Identification and estimation of exchange rate models with unobservable fundamentals

• 成果类型: Article
• 署名作者: Chambers, MJ; McCrorie, JR
• 署名单位: University of Essex; University of Leicester
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2006.00389.x
• 发表日期: 2006
• 页码: 573-582
• 关键词: volatility; DYNAMICS

摘要

This article is concerned with issues of model specification, identification, and estimation in exchange rate models with unobservable fundamentals. We show that the continuous-time model proposed by Gardeazabal, Regulez, and Vazquez (International Economic Review 38 (1997), 389-404) is not identified and that this property is characteristic of the discrete-time representation of the model that they used as the basis for estimation by simulated method of moments. We briefly discuss the implications of this result in the context of the asset-market model of exchange rates with unobservable fundamentals.