Hidden Bibliographic Details
| Other authors / contributors: | Giorgianni, Lorenzo.
International Monetary Fund. Research Department.
International Monetary Fund. Asia and Pacific Department.
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| ISBN: | 1281600032
9781281600035
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| Notes: | Includes bibliographical references (pages 18-20).
Restrictions unspecified
Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010.
Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212
digitized 2010 HathiTrust Digital Library committed to preserve
Print version record.
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| Summary: | This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate "fundamentals." Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market
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| Other form: | Print version: Bartolini, Leonardo. Excess volatility and the asset-pricing exchange rate model with unobservable fundamentals. [Washington, D.C.] : International Monetary Fund, Research Department and Asia and Pacific Department, ©1999
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