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The Monetary Model of Exchange Rate Determination
1992Monetary models of exchange rate determination were developed after the collapse of the fixed exchange rate system in the early 70’s. They are descendants of the Mundell-Fleming type of models. Several versions have been put forward giving rise to three main types of models.
Javier Gardeazabal, Marta Regúlez
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The monetary model of exchange rates revisited
Applied Financial Economics, 1994This paper presents empirical evidence on the monetary model of exchange rate determination that is in contrast with the bulk of existing empirical evidence. The Johansen multivariate technique of cointegration is applied to an unrestricted form of a version of the monetary model that allows distinction between traded and non-traded goods.
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A Chaotic Monetary Model of the Exchange Rate
1993Ever since the empirical breakdown of linear structural exchange rate models, the predominant view on exchange rate dynamics has been based on the ‘news’ model. In this model the only sources driving the exchange rate are random events, such as those explored by Frenkel and Mussa (1985), Levich (1985) and Mussa (1984).
De Grauwe, Paul, Dewachter, Hans
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Dynamic forecasting of sticky-price monetary exchange rate model
Atlantic Economic Journal, 2003The Dornbusch-Frankel monetary model is used to estimate the out-of-sample forecasting performance for the U.S. or Canadian dollar exchange rate. By using Johansen's multivariate cointegration, up to three cointegrating vectors were found between the exchange rate and macroeconomic fundamentals.
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Cointegration and the Monetary Exchange Rate Model Revisited*
Oxford Bulletin of Economics and Statistics, 2002To test for cointegration in a multiple of countries a number of procedures are available: a panel vector error correction framework, a panel-data version of the Engle and Granger (1987) two-step procedure and the Johansen (1991) trace statistic. We apply these three methods on two four-country datasets consisting of the exchange rate data and monetary
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The Monetary Models of Exchange-rate Determination
1998The 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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Nonlinear Exchange Rate Adjustment and the Monetary Model
Review of International Economics, 2013AbstractAlthough the empirical literature has delivered evidence in favor of nonlinearities in nominal and real exchange rate adjustment, the corresponding mechanisms with respect to the relationship between nominal exchange rates and fundamentals in general have rarely been put under any close scrutiny.
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Cointegration, exogeneity and testing the monetary exchange rate models
2021ÖZ EŞBÜTÜNLEŞME, DIŞS ALLIK VE PARASALCI DÖVİZ KURU MODELLERİNİN SINANMASI Çavuşoğlu, Ali Tarkan Yüksek Lisans, İktisat Bölümü Tez Yöneticisi: Dr. Erdal Özmen Eylül 1996, 59 sayfa Bu tez, parasala döviz kuru belirleme modellerinin Türkiye'deki geçerliliğini üç aylık verilerle, 1981:1- 1995:2 dönemi için araştırmaya çalışmaktadır. Bu teze konu olan
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An empirical note on the monetary exchange rate model
Applied Economics Letters, 2000The 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, 2006Three 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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