01775cas a2200253 a 4500 AALejournalIMF000891 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451849226 1018-5941 BD-DhAAL BD-DhAAL Giorgianni, Lorenzo. Excess Volatility and the Asset-Pricing Exchange Rate Model with Unobservable Fundamentals / Lorenzo Giorgianni, Leonardo Bartolini. Washington, D.C. : International Monetary Fund, 1999. 1 online resource (20 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper presents a method to test the volatility predictions of the textbook asset-pricing exchange rate model, which imposes minimal structure on the data and does not commit to a choice of exchange rate 'fundamentals.' Our method builds on existing tests of excess volatility in asset prices, combining them with a procedure that extracts unobservable fundamentals from survey-based exchange rate expectations. We apply our method to data for the three major exchange rates since 1984 and find broad evidence of excess exchange rate volatility with respect to the predictions of the canonical asset-pricing model in an efficient market. Mode of access: Internet Bartolini, Leonardo. IMF Working Papers; Working Paper ; No. 1999/071 Full text available on IMF http://elibrary.imf.org/view/journals/001/1999/071/001.1999.issue-071-en.xml IMF e-Library