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A forward looking model of the exchange rate
Author(s) -
Hall S. G.
Publication year - 1987
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.3950020104
Subject(s) - simple (philosophy) , exchange rate , econometrics , basis (linear algebra) , arbitrage , mathematical economics , computer science , economics , financial economics , mathematics , macroeconomics , epistemology , philosophy , geometry
This paper outlines a simple framework for testing some of the underlying concepts which form the basis of a number of recent models of exchange rate determination. It estimates a structural exchange rate equation with explicit forward expectations using the Wickens errors‐in‐variables method. The paper finds a strong rejection of the simple open arbitrage model in favour of a more complex model.
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