TY  - JOUR
AU  - Dooley,Michael
AU  - Isard,Peter
AU  - Taylor,Mark
TI  - Exchange Rates, Country Preferences, and Gold
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 4183
PY  - 1992
Y2  - October 1992
UR  - http://www.nber.org/papers/w4183
L1  - http://www.nber.org/papers/w4183.pdf
N1  - Author contact info:
Michael P. Dooley
Department of Economics
Engineering II
University of California, Santa Cruz
Santa Cruz, CA 95064
Tel: 831/459 3662
Fax: 831/459-5077
E-Mail: MPD@UCSC.EDU

Peter Isard

Mark P. Taylor
Office of the Dean
Warwick Business School
University of Warwick
Coventry CV4 7AL
UNITED KINGDOM
E-Mail: mark.taylor@warwick.ac.uk
AB  - 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.
ER  -