A model of speculative efficiency with ‘news’ error components

References

• Breusch , T. and Pagan , A. 1980 . The Lagrange-mulltplier test and its applications to model specification in econometrics . Review of Economic Studies , : 239 – 254 .
   Web of Science ®Google Scholar
• Cagan , P. 1991 . Expectations in the German hyperinflation reconsidered . Journal of International Money and Finance , : 551 – 560 .
   Web of Science ®Google Scholar
• Dornbusch , R. 1956 . “ The monetary dynamics of hyperinflation ” . In Studies in the Quantity Theory of Money Edited by: Friedman , M. Chicago
   Google Scholar
• Dornbusch , R. 1983 . “ Exchange rate economics: where do we stand? ” . In Economic Interdependence and Flexible Exchange Rates , Edited by: Bhandari , J and Putnam , B. Cambridge : MIT Press .
   Google Scholar
• Edwards , S. 1983a . Floating exchange rates, expectations and new informaton . Journal of Monetary Economics , : 321 – 336 .
   Web of Science ®Google Scholar
• Edwards , S. 1983b . Exchange rates and ‘news’: a multi-currency approach . Jourrnal of International Money and Finance , : 211 – 224 .
   Google Scholar
• Einzig , P. 1977 . The Theory of Forward Exchange , London : Macmillan .
   Google Scholar
• Frankel , J. 1979 . On the mark: a theory of ftoating exchange rates based on real interest differentials . American Economic Review , : 10 – 22 .
   Web of Science ®Google Scholar
• FrenKel , J . 1978 . The forward exchange rate, expectations and the demand for money: the German hyperinftation . American Economic Review , : 653 – 670 .
   Web of Science ®Google Scholar
• Frenkel , J. 1978 . “ The forward exchange rate, expectations, and the demand for money: the German hyperinftation ” . In The Economics of Exchange Rates , Edited by: Frenkal and Johnson . Readings, MA : Addison-Wesley .
   Google Scholar
• Frenkel , J. 1979 . Further evidence on expectations and the demand for money during the German hyperinflation . Journal of Monetary Economics , : 81 – 96 .
   Web of Science ®Google Scholar
• Frenkel , J. 1980 . Exchange rates, prices. and money: lessons from the 1920s . American Economic Review, Papers and Proceedings , : 235 – 242 .
   Web of Science ®Google Scholar
• Frenkel , J. 1981 . Flexible exchange rates, prices and the role of news: lessons from the 1970s . Journal of Political Economics , : 665 – 705 .
   Web of Science ®Google Scholar
• Hakkio , C. and Pearce , D. 1985 . The reaction of exchange rates to economic news . Economic Inquiries , : 621 – 636 .
   Web of Science ®Google Scholar
• Hofman , D. and Schiagenhauf , D. 1985 . The impact of news and alternative theories of exchange rate determination . Joumal of Money, Credit and Banking , : 328 – 346 .
   Web of Science ®Google Scholar
• Keynes , J. 1923 . Monetary Reform , New York : Harcourt Brace .
   Google Scholar
• Krasker , W. 1980 . The 'peso problem' in testing the eftlciency of the forward exchange markets . Journal of Monetary Economics , : 69 – 76 .
   Web of Science ®Google Scholar
• Meese , J. and Singleton , K. 1982 . On unit roots and the empirical modeling of exchange rates . Journal of Finance , : 1029 – 1035 .
   Web of Science ®Google Scholar
• Pagan , A. 1984 . Econometric issues in the analysis of regressions with generated regressors . International Economic Review , : 221 – 247 .
   Web of Science ®Google Scholar
• Salemi , M . 1980 . forward exchange rate, expectations. and the demand for money: the German hyperintlation, comment . American Economic Review , : 763 – 770 .
   Web of Science ®Google Scholar
• Sargent , T. 1982 . “ The ends of four big intlations ” . In Inflation:Causes and Effects , Edited by: Hall , R. Chicago : NBER .
   Google Scholar
• Smith , :R. and Goodhart , C. 1985 . The relationship between exchange rate movements and monetary surprises: results for . The Manchester School , : 2 – 22 .
   Web of Science ®Google Scholar
• Taylor , M. and McMahon , P. 1988 . Long-run purchasing power parity in the I920s . European Econumic Review , : 179 – 198 .
   Web of Science ®Google Scholar
• Webb , S. 1986 . Fiscal news and inftationary expectations in Germany after World War I . Journal of Economic History , : 769 – 194 .
   Web of Science ®Google Scholar
• Webb , S. 1989 . Hyperinflation and Stabilisation in Weimar Germany , New York : Oxford University Press .
   Google Scholar