Publications
Detailed Information
Is the Monetary Model Useful in Explaining Exchange Rates? - Panel Cointegration Evidence
Cited 0 time in
Web of Science
Cited 0 time in Scopus
- Authors
- Issue Date
- 2001-04
- Citation
- Seoul Journal of Economics, Vol.14 No.2, pp. 169-182
- Keywords
- monetary model ; panel cointegration
- Abstract
- A number of studies have sought to provide a reasonable explanation for exchange rate determination. The most frequently used approach is based on monetary models. However, it is difficult to find a cointegration relationship between exchange rates and relative differentials of money and income using this approach. This does not mean that a cointegration relationship does not exist. Conventional single equation approaches simply have a low performance power. We employed the panel cointegration approach to overcome this potential problem. We formulated a system of monetary models for 8 nations and found that cointegration relationships existed. Given these cointegration relationships, we estimated cointegrating vectors that are consistent with theoretical signs and magnitude.
- ISSN
- 1225-0279
- Language
- English
- Files in This Item:
Item View & Download Count
Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.