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Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries

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  • Cushman, David O.
  • Sang Sub Lee
  • Thorgeirsson, Thorsteinn

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 15 (1996)
Issue (Month): 3 (June)
Pages: 337-368

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Handle: RePEc:eee:jimfin:v:15:y:1996:i:3:p:337-368

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Web page: http://www.elsevier.com/locate/inca/30443

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References

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  1. Jeffrey A. Frankel and Andrew K. Rose., 1995. "A Survey of Empirical Research on Nominal Exchange Rates," Center for International and Development Economics Research (CIDER) Working Papers, University of California at Berkeley C95-051, University of California at Berkeley.
  2. Johansen, Søren, 1992. "A Representation of Vector Autoregressive Processes Integrated of Order 2," Econometric Theory, Cambridge University Press, vol. 8(02), pages 188-202, June.
  3. Baillie, Richard T. & Selover, David D., 1987. "Cointegration and models of exchange rate determination," International Journal of Forecasting, Elsevier, vol. 3(1), pages 43-51.
  4. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers, Princeton, Department of Economics - Econometric Research Program 360, Princeton, Department of Economics - Econometric Research Program.
  5. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Papers, Queen's University, Department of Economics 1227, Queen's University, Department of Economics.
  6. Peter Liu, 1992. "Purchasing power parity in Latin America: A co-integration analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 128(4), pages 662-680, December.
  7. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780195060119, October.
  8. Karen K. Lewis & Martin D. Evans, 1992. "Do Expected Shifts in Inflation Policy Affect Real Rates?," NBER Working Papers 4134, National Bureau of Economic Research, Inc.
  9. Dornbusch, Rudiger & Giovannini, Alberto, 1990. "Monetary policy in the open economy," Handbook of Monetary Economics, Elsevier, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 2, chapter 23, pages 1231-1303 Elsevier.
  10. Johansen, Søren & Juselius, Katarina, 1992. "Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK," Journal of Econometrics, Elsevier, vol. 53(1-3), pages 211-244.
  11. Adrian Blundell-Wignall & Robert G. Gregory, 1990. "Exchange Rate Policy in Advanced Commodity-Exporting Countries: The Case of Australia and New Zealand," OECD Economics Department Working Papers 83, OECD Publishing.
  12. Gylfason, Thorvaldur, 1990. "Exchange Rate Policy, Inflation and Unemployment: The Experience of the Nordic EFTA Countries," CEPR Discussion Papers 377, C.E.P.R. Discussion Papers.
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Citations

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Cited by:
  1. David O. Cushman, 2000. "The failure of the monetary exchange rate model for the Canadian-U.S. dollar," Canadian Journal of Economics, Canadian Economics Association, vol. 33(3), pages 591-603, August.
  2. Adam, Anokye M. & Tweneboah, George, 2008. "Do macroeconomic variables play any role in the stock market movement in Ghana?," MPRA Paper 9357, University Library of Munich, Germany, revised 2008.
  3. Mohammed Nishat & Rozina Shaheen, 2004. "Macroeconomic Factors and Pakistani Equity Market," The Pakistan Development Review, Pakistan Institute of Development Economics, Pakistan Institute of Development Economics, vol. 43(4), pages 619-637.
  4. Roman Frydman & Michael D. Goldberg, 2001. "Macroeconomic Fundamentals and the DM/$ Exchange Rate: Temporal Instability and the Monetary Model," Working Papers 50, Oesterreichische Nationalbank (Austrian Central Bank).
  5. Cushman, David O., 2007. "A portfolio balance approach to the Canadian-U.S. exchange rate," Review of Financial Economics, Elsevier, Elsevier, vol. 16(3), pages 305-320.
  6. Robert A. Amano & Simon van Norden, 1995. "Exchange Rates and Oil Prices," International Finance, EconWPA 9509001, EconWPA.
  7. I.S. Meister, 2002. "Is Eastern Europe ready for the Euro? A Cointegration Analysis for the Maastricht Criteria," WO Research Memoranda (discontinued) 699, Netherlands Central Bank, Research Department.
  8. Lastrapes, W. D., 1998. "International evidence on equity prices, interest rates and money," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(3), pages 377-406, June.
  9. Baharumshah, Ahmad Zubaidi & Masih, A. Mansur M., 2005. "Current account, exchange rate dynamics and the predictability: the experience of Malaysia and Singapore," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 255-270, July.
  10. repec:onb:oenbwp:y::i:50:b:1 is not listed on IDEAS
  11. Pene Kalulumia, 2000. "Government Debt, Interest Rates And International Capital Flows: Evidence From Cointegration," Cahiers de recherche, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke 00-03, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke.
  12. Heung Wong & W. Li & Shiqing Ling, 2005. "Joint modeling of cointegration and conditional heteroscedasticity with applications," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(1), pages 83-103, March.
  13. Luintel, K. B. & Paudyal, K., 1998. "Common stochastic trends between forward and spot exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(2), pages 279-297, April.
  14. repec:ebl:ecbull:v:3:y:2003:i:25:p:1-7 is not listed on IDEAS
  15. Cushman, David O., 2008. "Long-run PPP in a system context: No favorable evidence after all for the U.S., Germany, and Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(5), pages 413-424, December.
  16. Heejoon Kang, 2006. "Inappropriate Detrending and Spurious Cointegration," Working Papers, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy 2006-14, Indiana University, Kelley School of Business, Department of Business Economics and Public Policy.
  17. David O. Cushman, 2003. "Further evidence on the size and power of the Bierens and Johansen cointegration procedures," Economics Bulletin, AccessEcon, vol. 3(25), pages 1-7.

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