| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7 |
| DP7 An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate | |
| Michael R. Wickens; Peter N Smith | |
| 发表日期 | 1984-03-01 |
| 出版年 | 1984 |
| 语种 | 英语 |
| 摘要 | A well known characteristic of flexible exchange rates is their volatility, with result that their movement can be closely approximated by a random walk. One of the attractions of the monetary model of the exchange rate is its ability to offer an explanation of this volatility. A major drawback is that empirical tests of the exchange rate equation arising from the monetary model very often lead to rejection of the model. The blame for this is usually attributed to the breakdown of the purchasing power parity assumption. The main purpose of this paper is to attempt to provide measures of the relative importance of the likely principal causes of the failure of the monetary model. A second objective is to test the random walk hypothesis for exchange rates. The methodology employed is new and has wide application elsewhere. It involves explicitly modelling the misspecification by time series techniques. The results, which are for the sterling-United States Dollar and Deutschemark-United States Dollar exchange rates, confirm the importance of the breakdown of the PPP assumption but they also show that misspecification of the money market is equally important. Whilst a random walk model is found to provide a very good fit, it is shown that lagged information can be used to improve the explanation of the spot exchange rate and hence the random walk hypothesis can be rejected. |
| 主题 | International Macroeconomics |
| 关键词 | Exchange rates volatility Monetary model of the exchange rate |
| URL | https://cepr.org/publications/dp7 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529163 |
| 推荐引用方式 GB/T 7714 | Michael R. Wickens,Peter N Smith. DP7 An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate. 1984. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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