المستودع الأكاديمي جامعة المدينة

Predicting real exchange rates from real interest rate differentials and net foreign asset stocks : evidence for the mark/dollar parity

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dc.creator Meier, Carsten-Patrick
dc.date 1999
dc.date.accessioned 2013-10-16T06:09:10Z
dc.date.available 2013-10-16T06:09:10Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/2350
dc.identifier ppn:309474892
dc.identifier ppn:309474892
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/2350
dc.description When nontraded goods prices are accounted for consistently and genuine stock data on bilateral foreign asset holdings is employed, a modified sticky-price exchange rate model by far outperforms the benchmark random walk-model in empirically forecasting the D-mark/dollar parity out of sample. Superior forecast performance holds both over long horizons and from the first step. Extending the sample back to the Bretton Woods period leaves the model's parameters and its performance virtually unaffected. By implication, the explanatory variables of the model show a pattern of exchange rate regime-dependent volatility that is similar to that of the real exchange rate itself.
dc.language eng
dc.publisher Kiel Institute for the World Economy (IfW) Kiel
dc.relation Kiel Working Papers 962
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject F31
dc.subject F32
dc.subject ddc:330
dc.subject real exchange rates
dc.subject real interest rates
dc.subject net foreign assets
dc.subject nontradables prices
dc.subject fixed/floating exchange rate regimes
dc.subject Kaufkraftparität
dc.subject Prognoseverfahren
dc.subject Realzins
dc.subject Zinsdifferenz
dc.subject Kapitalimport
dc.subject Monetäre Wechselkurstheorie
dc.subject Schätzung
dc.subject Deutschland
dc.subject USA
dc.title Predicting real exchange rates from real interest rate differentials and net foreign asset stocks : evidence for the mark/dollar parity
dc.type doc-type:workingPaper


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