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How to beat the random walk: An empirical model of real exchange rates

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  • Koedijk, C.G.

    (Tilburg University)

  • Schotman, P.
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    Bibliographic Info

    Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-3108720.

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    Date of creation: 1990
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    Publication status: Published in Journal of International Economics (1990) v.29, p.311-332
    Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-3108720

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    Web page: http://www.tilburguniversity.edu/

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    1. Irving B. Kravis & Robert E. Lipsey, 1988. "National Price Levels and the Prices of Tradables and Nontradables," NBER Working Papers 2536, National Bureau of Economic Research, Inc.
    2. Smith, P N & Wickens, M R, 1986. "An Empirical Investigation into the Causes of Failure of the Monetary Model of the Exchange Rate," Journal of Applied Econometrics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 1(2), pages 143-62, April.
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    Cited by:
    1. repec:dgr:uvatin:2098082 is not listed on IDEAS
    2. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models," IMF Working Papers 03/111, International Monetary Fund.
    3. MacDonald, Ronald, 1998. "What determines real exchange rates?: The long and the short of it," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 8(2), pages 117-153, June.
    4. Guglielmo Maria Caporale & Mario Cerrato, 2004. "Panel Data Tests Of Ppp: A Critical Overview," Economics and Finance Discussion Papers, Economics and Finance Section, School of Social Sciences, Brunel University 04-18, Economics and Finance Section, School of Social Sciences, Brunel University.
    5. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," Rivista di Politica Economica, SIPI Spa, SIPI Spa, vol. 93(4), pages 3-46, July-Augu.
    6. Groen, Jan J. J., 2000. "The monetary exchange rate model as a long-run phenomenon," Journal of International Economics, Elsevier, Elsevier, vol. 52(2), pages 299-319, December.
    7. Michael Pippenger & Gregory Goering, 1998. "Exchange Rate Forecasting: Results from a Threshold Autoregressive Model," Open Economies Review, Springer, Springer, vol. 9(2), pages 157-170, April.
    8. Koedijk, Kees G. & Schotman, Peter C. & Van Dijk, Mathijs A., 1998. "The re-emergence of PPP in the 1990s," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 51-61, February.
    9. Felmingham, Bruce & Leong, SuSan, 2005. "Parity conditions and the efficiency of the Australian 90- and 180-day forward markets," Review of Financial Economics, Elsevier, Elsevier, vol. 14(2), pages 127-145.
    10. Chiang, Thomas C. & Jiang, Christine X., 1995. "Foreign exchange returns over short and long horizons," International Review of Economics & Finance, Elsevier, Elsevier, vol. 4(3), pages 267-282.
    11. Milind Shrikhande, 1997. "The cost of doing business abroad and international capital market equilibrium," Working Paper, Federal Reserve Bank of Atlanta 97-3, Federal Reserve Bank of Atlanta.
    12. Jan J.J. Groen, 1998. "The Monetary Exchange Rate Model as a Long-Run Phenomenon," Tinbergen Institute Discussion Papers, Tinbergen Institute 98-082/2, Tinbergen Institute.
    13. Miller, Norman C., 2005. "Can exchange rate variations or trade policy alter the equilibrium current account?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 24(3), pages 465-480, April.
    14. Juselius, Katarina, 1995. "Do purchasing power parity and uncovered interest rate parity hold in the long run? An example of likelihood inference in a multivariate time-series model," Journal of Econometrics, Elsevier, Elsevier, vol. 69(1), pages 211-240, September.
    15. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 211-228, February.
    16. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004. "More evidence on the dollar risk premium in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 23(2), pages 271-282, March.
    17. Yihui Lan, 2003. "The Long-Term Behaviour of Exchange Rates, Part I: Introduction," Economics Discussion / Working Papers, The University of Western Australia, Department of Economics 03-05, The University of Western Australia, Department of Economics.
    18. Davis, George K. & Miller, Norman C., 1996. "Exchange rate mean reversion from real shocks within an intertemporal equilibrium model," Journal of International Money and Finance, Elsevier, Elsevier, vol. 15(6), pages 947-967, December.
    19. Charles van Marrewijk, 2005. "Basic Exchange Rate Theories," Tinbergen Institute Discussion Papers, Tinbergen Institute 05-024/2, Tinbergen Institute.

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