Some Evidence in Favor of A Monetary Rational Expectations Exchange Rate Model With Imperfect Capital Substitutability  

Oleh:

Sheffrin, Steven M. ; Mark, Nelson C. ; Driskill, Robert A.

Jenis: Article from Bulletin/Magazine
Dalam koleksi: INTERNATIONAL ECONOMIC REVIEW vol. 33 no. 1 (1992), page 223-238.
Topik: MONETARY; favor of a monetary; rational expectation; exchange rate model; capital

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: II49.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop and test a monetary rational expectations model of the Swiss / U. S. exchange rate. Two salient features of the model are the assumption that domestic and foreign currency denominated assets are imperfect substitutes, and that purchasing power parity need not hold. We fail to reject overidentifying restrictions imposed on the model by the rational expectations hypothesis. Our point estimates, especially for the income elasticity of the demand for money, are plausible. Finally, the model outperforms the random walk model established as a benchmark by Meese and Rogoff.

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