Results 151 to 160 of about 27,054 (194)

An empirical note on the monetary exchange rate model

Applied Economics Letters, 2000
The validity of the monetary approach as a model of long-run exchange rate determination is examined under both fixed and flexible rate regimes. The powerful KPSS and JJ multivariate cointegration procedures are sequentially applied to test the order of integration and common trends in the monetary model under consideration.
Swarna D. Dutt, Dipak Ghosh
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Monetary Models of Exchange Rates and The Random Walk

Arthaniti: Journal of Economic Theory and Practice, 2006
Three alternative monetary models of exchange rate are tested using data on the Italian lira - US doIIar exchange rate. II is shown that up to the early 1990s these economic models perform better than the random walk model in out-of-sample forecasts.
LAGANA', GIANLUCA, SGRO PASQUALE
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A note on testing the monetary model of the exchange rate

Applied Financial Economics, 2001
In this note an alternative to the widely used reduced - form tests of the monetary model of the exchange rate is proposed. It is shown that the reduced form approach rests on implausible parameter restrictions which can be easily avoided by estimating the long-run money demand functions separately.
Mathias Moersch, Dieter Nautz
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The Asset Approach to the Exchange Rate: Monetary Models of the Exchange Rate

1995
The exchange rate can play a dual role: on the one hand, it can help to determine the relative price of commodities and, on the other, it can help to determine the relative price of assets denominated in different currencies. A general equilibrium theory of the exchange rate would have to bring into the analysis the markets for assets and the markets ...
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Monetary Model of Exchange Rate: Empirical Evidence from Malawi [PDF]

SSRN Electronic Journal, 2004
In this paper, we examine the monetary model of the Malawi Kwacha - U.S. dollar exchange rate during the current floating exchange rate system by applying several recent developments in the econometrics of unit roots and cointegration. Several interesting and important results are found.
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Cointegration and the Monetary Model of the Exchange Rate

1994
Within this paper methods to estimate partial cointegration systems, as well as complete systems like the Johansen procedure, are applied to the monetary model of the exchange rate. The partial system gives some evidence in favour of the purchasing power parity hypothesis, which is especially supported by Lagrange multiplier tests for weak exogeneity ...
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The failure of the monetary exchange rate model for the Canadian‐U.S. dollar [PDF]

Canadian Journal of Economics/Revue canadienne d'économique, 2000
In this paper the validity of the monetary exchange rate model in the long run for the Canadian‐U.S. dollar exchange rate is examined. The primary test employed is the Johansen (1991) and Johansen and Juselius (1990) cointegration technique. The effects of dummy variables and lag specification on the statistical inference are considered, and Monte ...
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The Monetary Models of Exchange-rate Determination

1998
The purchasing power parity theory outlined in Chapter 6 is far from a satisfactory explanation of observed exchange-rate behaviour. In particular, it is very much concerned with goods arbitrage and has nothing to say about capital movements internationally.
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Diverse Information and Market Efficiency in a Monetary Model of the Exchange Rate

The Economic Journal, 1981
Tests of informational efficiency of a given market involve testing two hypotheses simultaneously: the first is the hypothesis about the structure determining equilibrium prices or returns, and the second is the hypothesis about the information used in formulating expectations and the ability of agents to set current prices to conform with their ...
Harris, Richard G, Purvis, Douglas D
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The monetary model of the exchange rate: A structural interpretation [PDF]

, 1998
We emphasize the importance of properly identifying the long-run relations underlying the monetary model of the exchange rate. The separate estimation of long-run money demands leads to a 'structural' error correction equation which allows an interpretation of the various channels affecting the exchange rate in the monetary model.
Moersch, Mathias, Nautz, Dieter
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