Skip to content Skip to navigation
University of Warwick
  • Study
  • |
  • Research
  • |
  • Business
  • |
  • Alumni
  • |
  • News
  • |
  • About

University of Warwick
Publications service & WRAP

Highlight your research

  • WRAP
    • Home
    • Search WRAP
    • Browse by Warwick Author
    • Browse WRAP by Year
    • Browse WRAP by Subject
    • Browse WRAP by Department
    • Browse WRAP by Funder
    • Browse Theses by Department
  • Publications Service
    • Home
    • Search Publications Service
    • Browse by Warwick Author
    • Browse Publications service by Year
    • Browse Publications service by Subject
    • Browse Publications service by Department
    • Browse Publications service by Funder
  • Help & Advice
University of Warwick

The Library

  • Login
  • Admin

Reexamining the monetary approach to the exchange rate : the dollar-franc, 1976—90

Tools
- Tools
+ Tools

MacDonald, Ronald and Taylor, Mark P. (1994) Reexamining the monetary approach to the exchange rate : the dollar-franc, 1976—90. Applied Financial Economics, 4 (6). pp. 423-430. doi:10.1080/758518674

Research output not available from this repository, contact author.
Official URL: http://dx.doi.org/10.1080/758518674

Request Changes to record.

Abstract

Using data on the dollar-franc, we reexamine the monetary model of exchange-rate determination in two ways. First, we test its validity as a long-run exchange rate model, using multivariate cointegration techniques. Second, we examine and test the model in its short-run, forward-looking, rational-expectations formulation. We argue that previous tests of the short-run model may have been incorrectly implemented. Using a variant of the Campbell-Shiller technique for testing present-value models, we demonstrate that the static monetary equation has some long-run validity; that, assuming monetary exchange-rate fundamentals, the speculative-bubbles hypothesis is rejected; but that the forward-looking rational expectations restrictions are resoundingly also rejected.
PDF

Item Type: Journal Article
Divisions: Faculty of Social Sciences > Warwick Business School
Journal or Publication Title: Applied Financial Economics
Publisher: Routledge
ISSN: 0960-3107
Official Date: 1994
Dates:
DateEvent
1994Published
Volume: 4
Number: 6
Page Range: pp. 423-430
DOI: 10.1080/758518674
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item View Item
twitter

Email us: wrap@warwick.ac.uk
Contact Details
About Us