000			02651cam a22003257 4500
001			w2249
003			NBER
005			20211020115031.0
006			m o d
007			cr cnu||||||||
008			210910s1987 mau fo 000 0 eng d
100	1		_aFrankel, Jeffrey A. _910692
245	1	0	_aAre Exchange Rates Excessively Variable? / _cJeffrey A. Frankel, Richard Meese.
260			_aCambridge, Mass. _bNational Bureau of Economic Research _c1987.
300			_a1 online resource: _billustrations (black and white);
490	1		_aNBER working paper series _vno. w2249
500			_aMay 1987.
520	3		_a"Unnecessary variation" is defined as variation not attributable to variation in fundamentals. In the absence of a good model of macroeconomic fundamentals, the question "are exchange rates excessively variable?" cannot be answered by comparing the variance of the actual exchange rate to the variance of a set of fundamentals. This paper notes the failure of regression equations to explain exchange rate movements even using contemporaneous macroeconomic variables. It notes as well the statistical rejections of the unbiasedness of the forward exchange rate as a predictor of the spot rate. It then argues that, given these results, there is not much to be learned from the variance-bounds tests and bubbles tests. The paper also discusses recent results on variation in the exchange risk premiums arising from variation in conditional variances, both as a source of the bias in the forward rate tests and as a source of variation in the spot rate. It finishes with a discussion of whether speculators' expectations are stabilizing or destabilizing, as measured by survey data. The paper concludes that it is possible that exchange rates have been excessively variable -- as, for example, when there are speculative bubbles -- but that if policy-makers try systematically to exploit their credibility in order to stabilize exchange rates, they may see their current credibility vanish.
530			_aHardcopy version available to institutional subscribers
538			_aSystem requirements: Adobe [Acrobat] Reader required for PDF files.
538			_aMode of access: World Wide Web.
588	0		_aPrint version record
690		7	_aF - International Economics _2Journal of Economic Literature class.
700	1		_aMeese, Richard.
710	2		_aNational Bureau of Economic Research.
830		0	_aWorking Paper Series (National Bureau of Economic Research) _vno. w2249.
856	4	0	_uhttps://www.nber.org/papers/w2249
856			_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w2249
942			_2ddc _cW-PAPER
999			_c346296 _d304858