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• W2157592158 abstract "In an inuential paper, Engel and West (2005) claim that the near random-walk behavior of nom- inal exchange rates is an equilibrium outcome of a variant of present-value models when economic fundamentals follow exogenousrst-order integrated processes and the discount factor approaches one. Subsequent empirical studies further conrm this proposition by estimating a discount factor that is close to one under distinct identication schemes. In this paper, I argue that the unit market discount factor implies the counterfactual joint equilibrium dynamics of random-walk ex- change rates and economic fundamentals within a canonical, two-country, incomplete market model. Bayesian posterior simulation exercises of a two-country model based on post-Bretton Woods data from Canada and the United States reveal difficulties in reconciling the equilibrium random-walk proposition within the two-country model; in particular, the market discount factor is identied as being much lower than one." @default.
• W2157592158 created "2016-06-24" @default.
• W2157592158 creator A5025899898 @default.
• W2157592158 date "2013-01-01" @default.
• W2157592158 modified "2023-09-26" @default.
• W2157592158 title "Exchange Rates and Fundamentals: Closing a Two-Country Model" @default.
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• W2157592158 doi "https://doi.org/10.2139/ssrn.2322551" @default.
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