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Exchange Rate Determination: An Application of a Monetary Model for Brazil

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  • Simone Cuiabano

    ()

  • Jose Divino

    ()

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File URL: http://hdl.handle.net/10.1007/s11294-010-9276-x
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Bibliographic Info

Article provided by International Atlantic Economic Society in its journal International Advances in Economic Research.

Volume (Year): 16 (2010)
Issue (Month): 4 (November)
Pages: 345-357

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Handle: RePEc:kap:iaecre:v:16:y:2010:i:4:p:345-357

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Keywords: Exchange rate determination; Cointegration; Monetary model; F21; F30; F17; F47; C53;

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References

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  1. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  2. Yin-Wong Cheung & Antonio Garcia Pascual & Menzie David Chinn, 2004. "Empirical Exchange Rate Models of the Nineties," IMF Working Papers 04/73, International Monetary Fund.
  3. Philip Cagan, 1958. "The Demand for Currency Relative to Total Money Supply," NBER Chapters, in: The Demand for Currency Relative to Total Money Supply, pages 1-37 National Bureau of Economic Research, Inc.
  4. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  5. Moura, Marcelo L. & Lima, Adauto R. S., 2007. "Empirical exchange rate models fit: Evidence from the Brazilian economy," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_87, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
  6. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 813-36, July.
  7. Phillip Cagan, 1958. "The Demand for Currency Relative to the Total Money Supply," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 66, pages 303.
  8. Marcelo Kfoury Muinhos & Paulo Springer de Freitas & Fabio Araujo, 2001. "Uncovered Interest Parity with Fundamentals: A Brazilian Exchange Rate Forecast Model," Working Papers Series, Central Bank of Brazil, Research Department 19, Central Bank of Brazil, Research Department.
  9. Philip Cagan, 1958. "The Demand for Currency Relative to Total Money Supply," NBER Books, National Bureau of Economic Research, Inc, number caga58-1, January.
  10. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, Elsevier, vol. 35(1), pages 143-159, May.
  11. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 12(2-3), pages 231-254.
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