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The monetary model of the exchange rate and equities: an ARDL bounds testing approach

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  • Bruce Morley

Abstract

This study examines a version of the monetary model of the exchange rate, which incorporates a stock price measure. Using the ARDL Bounds testing approach, we produce evidence of cointegration, well-specified ECMs and forecasts that outperform a random walk.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500426457
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 5 ()
Pages: 391-397

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Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:391-397

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Cited by:
  1. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? – Cointegrated VAR versus Single Equation Techniques," Ruhr Economic Papers 0171, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
  2. González-Gómez, Manuel & Álvarez-Díaz, Marcos & Otero-Giráldez, María Soledad, 2013. "Estimating the long-run impact of forest fires on the eucalyptus timber supply in Galicia, Spain," Journal of Forest Economics, Elsevier, vol. 19(2), pages 149-161.
  3. repec:eid:wpaper:5/09 is not listed on IDEAS
  4. 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.
  5. repec:eid:wpaper:15973 is not listed on IDEAS

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