Are exchange rate expectations adaptive? Evidence from a structural open economy macro model

Journal of Macroeconomics

Volumn 19, Issue 3, 1997, Pages 555-569

  Alba, Joseph D ^a  

^a NANYANG TECHNOLOGICAL UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0040007477     PISSN: 01640704     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0164-0704(97)00029-3     Document Type: Article

References (11)

1. Brown, Robert, and David Papell. "Exchange Rate, Inflation and Output Dynamics for the United States." Manuscript. Texas Tech University and University of Houston, January 1992.
2. Dornbusch, Rudiger. "The Theory of Flexible Exchange Rate Regimes and Macroeconomic Policy." Scandinavian Journal of Economics 2 (May 1976a): 255-75.
3. _. "Expectations and Exchange Rate Dynamics." Journal of Political Economy 84 (December 1976b): 1161-76.
4. Engle, Robert, and Clive Granger. "Co-integration and Error Correction: Representation, Estimation, and Testing." Econometrica 55 (March 1987): 251-76.
5. Frankel, Jeffrey, and Kenneth Froot. "Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations." American Economic Review 77 (March 1987): 133-53.
6. _. "Chartists, Fundamentalists and Trading in the Foreign Currency Market." American Economic Review 80 (March 1990a): 181-85.
7. _. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Currency Market." Manuscript. International Monetary Fund, March 1990b.
8. Hodrick, Robert. The Empirical Evidence on the Efficiency of Forward Exchange Markets. Chur: Harwood Academic Publishers, 1987.
9. Mackinnon, James. "Critical Values for Cointegration Tests." In Long Run Economic Relationships, edited by Robert Engle and Clive Granger. Oxford: Oxford University Press, 1991.
10. Papell, David. "Exchange Rate and Price Dynamics under Adaptive and Rational Expectations: An Empirical Analysis." Journal of International Money and Finance 11 (April 1992): 219-40.
11. Perron, Pierre. "The Great Crash, the Oil Price Shock and the Unit Root Hypothesis." Econometrica 57 (1989): 1361-401.