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Zur empirischen Relevanz des Monetären Modells für die Erklärung des DM/Dollar-Wechselkurses
Credit and Capital Markets – Kredit und Kapital, Vol. 33 (2000), Iss. 4 : pp. 498–520
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Dieter Nautz, Frankfurt/M.
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Abstract
The Empirical Relevance of the Monetary Model for the Deutschmark/Dollar Exchange Rate
This paper analyses the empirical relevance of the monetary model for explaining the deutschmark/dollar exchange rate. It is shown that the reduced form approach customary in the recent empirical literature results in unplausible parameter restrictions and in inefficient estimates of the underlying monetary demand functions. The monetary model allows good adjustment to the exchange-rate development only when the exchange rate equation is estimated in its structural form. Analysing the structural equations of the monetary model facilitates the economic interpretation of the exchange-rate equation and reduces the danger of statistical artefacts.