Some Evidenceon Exchange Rate Determination in Major Industrial Countries

Author/Editor:

Yan Sun ; R. B. Johnston

Publication Date:

August 1, 1997

Electronic Access:

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Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary:

This paper examines the role of long-run monetary and cyclical factors in determining exchange rate movements. Results of empirical study using a data set that includes Canada, Germany, Japan, the United Kingdom, and the United States support the view that exchange rate movements can be explained by the efficient or rational adjustment of foreign exchange markets to economic fundamentals. In the long run, the exchange rate is determined consistent with a monetary approach to exchange rates, while cyclical factors have an impact on short-run exchange rate dynamics. Estimated equations outperform random walk models of exchange rates.

Series:

Working Paper No. 97/98

Subject:

English

Publication Date:

August 1, 1997

ISBN/ISSN:

9781451852103/1018-5941

Stock No:

WPIEA0981997

Price:

$15.00 (Academic Rate:$15.00)

Format:

Paper

Pages:

38

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