The Portfolio-Balance Model of Exchange Rates: Short-Run Behavior and Forecasting (The Korean Won/U.S. Dollar Case)

Using Monte Carlo simulation of the Portfolio-balance model of the exchange rates, we report finite sample properties of the GMM estimator for testing over-identifying restrictions in the simultaneous equations model. F-form of Sargans statistic performs better than its chi-squared form while Hansens GMM statistic has the smallest bias.

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The Portfolio-Balance Model of Exchange Rates

International Finance Discussion Paper ◽

10.17016/ifdp.1979.141 ◽

1979 ◽

Vol 1979 (141) ◽

pp. 1-28 ◽

Cited By ~ 4

Author(s):

Michael P. Dooley ◽

◽

Peter Isard

Keyword(s):

Exchange Rates ◽

Balance Model ◽

Portfolio Balance

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Financial capital movements and central bank behavior in a two-country, short-run portfolio balance model

Journal of Monetary Economics ◽

10.1016/0304-3932(76)90003-9 ◽

1976 ◽

Vol 2 (1) ◽

pp. 33-61 ◽

Cited By ~ 30

Author(s):

Lance Girton ◽

Dale W. Henderson

Keyword(s):

Central Bank ◽

Financial Capital ◽

Balance Model ◽

Capital Movements ◽

Portfolio Balance ◽

Bank Behavior ◽

Short Run

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A Portfolio Balance Model of the Open Economy

Credit and Capital Markets – Kredit und Kapital ◽

10.3790/ccm.52.4.457 ◽

2019 ◽

Vol 52 (4) ◽

pp. 457-476

Author(s):

Rüdiger Dornbusch

Keyword(s):

Open Economy ◽

Building Blocks ◽

Balance Model ◽

Asset Accumulation ◽

Macroeconomic Policies ◽

Portfolio Balance ◽

Short Run ◽

Over Time

This paper develops a framework in which to investigate the effects of macroeconomic policies. The key building blocks are those of Metzler (1968, 1973) in the form of a wealth saving relation and the emphasis on portfolio considerations; the model in its dynamic aspects is extended in a manner suggested in the work of Foley/Sidrauski (1971) and Mussa (1973), where the asset accumulation implied by short-run equilibrium is pursued over time.

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Exchange Rates and Monetary Fundamentals: What Do We Learn from Linear and Nonlinear Regressions?

Economics Research International ◽

10.1155/2014/746956 ◽

2014 ◽

Vol 2014 ◽

pp. 1-14 ◽

Cited By ~ 1

Author(s):

Guangfeng Zhang

Keyword(s):

Exchange Rate ◽

Exchange Rates ◽

Correction Model ◽

Exchange Rate Dynamics ◽

Long Run ◽

Exchange Rate Movements ◽

Short Run ◽

Us Dollar ◽

Linear And Nonlinear ◽

Japanese Yen

This paper revisits the association between exchange rates and monetary fundamentals with the focus on both linear and nonlinear approaches. With the monthly data of Euro/US dollar and Japanese yen/US dollar, our linear analysis demonstrates the monetary model is a long-run description of exchange rate movements, and our nonlinear modelling suggests the error correction model describes the short-run adjustment of deviations of exchange rates, and monetary fundamentals are capable of explaining exchange rate dynamics under an unrestricted framework.

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