ECONOMETRIC APPROACHES TO EMPIRICAL MODELS OF EXCHANGE RATE DETERMINATION
梳理了汇率决定资产市场模型的四种计量方法：传统静态简化式、误差修正与协整动态简化式、联立方程以及大型宏观模拟模型，并评估其理论有效性和实证结果，发现多方程联立估计更优。
Abstract. This paper identifies four principal econometric approaches to the estimation and testing of asset market models of exchange rate determination: the traditional, static reduced‐form approach; the error correction and co‐integration, dynamic reduced‐form approaches; the simultaneous equations approach; and large scale, multi‐equation macroeconometric simulation models. Each of these econometric approaches is evaluated with respect to its theoretical validity and the comparative properties of the empirical results obtained. This leads to the conclusion that although there may be little to choose between the different theoretical exchange rate models, there may be grounds for favouring a multi‐equation, simultaneous estimation procedure for this class of models.