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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Antonio Garcia Pascual

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December 2002Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?
with Yin-Wong Cheung, Menzie D. Chinn: w9393
Previous assessments of nominal exchange rate determination have focused upon a narrow set of models typically of the 1970's vintage. The canonical papers in this literature are by Meese and Rogoff (1983, 1988), who examined monetary and portfolio balance models. Succeeding works by Mark (1995) and Chinn and Meese (1995) focused on similar models. In this paper we re-assess exchange rate prediction using a wider set of models that have been proposed in the last decade: interest rate parity, productivity based models, and behavioral equilibrium exchange rate' models. The performance of these models is compared against a benchmark model the Dornbusch-Frankel sticky price monetary model. The models are estimated in error correction and first-difference specifications. Rather than estimatin...

Published: Cheung, Yin-Wong, Menzie D. Chinn and Antonio Garcia Pascual. "Empirical Exchange Rate Models Of The Nineties: Are Any Fit To Survive?," Journal of International Money and Finance, 2005, v24(7,Nov), 1150-1175. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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