Macroeconomic determinants of exchange rates: a frequency-specific analysis
- 1 January 1996
- journal article
- research article
- Published by Taylor & Francis Ltd in Applied Economics
- Vol. 28 (1), 55-63
- https://doi.org/10.1080/00036849600000007
Abstract
This paper applies a new methodology, rolling spectral regression, to investigate currency movements at various frequencies. This technique generates efficient and frequency-band estimates of the regression coefficients between three major exchange rates and their determinants from a generic monetary model. Empirical results reported in this study suggest that the variations of the yen/dollar and pound/dollar exchange rates can be explained by changes in monetary policy in the long run and fluctuations in economic growth and long-term interest rates in the medium runKeywords
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