UNSPECIFIED. (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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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
Subjects:	H Social Sciences > HC Economic History and Conditions
Journal or Publication Title:	ECONOMIC INQUIRY
Publisher:	WESTERN ECONOMIC ASSOC INT
ISSN:	0095-2583
Official Date:	April 2004
Volume:	42
Number:	2
Number of Pages:	15
Page Range:	pp. 179-193
Identification Number:	10.1093/ei/cbh053
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/8591

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