obstfeld & Kenneth Rogoff, 1987. "Ruling Out Nonstationary Speculative Bubbles," NBER Working Papers 1601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  23. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation, Yale University. [Downloadable!]
  24. Behzad T. Diba & Herschel I. Grossman, 1985. "The Impossibility of Rational Bubbles," NBER Working Papers 1615, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Full references

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. Leonardo Bartolini & Lorenzo Giorgianni, 2000. "Excess volatility of exchange rates with unobservable fundamentals," Staff Reports 103, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  2. Richard Meese & Kenneth Rogoff, 1989. "Was it Real? The Exchange Rate-Interest Differential Relation, 1973-1984," NBER Working Papers 1732, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Jacob A. Frenkel & Morris Goldstein, 1989. "Exchange Rate Volatility and Misalignment: Evaluating Some Proposals for Reform," NBER Working Papers 2894, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Robert C. Feenstra & Jon D. Kendall, 1994. "Passthrough of Exchange Rates and Purchasing Power Parity," NBER Working Papers 4842, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. Baffes, John & Ajwad, Mohamed I., 1998. "Detecting price links in the world cotton market," Policy Research Working Paper Series 1944, The World Bank. [Downloadable!]
  6. Robert C. Feenstra & Jon D. Kendall, 1991. "Exchange Rate Volatility and International Prices," NBER Working Papers 3644, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Charles Engel & Kenneth D. West, 2004. "Taylor Rules and the Deutschmark-Dollar Real Exchange Rate," NBER Working Papers 10995, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Simon van Norden, 1995. "Regime Switching as a Test for Exchange Rate Bubbles," Econometrics 9502001, EconWPA, revised 09 Aug 1995. [Downloadable!]
    Other versions:
  9. Barry Eichengreen & Andrew K. Rose & Charles Wyplosz, 1994. "Speculative Attacks on Pegged Exchange Rates: An Empirical Exploration with Special Reference to the European Monetary System," NBER Working Papers 4898, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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