The question 'Does the monetary model explain the exchange rate movement?' is re-examined. Using the simple monetary model, whether or not the exchange rates are cointegrated with the monetary model is tested. With data from seven countries during the recent float period, the panel approach gives fa
Cointegration and the Monetary Exchange Rate Model Revisited
β Scribed by Jan J. J. Groen
- Book ID
- 108554515
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 147 KB
- Volume
- 64
- Category
- Article
- ISSN
- 0140-5543
No coin nor oath required. For personal study only.
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## Abstract In this paper, I first estimate a structural VAR model by following Clarida and Gali (1994) and obtain results indicating that the variance of real exchange rates can be attributed more to monetary shocks when the sample span is extended. In order to further investigate this aspect, I t
On 19-20, April 2001 economists and researchers from the ECB and the FED discussed the interaction between monetary policy and exchange rates at a workshop that was jointly organized by Columbia University, the Technical University, Vienna, and the Oesterreichische Nationalbank. Its aim was to provi