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Monetary disequilibria and the euro/dollar exchange rate

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Author Info

  • Dieter Nautz
  • Karsten Ruth

Abstract

Although stable money demand functions are crucial for the monetary model of the exchange rate, empirical research on exchange rates and money demand is more or less disconnected. This paper tries to fill the gap for the euro/dollar exchange rate. We investigate whether monetary disequilibria provided by the empirical literature on US and European money demand functions contain useful information about exchange rate movements. Our results suggest that the empirical performance of the monetary exchange rate model improves when insights from the money demand literature are explicitly taken into account.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13518470802042310
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal The European Journal of Finance.

Volume (Year): 14 (2008)
Issue (Month): 8 ()
Pages: 701-716

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Handle: RePEc:taf:eurjfi:v:14:y:2008:i:8:p:701-716

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Related research

Keywords: euro; dollar exchange rate; monetary model; money demand functions;

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References

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  1. Falko Fecht & Kevin X. D. Huang & Antoine Martin, 2008. "Financial Intermediaries, Markets, and Growth," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(4), pages 701-720, 06.
  2. Hamerle, Alfred & Liebig, Thilo & Scheule, Harald, 2004. "Forecasting Credit Portfolio Risk," Discussion Paper Series 2: Banking and Financial Studies 2004,01, Deutsche Bundesbank, Research Centre.
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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.

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