Empirical Modeling of Exchange Rate Dynamics

by Francis X. Diebold

Book Overview

Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven...

• Format: Paperback
• Language: English
• ISBN: 3540189661
• ISBN13: 9783540189664
• Release Date: March 1988
• Publisher: Springer
• Length: 143 Pages
• Weight: 0.58 lbs.
• Dimensions: 0.3" x 6.7" x 9.6"