The Interrelationship of Monetary Policies under Floating Exchange Rates: Note

1985 ◽  
Vol 17 (1) ◽  
pp. 103 ◽  
Author(s):  
Dallas S. Batten ◽  
Mack Ott
Keyword(s):  
Exchange Rates ◽  
Monetary Policies ◽  
Floating Exchange Rates

Mean Reversion in G-10 Nominal Exchange Rates

2006 ◽  
Vol 41 (3) ◽  
pp. 685-708 ◽  
Author(s):  
Richard J. Sweeney
Keyword(s):  
Exchange Rates ◽  
Unit Roots ◽  
Mean Reversion ◽  
Industrial Country ◽  
Monetary Policies ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Out Of Sample ◽  
Significance Levels ◽  
Floating Exchange Rates

AbstractAccording to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in out-of-sample forecasts mean reversion models beat random walks significantly in some forecast periods. For monthly data, the range of expected USD-DEM appreciation rates exceeds 15% per year in the mean reversion model. Mean reversion places strong restrictions on international models: over the sample period, the G-10 had to run monetary policies consistent with stable long-run nominal rates.

scholarly journals Floating Exchange Rates after Ten Years

1983 ◽  
Vol 1983 (1) ◽  
pp. 1 ◽  
Author(s):  
Jeffrey R. Shafer ◽  
Bonnie E. Loopesko ◽  
Ralph C. Bryant ◽  
Rudiger Dornbusch
Keyword(s):  
Exchange Rates ◽  
Floating Exchange Rates

scholarly journals Floating exchange rates are no panacea

1971 ◽  
Vol 6 (8) ◽  
pp. 235-237
Author(s):  
Raymond Barre
Keyword(s):  
Exchange Rates ◽  
Floating Exchange Rates
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