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Predictable components in exchange rates

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  • Cochran, Steven J.
  • DeFina, Robert H.
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    File URL: http://www.sciencedirect.com/science/article/B6W5X-45FY4SP-2/2/c6b20c66ab9ab267b5a27b4de76707bd
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    Bibliographic Info

    Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

    Volume (Year): 35 (1995)
    Issue (Month): 1 ()
    Pages: 1-14

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    Handle: RePEc:eee:quaeco:v:35:y:1995:i:1:p:1-14

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    Web page: http://www.elsevier.com/locate/inca/620167

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    References

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    1. Francis X. Diebold & Steven Husted & Mark Rush, 1990. "Real exchange rates under the gold standard," Discussion Paper / Institute for Empirical Macroeconomics 32, Federal Reserve Bank of Minneapolis.
    2. Mark Rush & Steven Husted, 1985. "Purchasing Power Parity in the Long Run," Canadian Journal of Economics, Canadian Economics Association, vol. 18(1), pages 137-45, February.
    3. Jeffrey A. Frankel, 1991. "Quantifying International Capital Mobility in the 1980s," NBER Chapters, in: National Saving and Economic Performance, pages 227-270 National Bureau of Economic Research, Inc.
    4. Taylor, Mark P. & McMahon, Patrick C., 1988. "Long-run purchasing power parity in the 1920s," European Economic Review, Elsevier, vol. 32(1), pages 179-197, January.
    5. Craig S. Hakkio & Douglas H. Joines, 1990. "Real and nominal exchange rates since 1919," Research Working Paper 90-03, Federal Reserve Bank of Kansas City.
    6. Perron, P., 1986. "Trends and Random Walks in Macroeconomic Time Series: Further Evidence From a New Approach," Cahiers de recherche 8650, Universite de Montreal, Departement de sciences economiques.
    7. Adler, Michael & Lehmann, Bruce, 1983. " Deviations from Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 38(5), pages 1471-87, December.
    8. Lothian, James R., 1990. "A century plus of Yen exchange rate behavior," Japan and the World Economy, Elsevier, vol. 2(1), pages 47-70, March.
    9. Hakkio, Craig S., 1984. "A re-examination of purchasing power parity : A multi-country and multi-period study," Journal of International Economics, Elsevier, vol. 17(3-4), pages 265-277, November.
    10. Donald N. McCloskey & J. Richard Zecher, 1984. "The Success of Purchasing-Power Parity: Historical Evidence and Its Implications for Macroeconomics," NBER Chapters, in: A Retrospective on the Classical Gold Standard, 1821-1931, pages 121-172 National Bureau of Economic Research, Inc.
    11. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
    12. Pippenger, Michael K., 1993. "Cointegration tests of purchasing power parity: the case of Swiss exchange rates," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 46-61, February.
    13. Kim, Yoonbai, 1990. "Purchasing Power Parity in the Long Run: A Cointegration Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 22(4), pages 491-503, November.
    14. Mussa, Michael, 1986. "Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 117-214, January.
    15. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
    16. Glen, Jack D., 1992. "Real exchange rates in the short, medium, and long run," Journal of International Economics, Elsevier, vol. 33(1-2), pages 147-166, August.
    17. Banerjee, Anindya, et al, 1986. "Exploring Equilibrium Relationships in Econometrics through Static Models: Some Monte Carlo Evidence," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 253-77, August.
    18. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    19. Schwert, G. William, 1987. "Effects of model specification on tests for unit roots in macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 20(1), pages 73-103, July.
    20. Frenkel, Jacob A., 1981. "The collapse of purchasing power parities during the 1970's," European Economic Review, Elsevier, vol. 16(1), pages 145-165.
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    Cited by:
    1. Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 199-212, June.
    2. Josefa Ramoni Perazzi, 1998. "Interest rate parity: Is it alternative for the computation of the equilibrium exchange rate in Venezuela?," Economía, Instituto de Investigaciones Económicas y Sociales (IIES). Facultad de Ciencias Económicas y Sociales. Universidad de Los Andes. Mérida, Venezuela, vol. 23(14), pages 151-174, January-D.
    3. Ping Wang & Paul Dunne, 2000. "Sources of movements in real exchange rates-evidence from east Asian economies," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 136(1), pages 158-170, March.

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