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| Author: | Sjaastad, L. A. |
| Title: | On exchange rates, nominal and real. |
| Journal: | Journal of International Money and Finance
1998 : JUN, VOL. 17:3, p. 407-439 |
| Index terms: | EXCHANGE RATES FOREIGN EXCHANGE COMMODITIES |
| Language: | eng |
| Abstract: | The author develops an Australian 'commodity currency' exchange rate model, which is extended to deal with real exchange rates as well. The nominal and real exchange-rate versions are then tested on Swiss data for the post-Bretton Woods period. While the model tracks the Swiss franc nominal exchange rate vis-à-vis the dollar and the major European currencies very well, Swiss PPP real exchange rates are found to be contaminated with measurement error. |
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