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Structural Models of the Dollar
Author:
Mr. Charles Adams null

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and
Mr. Bankim Chadha
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Series:
IMF Working Papers
Volume/Issue:
Volume 1990: Issue 102
Language:
English
Publication Date:
01 Nov 1990
DOI:
https://doi.org/10.5089/9781451948349.001
ISBN:
9781451948349
ISSN:
1018-5941
Pages:
54
Keywords:
WP; random walk; current account; mean reversion; null hypothesis; U.S. dollar; Canadian dollar; exchange rate movement; pound sterling; random walk finding; nominal interest rate; dollar-Deutsche Mark exchange rate; deutsche mark; random walk property; Exchange rates; Real exchange rates; Exchange rate modelling; Monetary base; Exchange rate adjustments
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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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 IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund