Structural Models of the Dollar

November 1, 1990

Preview Citation

Format: Chicago

Charles Adams, and Bankim Chadha. Structural Models of the Dollar, (USA: International Monetary Fund, 1990) accessed December 26, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

This paper addresses several questions about the time series processes followed by dollar exchange rates. The stochastic process for exchange rates implied by structural models and the conditions under which they would be described by random walks are examined. Tests on the univariate time series for dollar exchange rates are undertaken to determine if there is evidence for departures from a random walk. Multivariate tests examine whether longer-run movements in the dollar are linked to those in other economic variables, and whether deviations from these long-run relationships contain information for predicting exchange rate movements.

Subject: Exchange rate adjustments, Exchange rate modelling, Exchange rates, Foreign exchange, Monetary base, Money, Purchasing power parity, Real exchange rates

Keywords: Canadian dollar, Current account, Deutsche mark, Dollar-Deutsche Mark exchange rate, Exchange rate adjustments, Exchange rate modelling, Exchange rate movement, Exchange rates, Mean reversion, Monetary base, Nominal interest rate, Null hypothesis, Pound sterling, Random walk, Random walk finding, Random walk property, Real exchange rates, U.S. dollar, WP

Publication Details

Pages:

54
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1990/102
Stock No:

WPIEA1021990
ISBN:

9781451948349
ISSN:

1018-5941

Notes

Also published in Staff Papers, Vol. 38, No. 3, September 1991.

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