Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/67766 
Autor:innen: 
Erscheinungsjahr: 
1995
Schriftenreihe/Nr.: 
Queen's Economics Department Working Paper No. 1248
Verlag: 
Queen's University, Department of Economics, Kingston (Ontario)
Zusammenfassung: 
Economists often describe nominal exchange rates as forward-looking, so that they reflect discounted, expected, future fundamentals. This study applies a method for identifying the discount rate involved, without knowing or measuring fundamentals. Identification arises from assumptions on the stochastic process followed by fundamentals, combined with nonlinearity arising from expected future regime changes. Two applications yield evidence against the present-value model in the form of discount rates which are negative and statistically significant.
Schlagwörter: 
floating exchange rates
regime switching
JEL: 
F32
G12
Dokumentart: 
Working Paper

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