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| Tekijä: | Gros, D. |
| Otsikko: | On the volatility of exchange rates: tests of monetary and portfolio balance models of exchange rate determination |
| Lehti: | Weltwirtschaftliches Archiv
1989 : VOL. 125:2, p. 273-295 |
| Asiasana: | FINANCIAL MODELS EXCHANGE RATES |
| Kieli: | eng |
| Tiivistelmä: | The article tries to verify the joint hypothesis that a/ foreign exchange markets are efficient, and b/ that the exchange rate is determined by a particular model. The procedure used is the socalled variance bound test, developed in the finance literature. A number of widely used exchange rate models are analysed to determine whether the volatility of exchange rates is larger than the volatility of fundamentals that ought to determine them. Floating exchange rates are considerably more volatile than one could justify from the behaviour of the fundamentals. |
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