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Volumn 54, Issue 1, 1997, Pages 69-74

Forecasting the exchange rate PPP versus a random walk

Author keywords

Forecasting; Purchasing power parity

Indexed keywords


EID: 0030636540     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1765(96)00946-9     Document Type: Article
Times cited : (7)

References (13)
  • 1
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    • The purchasing power parity doctrine: A reappraisal
    • December
    • Balassa, Bela, 1964, The purchasing power parity doctrine: A reappraisal, Journal of Political Economy 72 (December), 584-96.
    • (1964) Journal of Political Economy , vol.72 , pp. 584-596
    • Balassa, B.1
  • 2
    • 0001921104 scopus 로고
    • An assessment of the evidence on purchasing power parity
    • John Williamson, ed., (Institute for International Economics, Washington, DC, Sept 1994)
    • Breuer, Janice Boucher, 1994, An assessment of the evidence on purchasing power parity, in: John Williamson, ed., Estimating equilibrium exchange rates (Institute for International Economics, Washington, DC, Sept 1994).
    • (1994) Estimating Equilibrium Exchange Rates
    • Breuer, J.B.1
  • 3
    • 0001538928 scopus 로고
    • Exchange rates, financial innovation and divisia money: The sterling/dollar rate 1972-1990
    • August
    • Chrystal, K. Alec and Ronald MacDonald, 1995, Exchange rates, financial innovation and divisia money: The sterling/dollar rate 1972-1990, Journal of International Money and Finance 14 (August), 493-513.
    • (1995) Journal of International Money and Finance , vol.14 , pp. 493-513
    • Chrystal, K.A.1    MacDonald, R.2
  • 4
    • 35248821084 scopus 로고
    • Determining the order of differencing in autoregressive processes
    • October
    • Dickey, David and S. Pantula, 1987, Determining the order of differencing in autoregressive processes, Journal of Business and Economic Statistics 15 (October), 455-61.
    • (1987) Journal of Business and Economic Statistics , vol.15 , pp. 455-461
    • Dickey, D.1    Pantula, S.2
  • 5
    • 0003518334 scopus 로고    scopus 로고
    • various issues, (Washington, D.C.)
    • International Monetary Fund, International financial statistics, various issues, (Washington, D.C.).
    • International Financial Statistics
  • 6
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • June/September
    • Johansen, Soren, 1988, Statistical analysis of cointegration vectors, Journal of Economic Dynamics and Control 12 (June/September), 231-254.
    • (1988) Journal of Economic Dynamics and Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 7
    • 0030480824 scopus 로고    scopus 로고
    • Real exchange rate behavior: The recent float from the perspective of the past two centuries
    • June
    • Lothian, James R. and Mark P. Taylor, 1996, Real exchange rate behavior: The recent float from the perspective of the past two centuries, Journal of Political Economy 104 (June), 488-509.
    • (1996) Journal of Political Economy , vol.104 , pp. 488-509
    • Lothian, J.R.1    Taylor, M.P.2
  • 8
    • 21844516997 scopus 로고
    • Long-run purchasing power parity: Is it for real?
    • November
    • MacDonald, Ronald, 1993, Long-run purchasing power parity: Is it for real?. Review of Economics and Statistics 75 (November), 690-95.
    • (1993) Review of Economics and Statistics , vol.75 , pp. 690-695
    • MacDonald, R.1
  • 9
    • 38149146963 scopus 로고
    • The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk
    • June
    • MacDonald, Ronald and Mark P. Taylor, 1994, The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk, Journal of International Money and Finance 13 (June), 276-290.
    • (1994) Journal of International Money and Finance , vol.13 , pp. 276-290
    • MacDonald, R.1    Taylor, M.P.2
  • 10
    • 21844489869 scopus 로고
    • Cointegration tests of the monetary exchange rate model for three high-inflation economies
    • August
    • McNown, Robert and Myles S. Wallace, 1994, Cointegration tests of the monetary exchange rate model for three high-inflation economies, Journal of Money, Credit and Banking 26 (August), 396-411.
    • (1994) Journal of Money, Credit and Banking , vol.26 , pp. 396-411
    • McNown, R.1    Wallace, M.S.2
  • 11
    • 33846907054 scopus 로고
    • Empirical exchange rate models of the Seventies: Do they fit out-of-sample?
    • February
    • Meese, R.A. and K. Rogoff, 1983, Empirical exchange rate models of the Seventies: Do they fit out-of-sample?, Journal of International Economics 14 (February), 3-24.
    • (1983) Journal of International Economics , vol.14 , pp. 3-24
    • Meese, R.A.1    Rogoff, K.2
  • 12
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum, Michael, 1992, A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics 54 (3), 461-471.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , Issue.3 , pp. 461-471
    • Osterwald-Lenum, M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.