Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability
AbstractThe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle 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)
Contact details of provider:
Postal: 160 McNeil Building, 3718 Locust Walk, Philadelphia, PA 19104-6297
Phone: (215) 898-8487
Fax: (215) 573-2057
Web page: http://www.econ.upenn.edu/ier
More information through EDIRC
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Carol L. Osler, 2006. "Macro lessons from microstructure," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(1), pages 55-80.
- Zervoyianni, Athina, 1996. "Product-market openness and dynamic responses to exogenous shocks and policies in a two-country, two-goods model," International Review of Economics & Finance, Elsevier, vol. 5(3), pages 269-290.
- Kim, Benjamin J. C. & Mo, Soowon, 1995. "Cointegration and the long-run forecast of exchange rates," Economics Letters, Elsevier, vol. 48(3-4), pages 353-359, June.
- Isaac, Alan G., 1996. "Mononic saddle-path dynamics," Economics Letters, Elsevier, vol. 53(3), pages 235-238, December.
- Rotheli, Tobias F., 1999. "Assessing Monetary Targeting With Models of Expectations Formation," Journal of Policy Modeling, Elsevier, vol. 21(1), pages 139-151, January.
- John A. Carlson & Christian M. Dahl & Carol L. Osler, 2008.
"Short-run Exchange-rate Dynamics: Theory And Evidence,"
39, Brandeis University, Department of Economics and International Businesss School.
- John A Carlson & Christian M. Dahl & Carol L. Osler, 2008. "Short-run Exchange-Rate Dynamics: Theory and Evidence," CREATES Research Papers 2008-01, School of Economics and Management, University of Aarhus.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or ().
If references are entirely missing, you can add them using this form.