Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability
构建并检验了瑞士/美元汇率的货币理性预期模型，假设国内外资产不完全替代且购买力平价不成立，模型优于随机游走基准。
The authors develop and test a monetary rational expectations model of the Swiss/U.S. exchange rate. Two salient features of the model are the assumption that domestic and foreign currency denominated assets are imperfect substitues, and that purchasing power parity need not hold. The authors fail to reject overidentifying restrictions imposed on the model by the rational expectations hypothesis. Their point estimates, especially for the income elasticity of the demand for money, are plausible. Finally, the model outperforms the random walk model established as a benchmark by R. A. Meese and K. S. Rogoff (1983). Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.