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Panel cointegration and the monetary exchange rate model

✍ Scribed by Syed A. Basher; Joakim Westerlund

Book ID
116423877
Publisher
Elsevier Science
Year
2009
Tongue
English
Weight
750 KB
Volume
26
Category
Article
ISSN
0264-9993

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πŸ“œ SIMILAR VOLUMES

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Are exchange rates cointegrated with monetary model in panel data?
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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

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✍ Joakim Westerlund; Syed A. Basher πŸ“‚ Article πŸ“… 2007 πŸ› John Wiley and Sons 🌐 English βš– 155 KB

## Abstract A common explanation for the inability of the monetary model to beat the random walk in forecasting future exchange rates is that conventional time series tests may have low power, and that panel data should generate more powerful tests. This paper provides an extensive evaluation of th