Structural Models of the Dollar

Author/Editor:

Charles Adams ; Bankim Chadha

Publication Date:

November 1, 1990

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.

Series:

Working Paper No. 1990/102

Subject:

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

Notes:

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

English

Publication Date:

November 1, 1990

ISBN/ISSN:

9781451948349/1018-5941

Stock No:

WPIEA1021990

Pages:

54

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