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Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment



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Robert M La Follette School of Public Affairs at the University of Wisconsin Madison Working Paper Series La Follette School Working Paper No 2006 016 http www lafollette wisc edu publications workingpapers Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment Ron Alquist University of Michigan ralquist umich edu Menzie D Chinn Professor La Follette School of Public Affairs and Department of Economics at the University of Wisconsin Madison and the National Bureau of Economic Research mchinn lafollette wisc edu Robert M La Follette School of Public Affairs 1225 Observatory Drive Madison Wisconsin 53706 Phone 608 262 3581 Fax 608 265 3233 info lafollette wisc edu http www lafollette wisc edu The La Follette School takes no stand on policy issues opinions expressed within these papers reflect the views of individual researchers and authors Conventional and Unconventional Approaches to Exchange Rate Modeling and Assessment Ron ALQUIST University of Michigan Menzie D CHINN University of Wisconsin and NBER June 21 2006 Acknowledgements We thank Paul De Grauwe Helene Rey Ken West and the participants at the ECB Bank of Canada workshop Exchange Rate Determinants and Economic Impacts for helpful comments We also thank Gian Maria Milesi Ferretti for providing data on foreign assets and liabilities The views contained in the paper are solely those of the authors and do not represent those of the institutions the authors are associated with or the ECB or Bank of Canada Correspondence Department of Economics University of Michigan 611 Tappan St Ann Arbor MI 48109 Email ralquist umich edu Robert M La Follette School of Public Affairs and Department of Economics University of Wisconsin 1180 Observatory Drive Madison WI 53706 Tel Fax 1 608 262 7397 2033 Email mchinn lafollette wisc edu 1 Abstract We examine the relative predictive power of the sticky price monetary model uncovered interest parity and a transformation of the net exports variable In



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