IDEAS home Printed from https://ideas.repec.org/a/spr/weltar/v130y1994i4p698-711.html
   My bibliography  Save this article

The monetary exchange rate model in the long run: An empirical investigation

Author

Listed:
  • Nicholas Sarantis

Abstract

No abstract is available for this item.

Suggested Citation

  • Nicholas Sarantis, 1994. "The monetary exchange rate model in the long run: An empirical investigation," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 130(4), pages 698-711, December.
    • Handle: RePEc:spr:weltar:v:130:y:1994:i:4:p:698-711
    DOI: 10.1007/BF02707532
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/BF02707532
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/BF02707532?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. repec:bla:scandj:v:78:y:1976:i:2:p:200-224 is not listed on IDEAS
    2. Ronald MacDonald & Mark P. Taylor (ed.), 1991. "Exchange Rate Economics," Books, Edward Elgar Publishing, volume 0, number 569.
    3. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
    4. McNown, Robert & Wallace, Myles, 1989. "Co-integration tests for long run equilibrium in the monetary exchange rate model," Economics Letters, Elsevier, vol. 31(3), pages 263-267, December.
    5. Meese, Richard A, 1986. "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 345-373, April.
    6. Schinasi, Garry J. & Swamy, P. A. V. B., 1989. "The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change," Journal of International Money and Finance, Elsevier, vol. 8(3), pages 375-390, September.
    7. Hoffman, Dennis L. & Schlagenhauf, Don E., 1983. "Rational expectations and monetary models of exchange rate determination : An empirical examination," Journal of Monetary Economics, Elsevier, vol. 11(2), pages 247-260.
    8. Campbell, John Y & Shiller, Robert J, 1987. "Cointegration and Tests of Present Value Models," Journal of Political Economy, University of Chicago Press, vol. 95(5), pages 1062-1088, October.
    9. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
    10. MacDonald, Ronald & Taylor, Mark P., 1991. "The monetary approach to the exchange rate : Long-run relationships and coefficient restrictions," Economics Letters, Elsevier, vol. 37(2), pages 179-185, October.
    11. Wolff, Christian C P, 1987. "Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(1), pages 87-97, January.
    12. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    2. Barbara Rossi, 2013. "Exchange Rate Predictability," Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
    3. Hoda SELIM, 2010. "Has Egypt's Monetary Policy Changed after the Float?," EcoMod2010 259600152, EcoMod.
    4. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
    5. Ekong, Christopher N. & Onye, Kenneth U., 2013. "The Failure of the Monetary Exchange Rate Model for the Naira-Dollar," MPRA Paper 88238, University Library of Munich, Germany.
    6. Rapach, David E. & Wohar, Mark E., 2004. "Testing the monetary model of exchange rate determination: a closer look at panels," Journal of International Money and Finance, Elsevier, vol. 23(6), pages 867-895, October.
    7. Marie-Josée Godbout & Simon van Norden, 1997. "Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples," Staff Working Papers 97-1, Bank of Canada.
    8. Adawo, Monday A. & Effiong, Ekpeno L., 2013. "Monetary exchange rate model as a long-run phenomenon: evidence from Nigeria," MPRA Paper 46407, University Library of Munich, Germany.
    9. Szabo Andrea, 2015. "Testing Monetary Exchange Rate Models With Panel Cointegration Tests," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 643-651, July.
    10. Mohsen Bahmani‐Oskooee & Scott W. Hegerty & Altin Tanku, 2010. "The Black‐Market Exchange Rate Versus The Official Rate: Which Rate Fosters The Adjustment Speed In The Monetarist Model?," Manchester School, University of Manchester, vol. 78(6), pages 725-738, December.
    11. Karaman Örsal, Deniz Dilan & Arsova, Antonia, 2017. "Meta-analytic cointegrating rank tests for dependent panels," Econometrics and Statistics, Elsevier, vol. 2(C), pages 61-72.
    12. 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.
    13. Xie, Zixiong & Chen, Shyh-Wei, 2019. "Exchange rates and fundamentals: A bootstrap panel data analysis," Economic Modelling, Elsevier, vol. 78(C), pages 209-224.
    14. Jan J. J. Groen, 2002. "Cointegration and the Monetary Exchange Rate Model Revisited," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 64(4), pages 361-380, September.
    15. Lizardo, Radhamés A. & Mollick, André V., 2010. "Oil price fluctuations and U.S. dollar exchange rates," Energy Economics, Elsevier, vol. 32(2), pages 399-408, March.
    16. Ekpeno L. Effiong, 2014. "Exchange Rate Dynamics and Monetary Fundamentals: A Cointegrated SVAR Approach for Nigeria," Global Business Review, International Management Institute, vol. 15(2), pages 205-221, June.
    17. Ibhagui, Oyakhilome W., 2019. "Does the long-run monetary model hold for Sub-Saharan Africa? A time series and panel-cointegration study," Research in International Business and Finance, Elsevier, vol. 47(C), pages 279-303.
    18. Basher, Syed A. & Westerlund, Joakim, 2009. "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, vol. 26(2), pages 506-513, March.
    19. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December.
    20. Habimana, Olivier, 2017. "The multiscale relationship between exchange rates and fundamentals differentials: Empirical evidence from Scandinavia," MPRA Paper 75956, University Library of Munich, Germany.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wu, Yih-Jiuan, 1998. "Exchange rate forecasting: an application of radial basis function neural networks," ISU General Staff Papers 1998010108000013540, Iowa State University, Department of Economics.
    2. Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
    3. Goldberg, Michael D. & Frydman, Roman, 1996. "Empirical exchange rate models and shifts in the co-integrating vector," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 55-78, March.
    4. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach," Discussion Papers of DIW Berlin 944, DIW Berlin, German Institute for Economic Research.
    5. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "Cointegration, structural breaks and monetary fundamentals of the Dollar/Yen Exchange," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 17(4), pages 397-412, November.
    6. Éric Girardin & Velayoudom Marimoutou, 1997. "Les fondamentaux permettent-ils d'améliorer la prévision du taux de change franc-dollar ?," Revue Économique, Programme National Persée, vol. 48(3), pages 661-672.
    7. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 147(1), pages 11-40, April.
    8. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
    9. repec:zbw:rwirep:0134 is not listed on IDEAS
    10. Benjamin J. C. Kim & David Karemera, 2006. "Assessing the forecasting accuracy of alternative nominal exchange rate models: the case of long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(5), pages 369-380.
    11. Éric Jondeau, 1996. "Les modèles monétaires de taux de change : un examen empirique," Économie et Prévision, Programme National Persée, vol. 123(2), pages 53-65.
    12. repec:kap:iaecre:v:17:y:2011:i:4:p:397-412 is not listed on IDEAS
    13. Nandwa, Boaz & Mohan, Ramesh, 2007. "A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya," MPRA Paper 5581, University Library of Munich, Germany.
    14. Adawo, Monday A. & Effiong, Ekpeno L., 2013. "Monetary exchange rate model as a long-run phenomenon: evidence from Nigeria," MPRA Paper 46407, University Library of Munich, Germany.
    15. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 0134, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    16. Joscha Beckmann & Dionysius Glycopantis & Keith Pilbeam, 2018. "The dollar–euro exchange rate and monetary fundamentals," Empirical Economics, Springer, vol. 54(4), pages 1389-1410, June.
    17. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June.
    18. Chrystal, K. Alec & MacDonald, Ronald, 1995. "Exchange rates, financial innovation and divisia money: the sterling/dollar rate 1972-1990," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 493-513, August.
    19. Dibooglu, Selahattin, 1993. "Multiple cointegration and structural models: applications to exchange rate determination," ISU General Staff Papers 1993010108000011419, Iowa State University, Department of Economics.
    20. 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.
    21. Chinn, Menzie D, 1999. "On the Won and Other East Asian Currencies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(2), pages 113-127, April.
    22. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.

    More about this item

    Keywords

    F31;

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:weltar:v:130:y:1994:i:4:p:698-711. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.