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A Critique of Variance Bounds Tests for Monetary Exchange Rate Models: A Note

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  • Diba, Behzad T

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File URL: http://links.jstor.org/sici?sici=0022-2879%28198702%2919%3A1%3C104%3AACOVBT%3E2.0.CO%3B2-5&origin=bc
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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 19 (1987)
Issue (Month): 1 (February)
Pages: 104-11

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Handle: RePEc:mcb:jmoncb:v:19:y:1987:i:1:p:104-11

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Charles Engel & Kenneth D. West, 2004. "Accounting for Exchange Rate Variability in Present-Value Models When the Discount Factor is Near One," NBER Working Papers 10267, National Bureau of Economic Research, Inc.
  2. Leonardo Bartolini & Gordon M. Bodnar, 1996. "Are exchange rates excessively volatile? And what does "excessively volatile" mean, anyway?," Research Paper 9601, Federal Reserve Bank of New York.
  3. Charles Engel & Kenneth D. West, 2004. "Accounting for Exchange-Rate Variability in Present-Value Models When the Discount Factor Is Near 1," American Economic Review, American Economic Association, vol. 94(2), pages 119-125, May.
  4. Kenneth A. Froot, 1987. "Tests of Excess Forecast Volatility in the Foreign Exchange and Stock Markets," NBER Working Papers 2362, National Bureau of Economic Research, Inc.
  5. Leonardo Bartolini & Lorenzo Giorgianni, 2000. "Excess volatility of exchange rates with unobservable fundamentals," Staff Reports 103, Federal Reserve Bank of New York.
  6. Harry Garretsen & Klaas Knot & Erwin Nijsse, 1998. "Learning about fundamentals: The widening of the French ERM bands in 1993," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 134(1), pages 25-41, March.

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