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Inflation, exchange rates and PPP in a multivariate panel cointegration model

✍ Scribed by Tor Jacobson; Johan Lyhagen; Rolf Larsson; Marianne Nessén


Book ID
110880074
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
164 KB
Volume
11
Category
Article
ISSN
1368-4221

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