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Monetary fundamentals and exchange rate dynamics under different nominal regimes
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Sarno, Lucio , Valente, Giorgio and Wohar, Mark E.. (2004) Monetary fundamentals and exchange rate dynamics under different nominal regimes. Economic Inquiry, 42 (2). pp. 179-193. ISSN 0095-2583
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Official URL: http://dx.doi.org/10.1093/ei/cbh053
Abstract
We investigate the dynamic relationship between the U. S. dollar exchange rate and its fundamentals across different exchange rate regimes using data from the late 1800s or early 1900s for six countries. For these countries there is evidence of a long-run relation between the exchange rate and monetary fundamentals consistent with conventional exchange rate theories. Employing a multivariate regime-switching framework, we find that the relative importance of exchange rates and fundamentals in restoring the long-run equilibrium implied by the exchange rate-monetary fundamentals model varies significantly over time and is affected by the exchange rate regime in operation.
| Item Type: | Journal Article | ||||
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| Alternative Title: | |||||
| Subjects: | H Social Sciences > HC Economic History and Conditions | ||||
| Divisions: | Faculty of Social Sciences > Warwick Business School | ||||
| Journal or Publication Title: | Economic Inquiry | ||||
| Publisher: | Wiley-Blackwell Publishing, Inc. | ||||
| ISSN: | 0095-2583 | ||||
| Official Date: | April 2004 | ||||
| Dates: |
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| Volume: | 42 | ||||
| Number: | 2 | ||||
| Number of Pages: | 15 | ||||
| Page Range: | pp. 179-193 | ||||
| Identification Number: | 10.1093/ei/cbh053 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/8591 |
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