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Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel Author info | Abstract | Publisher info | Download info | Related research | Statistics Nelson Mark ()
Donggyu Sul
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Paper provided by Ohio State University, Department of Economics in its series Working Papers with number
98-19.
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Date of creation: Dec 1998Date of revision:
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Jan J.J. Groen, 1997.
"Long Horizon Predictability of Exchange Rate: Is it for Real? ,"
Tinbergen Institute Discussion Papers
97-095/2, Tinbergen Institute.
Other versions: Engel, Charles & Kim, Chang-Jin, 1999.
"The Long-Run U.S./U.K. Real Exchange Rate ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 31(3), pages 335-56, August.
Other versions:
Engel, C. & Kim, C.J., 1996.
"The Long-Run U.S./U.K. real Exchange Rate ,"
Discussion Papers in Economics at the University of Washington
96-14, Department of Economics at the University of Washington.
Charles Engel & Chang-Jin Kim, 1996.
"The Long-Run U.S./U.K. Real Exchange Rate ,"
NBER Working Papers
5777, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Engel, C. & Kim, C.J., 1996.
"The Long-Run U.S./U.K. real Exchange Rate ,"
Working Papers
96-14, University of Washington, Department of Economics.
Obstfeld, Maurice & Rogoff, Kenneth, 1995.
"Exchange Rate Dynamics Redux ,"
CEPR Discussion Papers
1131, C.E.P.R. Discussion Papers.
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Other versions:
Maurice Obstfeld and Kenneth Rogoff., 1995.
"Exchange Rate Dynamics Redux ,"
Center for International and Development Economics Research (CIDER) Working Papers
C95-048, University of California at Berkeley.
Maurice Obstfeld & Kenneth Rogoff, 1996.
"Exchange Rate Dynamics Redux ,"
NBER Working Papers
4693, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Obstfeld, Maurice & Rogoff, Kenneth, 1995.
"Exchange Rate Dynamics Redux ,"
Journal of Political Economy ,
University of Chicago Press, vol. 103(3), pages 624-60, June.
[Downloadable!] (restricted) Ronald MacDonald & Ian W. Marsh, 1997.
"On Fundamentals And Exchange Rates: A Casselian Perspective ,"
The Review of Economics and Statistics ,
MIT Press, vol. 79(4), pages 655-664, November.
[Downloadable!] (restricted)
Kilian, Lutz, 1999.
"Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions? ,"
Journal of Applied Econometrics ,
John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
[Downloadable!]
Groen, Jan J. J., 2000.
"The monetary exchange rate model as a long-run phenomenon ,"
Journal of International Economics ,
Elsevier, vol. 52(2), pages 299-319, December.
[Downloadable!] (restricted)
Other versions: Chinn, Menzie D. & Meese, Richard A., 1995.
"Banking on currency forecasts: How predictable is change in money? ,"
Journal of International Economics ,
Elsevier, vol. 38(1-2), pages 161-178, February.
[Downloadable!] (restricted)
Campbell, John Y & Shiller, Robert J, 1988.
" Stock Prices, Earnings, and Expected Dividends ,"
Journal of Finance ,
American Finance Association, vol. 43(3), pages 661-76, July.
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Other versions:
John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends ,"
Cowles Foundation Discussion Papers
858, Cowles Foundation, Yale University.
[Downloadable!] John Y. Campbell & Robert J. Shiller, 1989.
"Stock Prices, Earnings and Expected Dividends ,"
NBER Working Papers
2511, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Campbell, J.Y. & Shiller, R.J., 1988.
"Stock Prices, Earnings And Expected Dividends ,"
Papers
334, Princeton, Department of Economics - Econometric Research Program.
Lothian, James R., 1997.
"Multi-country evidence on the behavior of purchasing power parity under the current float ,"
Journal of International Money and Finance ,
Elsevier, vol. 16(1), pages 19-35, February.
[Downloadable!] (restricted)
Jeremy Berkowitz & Lorenzo Giorgianni, 1996.
"Long-horizon exchange rate predictability? ,"
Finance and Economics Discussion Series
96-39, Board of Governors of the Federal Reserve System (U.S.).
[Downloadable!]
Other versions: Hodrick, Robert J, 1992.
"Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 5(3), pages 357-86.
[Downloadable!] (restricted)
Lorenzo Giorgiani & Jeremy Berkowitz, 1997.
"Long - Horizon Exchange Rate Predictability? ,"
IMF Working Papers
97/6, International Monetary Fund.
van Dijk, D. & Berben, R.P., 1998.
"Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression? ,"
Papers
9814/a, Erasmus University of Rotterdam - Econometric Institute.
Other versions: Wu, Yangru, 1996.
"Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test ,"
Journal of Money, Credit and Banking ,
Blackwell Publishing, vol. 28(1), pages 54-63, February.
[Downloadable!] (restricted)
MacDonald, Ronald, 1996.
"Panel unit root tests and real exchange rates ,"
Economics Letters ,
Elsevier, vol. 50(1), pages 7-11, January.
[Downloadable!] (restricted)
Mark, Nelson C, 1995.
"Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability ,"
American Economic Review ,
American Economic Association, vol. 85(1), pages 201-18, March.
Berben, R-P. & Dijk, D.J.C. van, 1998.
"Does the absence of cointegration explain the typical findings in long horizon regressions? ,"
Econometric Institute Report
EI 9814 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute.
[Downloadable!]
Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996.
"Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries ,"
NBER Working Papers
5676, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996.
"Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries ,"
CEPR Discussion Papers
1464, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999.
"Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries ,"
Journal of International Economics ,
Elsevier, vol. 47(2), pages 245-266, April.
[Downloadable!] (restricted) Chen, Jian & Mark, Nelson C, 1996.
"Alternative Long-Horizon Exchange-Rate Predictors ,"
International Journal of Finance & Economics ,
John Wiley & Sons, Ltd., vol. 1(4), pages 229-50, October.
[Downloadable!] (restricted)
Andrew Levin & Chien-Fu Lin, 1993.
"Unit Root Tests in Panel Data: New Results ,"
University of California at San Diego, Economics Working Paper Series
93-56, Department of Economics, UC San Diego.
[Downloadable!]
Papell, David H., 1997.
"Searching for stationarity: Purchasing power parity under the current float ,"
Journal of International Economics ,
Elsevier, vol. 43(3-4), pages 313-332, November.
[Downloadable!] (restricted)
Husted, Steven & MacDonald, Ronald, 1998.
"Monetary-based models of the exchange rate: a panel perspective ,"
Journal of International Financial Markets, Institutions and Money ,
Elsevier, vol. 8(1), pages 1-19, January.
[Downloadable!] (restricted)
Mark P. Taylor & Ronald MacDonald, 1992.
"The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting ,"
IMF Working Papers
92/34, International Monetary Fund.
Diebold, Francis X & Mariano, Roberto S, 1995.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 13(3), pages 253-63, July.
Other versions:
Francis X. Diebold & Robert S. Mariano, 1994.
"Comparing Predictive Accuracy ,"
NBER Technical Working Papers
0169, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 20(1), pages 134-44, January.
Pasaran, M.H. & Im, K.S. & Shin, Y., 1995.
"Testing for Unit Roots in Heterogeneous Panels ,"
Cambridge Working Papers in Economics
9526, Faculty of Economics, University of Cambridge.
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