| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w0766
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| 来源ID | Working Paper 0766
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| Exchange Rate Determination and the Demand for Money |
| Craig S. Hakkio
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| 发表日期 | 1981-09-01
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| 出版年 | 1981
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| 语种 | 英语
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| 摘要 | This paper examines the conventional monetary equation of exchange rate determination. Under certain exogeneity conditions, one can write the price level, at home and abroad, as the ratio of the nominal money supply to the demand for real money balances. Then, since the exchange rate is the domestic price of foreign exchange, one can equate the exchange rate to the ratio of domestic to foreign prices. This then allows one to write, and estimate, the exchange rate as a function of the money supply differential, income differential and interest rate differential. If the domestic and foreign money demand errors are autocorrelated, and if deviations from purchasing power parity are autocorrelated, tests based on the above model may be invalid. Only if all autoregressive parameters are equal will test results be valid. A full information maximum likelihood procedure is used to estimate and test the assumptions necessary for the conventional procedure to be correct. Finally, two alternative models of exchange rate determination are considered to illustrate the importance of introducing the error terms at the beginning of the analysis. |
| 主题 | International Economics
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| URL | https://www.nber.org/papers/w0766
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/557974
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推荐引用方式
GB/T 7714 |
Craig S. Hakkio. Exchange Rate Determination and the Demand for Money. 1981.
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文件名：
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w0766.pdf
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格式：
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Adobe PDF
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