12 Structural Models of the Dollar
Author:
Mr. Jacob A. Frenkel https://isni.org/isni/0000000404811396 International Monetary Fund

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Mr. Morris Goldstein https://isni.org/isni/0000000404811396 International Monetary Fund

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Language:
English
Print Publication Date:
24 Apr 1996
Keywords:
BOOK; exchange rate; nominal interest rate; EC country; deutsche mark; policy rule; exchange-rate crisis; Exchange rates; Real exchange rates; Currencies; Inflation; Global; Europe; Asia and Pacific; North America; Middle East; U.S. dollar; mean reversion; exchange rate movement; pound sterling; real gross national product; Nominal effective exchange rate; Exchange rate modelling; Purchasing power parity

Abstract

This paper addresses several questions about the time series processes followed by dollar exchange rates. The stochastic process for exchange rates implied by structural models and the conditions under which they would be described by random walks are examined. Tests on the univariate time series for dollar exchange rates are undertaken to determine if there is evidence for departures from a random walk. Multivariate tests examine whether longer-run movements in the dollar are linked to those in other economic variables, and whether deviations from these long-run relationships contain information for predicting exchange rate movements.

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Cover Functioning of the International Monetary System
Functioning of the International Monetary System
ISBN:
9781557755544
Publication Date:
24 Apr 1996
Publisher:
International Monetary Fund
DOI:
https://doi.org/10.5089/9781557755544.071
Pages:
507