FRB: An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination

International Finance Discussion Papers

An Empirical Assessment of Non-Linearities in Models of Exchange Rate Determination
Richard A. Meese and Andrew K. Rose
1989-367 (November 1989)

Abstract: This paper examines the empirical relation between nominal exchange rates and macroeconomic fundamentals for five major OECD countries. Five theoretical models of exchange rate determination are considered. Potential non-linearities are examined using a variety of parametric and non-parametric techniques. We find that the poor explanatory power of the models considered cannot be attributed to non-linearities arising from time deformation or improper functional form.

Full paper(367 KB PDF)

PDF files: Adobe Acrobat Reader ZIP files: PKWARE

Home | IFDPs | List of 1989 IFDPs
Accessibility | Contact Us
Last update: November 10, 2008