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Article
The Impact of Monetary Regime Changes: Some Exchange Rate Evidence
Journal of Economic Behavior and Organization
  • Tony Caporale, University of Dayton
Document Type
Article
Publication Date
3-1-1998
Abstract
Lucas has argued that coefficient changes can be explained by changing expectations caused by policy regime shifts. This paper provides evidence consistent with the Lucas critique. Using an efficient markets/news framework, Kalman Filter results show that surprise relative U.S. monetary expansion is associated both with periods of U.S. dollar depreciation and appreciation. I show that variables representing changes in monetary policy regimes can explain a substantial fraction of the movements in the time-varying parameter.
Inclusive pages
85-94
ISBN/ISSN
0167-2681
Publisher
Elsevier
Peer Reviewed
Yes
Citation Information
Tony Caporale. "The Impact of Monetary Regime Changes: Some Exchange Rate Evidence" Journal of Economic Behavior and Organization Vol. 35 Iss. 1 (1998)
Available at: http://works.bepress.com/tony_caporale/25/