Sterling's Relationship with the Dollar and the Deutschemark: 1976-89
Sterling's Relationship with the Dollar and the Deutschemark: 1976-89
复制标题
英镑与美元和德国马克的关系：1976-89
DOI：
10.2307/2233550
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发表时间：
1991
期刊：
影响因子：
--
通讯作者：
S. Hall
中科院分区：
文献类型：
--
作者：
A. Haldane;S. Hall
本文使用一个时变参数模型来评估双边汇率之间的联系，该模型可以用卡尔曼滤波器来估计。该技术解决了使用普通最小二乘估计货币相关性时出现的许多统计问题。将该技术应用于美元-英镑、DM-英镑和DM-美元双边汇率，结果表明，自20世纪70年代中期以来，英镑与美元（DM）的关系出现了市场弱化（强化）的趋势。此外，这些货币联系已被证明经历了许多制度转变，这表明美元/英镑关系减弱的时间与以前的研究提出的时间不同。1991年版权归皇家经济学会所有。
This paper evaluates the linkages between bilateral exchange rates using a time-varying parameter model, which can be estimated using the Kalman filter. The technique solves many of the statistical problems which arise when ordinary least squares is used to estimate currency correlation. Applying the technique to the dollar-sterling, DM-sterling, and DM-dollar bilateral exchange rates, the results suggest a market weakening (strengthening) of sterling's relationship with the dollar (DM) since the mid-1970s. Additionally, these currency linkages are shown to have undergone a number of regime shifts, suggesting that the timing of the weakening of the dollar/sterling relationship is different to that proposed by previous studies. Copyright 1991 by Royal Economic Society.