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Macroeconomic fundamentals and exchange rates: a non-parametric cointegration analysis

  • Emmanuel Davradakis
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    This paper examines in a non-parametric setup whether a long-run relationship exists between monetary fundamentals and the dollar spot exchange rates for 19 countries. Although the Johansen's parametric approach failed to retrieve a long-relationship for any of the countries considered, the Bierens (1997a) non-parametric approach suggests that there is one cointegrating relationship for the majority of the countries considered. In addition, the [1, -1] cointegrating vector between the fundamentals and the log-level of the dollar exchange rate could not be rejected in the non-parametric formulation.

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    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100500056593
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    Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

    Volume (Year): 15 (2005)
    Issue (Month): 7 ()
    Pages: 439-446

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    Handle: RePEc:taf:apfiec:v:15:y:2005:i:7:p:439-446
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