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Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
The value of the dollar appears to move in one direction for long periods of time. We develop a new statistical model of exchange rate dynamics as a sequence of stochastic, segmented time trends. We reject the null hypothesis that exchange rates follow a random walk in favor of our model of long swings. Our model also generates better forecasts than a random walk. The specification is a natural framework for assessing the importance of the "peso problem" for the dollar. We nonetheless reject uncovered interest parity.
Ketersediaan
| Call Number | Location | Available |
|---|---|---|
| TAER 8004 | PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | Nashville: American Economic Association 1990 |
|---|---|
| Edisi | Vol. 80, No. 4, Sep., 1990 |
| Subjek | Dollar Market Data Natural framework |
| ISBN/ISSN | 0002-8282 |
| Klasifikasi | NONE |
| Deskripsi Fisik | 25 p. |
| Info Detail Spesifik | The American Economic Review |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas |