Accounting for real and nominal exchange rate movements in the post-Bretton Woods period

Journal of International Money and Finance

Volumn 16, Issue 2, 1997, Pages 233-254

  Enders, Walter ^a   Lee, Bong Soo ^b  

^a IOWA STATE UNIVERSITY   (United States)

^b UNIVERSITY OF HOUSTON   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031116565     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(96)00054-X     Document Type: Article

References (27)

1. Ahmed, S., Ickes, B. W., Wang, P. and Yoo, B. S. (1993) International business cycles. American Economic Review 83, 335-359.
2. Adler, M. and Lehman, B. (1983) Deviations from purchasing power parity in the long run. Journal of Finance 38, 1471-1487.
3. Backus, D. (1986) The Canadian-US exchange rate: evidence from a VAR. Review of Economics and Statistics 68, 628-637.
4. Baillie, R. and McMahon, P. (1989) The foreign exchange market: theory and econometric evidence. Cambridge: Cambridge University Press.
5. Baillie, R. and Selover, D. (1987) Cointegration and models of exchange rate forecasting. International Journal of Forecasting 3, 43-52.
6. Blanchard, O. and Quah, D. (1989) The dynamic effects of aggregate demand and supply disturbances. American Economic Review 79, 655-673.
7. Corbae, D. and Oulairis, S. (1988) Cointegration and tests of purchasing power parity. Review of Economics and Statistics 70, 508-512.
8. Dibooglu, S. and Enders, W. (1995) Multiple cointegrating vectors and structural economic models: an application to the French Franc/US Dollar exchange rate. Southern Economic Journal 61, 1098-1116.
9. Dickey, D. A. and Fuller, W. A. (1979) Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 74, 427-431.
10. Dornbusch, R. (1976) Expectations and exchange rate dynamics. Journal of Political Economy 84, 1161-1176.
11. Enders, W. (1988) ARIMA and cointegration tests of PPP under fixed and flexible exchange rates. Review of Economics and Statistics 70, 504-508.
12. Engel, C. and Hamilton, J. D. (1990) Long swings in the dollar: are they in the data and do markets know it? American Economic Review 80, 689-713.
13. Evans, M. D. D. and Lothian, J. R. (1993) The response of exchange rates to permanent and transitory shocks under floating exchange rates. Journal of International Money and Finance 12, 563-586.
14. Kim, J. O. and Enders, W. (1991) Real and monetary causes of real exchange rate movements in the Pacific rim. Southern Economic Journal 57, 1061-1070.
15. Kloek, T. and Van Dijk, H. K. (1978) Bayesian estimates of equation system parameters: an application of integration by Monte Carlo. Econometrica, 46: 1-20.
16. Koenig, E. (1989) Recent trade and exchange rate movements: possible explanations. Economic Review, Federal Reserve Bank of Dallas, 13-28.
17. Lastrapes, W. D. (1992) Sources of fluctuations in real and nominal exchange rates. Review of Economics and Statistics 74, 530-539.
18. Lee, B. S. (1995) The response of stock prices to permanent and temporary shocks to dividends. Journal of Financial and Quantitative Analysis 30, 1-22.
19. Lee, B. S. (1996) Time series implications of aggregate dividend behavior. Review of Financial Studies 9, 589-618.
20. MacDonald, R. (1993) Purchasing power parity: is it for real? Review of Economics and Statistics 75, 690-695.
21. MacDonald, R. and Taylor, M. P. (1993) The monetary approach to the exchange rate: rational expectations, long-run equilibrium, and forecasting. IMF Staff Papers 40, 89-107.
22. MacDonald, R. and Taylor, M. P. (1994) The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat the random walk. Journal of International Money and Finance 13, 276-290.
23. Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis. Econometrica 57, 1361-1401.
24. Perron, P. and Vogelsang, T. J. (1992) Nonstationary and level shifts with an application to purchasing power parity. Journal of Business and Economic Statistics 10, 301-320.
25. Quah, D. (1992) The relative importance of permanent and transitory components: identification and some theoretical bounds. Econometrica 60, 107-118.
26. Throop, A. (1989) Reagan fiscal policy and the dollar. Economic Review, Federal Reserve Bank of San Francisco, 18-26.
27. Worthington, P. (1991) Investment, GNP, and real exchange rates. Economic Perspectives, Federal Reserve Bank of Chicago.