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Cointegration between exchange rates: a generalized linear cointegration model

✍ Scribed by Yan-Xia Lin; Michael McCrae; Chandra M. Gulati


Book ID
114340103
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
337 KB
Volume
8
Category
Article
ISSN
1042-444X

No coin nor oath required. For personal study only.


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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