An empirical assessment of non-linearities in models of exchange rate determination

Richard Meese () and Andrew Rose

No 367, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper examines the empirical relation between nominal exchange rates and macroeconomic fundamentals for five major OECD countries. Five theoretical models of exchange rate determination are considered. Potential non-linearities are examined using a variety of parametric and non-parametric techniques. We find that the poor explanatory power of the models considered cannot be attributed to non-linearities arising from time deformation or improper functional form.

Keywords: Foreign; exchange; rates (search for similar items in EconPapers)
Date: 1989
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Citations: View citations in EconPapers (13)

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Related works:
Journal Article: An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination (1991)
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