Exchange-Rate Dynamics: An Empirical Investigation
基于1973-79年瑞士与美国数据，估计简约式汇率方程，发现货币冲击后汇率短期超调约两倍，调整至新长期均衡需两年以上且呈非单调模式。
This paper estimates a reduced-form exchange-rate equation whose estimates are used to address questions on exchange-rate overshooting, intermediate-run exchange-rate dynamics, and long-run proportionality relationships between relative money supplies and exchange rates. Based on Swiss-U.S. data from the period 1973-79, the major findings are that following a monetary shock there is short-run exchange-rate overshooting by a factor of about two and that subsequent exchange-rate adjustments to a new long-run equilibrium take longer than 2 years and exhibit nonmonotonic patterns.