87-108

• Απέργης, Νικόλαος

This paper makes uses the methodology of intertemporal asset pricing in order to assess the determinats of three currencies, the Greek drachma, the Deutsche mark and the Feench franc. The explanatory power of the model is assessed in terms of its forecasting capacity against certain competitive models. The results seem to support the superiority of a random walk model only in markets that have not developed a deep foreign exchange market, e.g., Greece. In addition, structural Vector Autoregressive (SVAR) techniques —in conjunction, with the model show that consumption shocks seem to dominate price and monetary shocks in Greece. By contrast, in the cases of Germany and France, monetary and price shocks play the leading role in explaining exchange rate movements.

• Economics and Business
• Computer and information sciences

• Οικονομία
• Statistics

Περιέχει πίνακες, παράρτημα, υποσημειώσεις και βιβλιογραφία, The author would like to thank an anonymous referee from the Journal for helpful comments and suggestions.