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  • Search: subject_exact:"Monetary model of the exchange rate"
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Year of publication
Subject
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Exchange Rates Volatility 1 Markov switching model 1 Markovscher Prozess 1 Monetary Model of The Exchange Rate 1 Monetäre Wechselkurstheorie 1 Schätzung 1 Theorie 1 Welt 1 Zinsdifferenz 1 monetary model of the exchange rate 1 real interest differential (RID) model (Frankel 1979) 1
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Online availability
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Free 1 Undetermined 1
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 1
Language
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English 1 Undetermined 1
Author
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Frömmel, Michael 1 MacDonald, Ronald 1 Menkhoff, Lukas 1 Smith, Peter N 1 Wickens, Michael R. 1
Institution
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C.E.P.R. Discussion Papers 1
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CEPR Discussion Papers 1 Diskussionsbeitrag 1
Source
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EconStor 1 RePEc 1
Showing 1 - 2 of 2
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Markov switching regimes in a monetary exchange rate model
Frömmel, Michael; MacDonald, Ronald; Menkhoff, Lukas - 2002
This paper extends the real interest differential (RID) model of Frankel (1979) by introducing Markov regime switches for three exchange rates over the years 1973 - 2000. Evidence of a non-linear relationship between exchange rates and underlying fundamentals is provided. One of the regimes...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10010317625
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An Empirical Investigation into the Causes of the Failure of the Monetary Model of the Exchange Rate
Smith, Peter N; Wickens, Michael R. - C.E.P.R. Discussion Papers - 1984
A well known characteristic of flexible exchange rates is their volatility, with result that their movement can be closely approximated by a random walk. One of the attractions of the monetary model of the exchange rate is its ability to offer an explanation of this volatility. A major drawback...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10005498155
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