| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP2223 |
| DP2223 Consumption, Aggregate Wealth and Expected Stock Returns | |
| Martin Lettau; Sydney Ludvigson | |
| 发表日期 | 1999-09-30 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | This paper presents a simultaneous model of exchange rates between the three major countries. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interactions between currencies not normally considered in exchange rate models. These interactions are shown to be important via generalised impulse response analysis, and the model as a whole to be an economically and statistically superior forecasting tool over relatively short horizons. |
| 主题 | International Macroeconomics |
| 关键词 | Exchange rates Forecasting Impulse response Ppp exchange rate rules Spillovers |
| URL | https://cepr.org/publications/dp2223 |
| 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/531328 |
| 推荐引用方式 GB/T 7714 | Martin Lettau,Sydney Ludvigson. DP2223 Consumption, Aggregate Wealth and Expected Stock Returns. 1999. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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