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Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability

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Author Info
Driskill, Robert A
Mark, Nelson C
Sheffrin, Steven M

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Abstract

The authors develop and test a monetary rational expectations model of the Swiss/U.S. exchange rate. Two salient features of the model are the assumption that domestic and foreign currency denominated assets are imperfect substitues, and that purchasing power parity need not hold. The authors fail to reject overidentifying restrictions imposed on the model by the rational expectations hypothesis. Their point estimates, especially for the income elasticity of the demand for money, are plausible. Finally, the model outperforms the random walk model established as a benchmark by R. A. Meese and K. S. Rogoff (1983). Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Publisher Info
Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 33 (1992)
Issue (Month): 1 (February)
Pages: 223-37
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Handle: RePEc:ier:iecrev:v:33:y:1992:i:1:p:223-37

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  1. Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80. [Downloadable!]
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