The Monetary Approach to Exchange Rate in an Efficient Foreign Exchange Market: Tests Based on Volatility
检验了有效外汇市场中货币分析法对汇率波动的方差边界，发现样本数据违背了该边界，且货币模型的预测误差可被历史数据预测，表明货币分析法与数据不兼容或市场非有效。
ABSTRACT The variance bounds on exchange rate movements implied by the monetary approach to exchange rate in an efficient foreign exchange market is shown to be violated by sample data. The paper also presents evidence showing that the forecast errors implied by the monetary model can be forecasted using historical data. The results are interpreted to suggest either the incompatibility of the monetary approach with sample data, or an inefficient foreign exchange market or both.