NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Exchange Rates, Country Preferences, and Gold

Michael Dooley, Peter Isard, Mark Taylor

NBER Working Paper No. 4183
Issued in October 1992
NBER Program(s):   IFM

This paper provides indirect tests of the hypothesis that exchange rate movements may be largely coterminus with changes in preferences for holding claims on different countries. It is argued that changes in country preferences will be reflected systematically in the price of gold and, hence, that gold price movements, under the maintained hypothesis, should have explanatory power with respect to exchange rate movements over and above the effects of monetary shocks. The paper applies multivariate vector autoregression and cointegration modeling techniques to test for the short- and long-run influence of gold prices on exchange rates conditional on other monetary and real macroeconomic variables, and applies the resulting error correction exchange rate equation to out-of-sample forecasting exercises.

download in pdf format
   (353 K)

download in djvu format
   (261 K)

email paper

This paper is available as PDF (353 K) or DjVu (261 K) (Download viewer) or via email.

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w4183

Published: Published as "Exchange Rates, Country-Specific Shocks, and Gold", AFE, Vol. 5, no. 3 (1995): 121-129.

Users who downloaded this paper also downloaded these:
Diba and Grossman w1300 Rational Bubbles in the Price of Gold
Chernyshoff, Jacks, and Taylor w11795 Stuck on Gold: Real Exchange Rate Volatility and the Rise and Fall of the Gold Standard
Bordo, Dittmar, and Gavin w10171 Gold, Fiat Money, and Price Stability
Feldstein w0296 The Effect of Inflation on the Prices of Land And Gold
Flood and Garber w0544 Gold Monetization and Gold Discipline
 
Publications
Activities
Meetings
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us