Economists often describe nominal exchange rates as forward-looking, so that they reflect discounted, expected, future fundamentals. This study applies a method for identifying the discount rate involved, without knowing or measuring fundamentals. Identification arises from assumptions on the stochastic process followed by fundamentals, combined with nonlinearity arising from expected future regime changes. Two applications yield evidence against the present-value model in the form of discount rates which are negative and statistically significant.
(This abstract was borrowed from another version of this item.)
If 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Obstfeld, Maurice & Stockman, Alan C., 1985.
Handbook of International Economics,
in: R. W. Jones & P. B. Kenen (ed.), Handbook of International Economics, edition 1, volume 2, chapter 18, pages 917-977
- Gregor W. Smith & R. Todd Smith, 1996.
"Greenback-Gold Returns and Expectations of Resumption, 1862-1879,"
1255, Queen's University, Department of Economics.
- Smith, Gregor W. & Smith, R. Todd, 1997. "Greenback-Gold Returns and Expectations of Resumption, 1862–1879," The Journal of Economic History, Cambridge University Press, vol. 57(03), pages 697-717, September.
- Smith, Gregor W, 1991. "Solution to a Problem of Stochastic Process Switching," Econometrica, Econometric Society, vol. 59(1), pages 237-39, January.
- Smith, Gregor W & Smith, R Todd, 1990.
"Stochastic Process Switching and the Return to Gold, 1925,"
Royal Economic Society, vol. 100(399), pages 164-75, March.
- Gregor W. Smith & R. Todd Smith, 1988. "Stochastic Process Switching and the Return to Gold, 1925," Working Papers 723, Queen's University, Department of Economics.
- Francis X. Diebold & James M. Nason, 1989.
"Nonparametric exchange rate prediction?,"
Finance and Economics Discussion Series
81, Board of Governors of the Federal Reserve System (U.S.).
- Miller, Marcus & Sutherland, Alan, 1994. "Speculative Anticipations of Sterling's Return to Gold: Was Keynes Wrong?," Economic Journal, Royal Economic Society, vol. 104(425), pages 804-12, July.
- Officer, Lawrence H., 1985. "Integration in the American Foreign-Exchange Market, 1791–1900," The Journal of Economic History, Cambridge University Press, vol. 45(03), pages 557-585, September.
When requesting a correction, please mention this item's handle: RePEc:eee:jimfin:v:14:y:1995:i:5:p:659-666. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.