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Identification and estimation of exchange rate models with unobservable fundamentals

Chambers, MJ and McCrorie, JR (2006) 'Identification and estimation of exchange rate models with unobservable fundamentals.' International Economic Review, 47 (2). 573 - 582. ISSN 0020-6598

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Abstract

This article is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the continuous-time model proposed by Gardeazabal, Regúlez, and Vázquez (International Economic Review 38 (1997), 389-404) is not identified and that this property is characteristic of the discrete-time representation of the model that they used as the basis for estimation by simulated method of moments. We briefly discuss the implications of this result in the context of the asset-market model of exchange rates with unobservable fundamentals.

Item Type: Article
Subjects: H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Economics, Department of
Depositing User: Jim Jamieson
Date Deposited: 07 Jul 2012 22:41
Last Modified: 05 Feb 2019 18:15
URI: http://repository.essex.ac.uk/id/eprint/2774

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