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Volatility Tests of the Monetary Model
More General Specifications of the Model
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adjustment of money benchmark rate better statistical properties Bretton Woods system broad money calibrated conditional volatilities currency markets definition of exchange evidence of excess evidence that exchange excessive exchange rate excessively volatile exchange rate models exchange rate volatility Foreign Exchange Markets fundamental exchange rate Hodrick Hodrick-Prescott filter indicates that inequality inequality 16A interest parity condition INTERNATIONAL MONETARY FUND Japanese yen major currencies major exchange rates Mankiw Market and Fundamental market efficiency market exchange rate match observed patterns measuring exchange rate model's predictions models to match monetary model money adjustment money stocks normal statistics number of observations parameters patterns of exchange popular exchange rate post-Bretton Woods period Pound sterling previous regression-based tests Purchasing Power Parity random walk benchmark restrictive version specifications st-s Sticky Prices sticky-price superscript A indicates test procedure tests of asset textbook flex-price time-varying risk premia underlying model violated volatility inequalities volatility of exchange volatility tests volatility-based tests