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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. doi:10.1093/ei/cbh053

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Official URL: http://dx.doi.org/10.1093/ei/cbh053

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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
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:
DateEvent
April 2004UNSPECIFIED
Volume: 42
Number: 2
Number of Pages: 15
Page Range: pp. 179-193
DOI: 10.1093/ei/cbh053
Status: Peer Reviewed
Publication Status: Published
Access rights to Published version: Restricted or Subscription Access

Data sourced from Thomson Reuters' Web of Knowledge

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