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Time-Varying Fundamentals of the Euro-Dollar Exchange Rate

Listed author(s):
  • Kari Heimonen
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    This study examines changes in the impact of the economic fundamentals on the euro-dollar exchange rate. First, the monetary model is augmented with the equity markets and the model is estimated in its structural form. Second, the time-varying impacts of the long-run fundamentals representing equilibrium in different markets on the euro-dollar exchange rate are examined using Kalman filtering. The time-varying structural model indicated that the relative importance of the different fundamentals was not equal and the impact of the fundamentals was time-dependent.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/10168730600883515
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    Article provided by Taylor & Francis Journals in its journal International Economic Journal.

    Volume (Year): 20 (2006)
    Issue (Month): 4 ()
    Pages: 385-407

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    Handle: RePEc:taf:intecj:v:20:y:2006:i:4:p:385-407
    DOI: 10.1080/10168730600883515
    Contact details of provider: Web page: http://www.tandfonline.com/RIEJ20

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