An empirical investigation into the causes of failure of the monetary model of the exchange rate
用时间序列方法量化了汇率货币模型失败的主因，发现购买力平价假设失效和货币市场设定错误同等重要，并检验了汇率随机游走假说。
Abstract The purpose of this paper is to attempt to provide measures of the relative importance of the principal causes of the failure of the monetary model of the exchange rate. Secondly, the random walk hypothesis for the exchange rate is tested. The methodology employed is new and has wide application elsewhere. It involves explicitly modelling the misspecification by time series techniques. The results confirm the importance of the breakdown of the PPP assumption but they also show that misspecification of the money market is equally important. The results further show that lagged information can also improve upon the random walk model of the exchange rate.