Modelling the Financial Markets: Empirical Findings

Paul Grauwe, Michele Fratianni and Mustapha K. Nabli
Additional contact information
Paul Grauwe: Catholic University of Leuven
Mustapha K. Nabli: University of Tunis

Chapter 6 in Exchange Rates, Money and Output, 1985, pp 90-139 from Palgrave Macmillan

Abstract: Abstract The theoretical analysis of the last chapter will now be employed to estimate the structure of the financial markets. Portfolio-balance models are specified and estimated for six European economies: Germany, France, Italy, the Netherlands, Belgium and the United Kingdom. The financial sector of the last-named country has so many institutional characteristics, as well as specific data requirements, that we found it necessary to treat it separately. In fact, the UK model is presented in Section VI. For the other five countries we employ, instead, a common framework, discussed in Section II. Section III tackles the problems of exchange rate modelling and exchange rate expectations; Section IV, estimation methods; Section V, the findings for the five European countries and Section VII the simulation and tracking performance of the models.

Keywords: Exchange Rate; Interest Rate; Foreign Asset; Current Account Balance; Domestic Asset (search for similar items in EconPapers)
Date: 1985
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-17699-1_6

Ordering information: This item can be ordered from
http://www.palgrave.com/9781349176991

DOI: 10.1007/978-1-349-17699-1_6

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().