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Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies

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Author Info
Jose Eduardo de A. Ferreira
Abstract

This paper tests the traditional monetary model of exchange rates for a sample of industrialized and emerging market economies by making use of panel techniques that allow for a high degree of heterogeneity across countries. The results demonstrated partial support for the monetary model for industrialised market economies but not for emerging ones. This constitutes a puzzle as it would expect countries with greater monetary instability to show a stronger association between exchange rates and monetary fundamentals.

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Paper provided by Department of Economics, University of Kent in its series Studies in Economics with number 0603.

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Date of creation: Jul 2006
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Handle: RePEc:ukc:ukcedp:0603

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Postal: Department of Economics, University of Kent at Canterbury, Canterbury, Kent, CT2 7NP
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Related research
Keywords: Foreign Exchange; Fundamentals; Panel Data; Unit Roots; Assets;

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Find related papers by JEL classification:
F31 - International Economics - - International Finance - - - Foreign Exchange
F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation
F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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Full references

Cited by:
(explanations, 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.)

  1. Sarmidi, Tamat, 2008. "Exchange Rates Predictability in Developing Countries," MPRA Paper 16580, University Library of Munich, Germany. [Downloadable!]
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