The predictive power of the monetary model of exchange rate determination
AbstractThis study examines the predictive power of the monetary model of exchange rate determination for the Australian dollar vis-a-vis the US dollar exchange rate. Using a cointegration-based error-correction model, it is found that an unrestricted dynamic monetary model outperforms the random walk model at all forecasting horizons, with the degree of improvement increasing as the forecasting horizon is extended.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 11 (2001)
Issue (Month): 3 ()
Contact details of provider:
Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Jae-Kwang Hwang, 2003. "Dynamic forecasting of sticky-price monetary exchange rate model," Atlantic Economic Journal, International Atlantic Economic Society, vol. 31(1), pages 103-114, March.
- Lee, Chin & M., Azali & Yusop, Zulkornain & Yusoff, Mohammed, 2008. "Is Malaysia exchange rate misalignment before the 1997 crisis?," MPRA Paper 40430, University Library of Munich, Germany.
- Sovannroeun SAMRETH & Dara LONG, 2008.
"The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach,"
AccessEcon, vol. 6(31), pages 1-13.
- Long, Dara & Samreth, Sovannroeun, 2008. "The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach," MPRA Paper 9822, University Library of Munich, Germany.
- Peter Rowland, . "Forecasting the USD/COP Exchange Rate: A Random Walk a Variable Drift," Borradores de Economia 253, Banco de la Republica de Colombia.
- Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
- Peter Rowland, 2003. "Forecasting The Usd/Cop Exchange Rate: A Random Walk With A Variable Drift," BORRADORES DE ECONOMIA 002736, BANCO DE LA REPÚBLICA.
- Thomas M Fullerton Jr & Miwa Hattori & Cuauhtemoc Calderon, 2004. "Error Correction Exchange Rate Modeling Evidence for Mexico," International Finance 0406001, EconWPA.
- Tawadros, George B., 2008. "A structural time series test of the monetary model of exchange rates under four big inflations," Economic Modelling, Elsevier, vol. 25(6), pages 1216-1224, November.
- Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).
If references are entirely missing, you can add them using this form.