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Monetary and Asset Market Models for Sterling Exchange Rates: A Cointegration Approach
( Nicholas Sarantis ),( Chris Stewart ) 세종대학교 경제통합연구소 1995 Journal of Economic Integration Vol.10 No.3
The aim of this paper is to investigate the determination of bilateral sterling exchange rates over the floating period 1973Q1-1990Q3. The exchange rates covered are: US dollar/pound, D-mark/pound, yen/pound, and F-franc/pound. We provide an econometric evaluation of the main exchange rate theories, using the cointegration-error correction methodology and non-nested tests. We have been unable to find any statistical evidence in support of a long-run relationship consistent with the various monetary models. The empirical results for the long-run and dynamic exchange rate equations provide strong support for a modified uncovered interest rate parity and the portfolio balance models.
Monetary and Asset Market Models for Sterling Exchange Rates : A Cointegration Approach
Sarantis, Nicholas,Stewart, Chris 세종대학교 국제경제연구소 1995 Journal of Economic Integration Vol.10 No.3
The aim of this paper is to investigate the determination of bilateral sterling exchange rates over the floating period 1973Q1-1990Q3. The exchange rates covered are: US dollar/pound, q-mark/pound, yen/pound, and F-franc/pound. We provide an econometric evaluation of the main exchange rate theories, using the cointegration-error correction methodology and non-nested tests. We have been unable to find any statistical evidence in support of a long-run relationship consistent with the various monetary models. The empirical results for the long-run and dynamic exchange rate equations provide strong support for a modified uncovered interest rate parity and the portfolio balance models.