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The monetary model of the exchange rate and equities: an ARDL bounds testing approach

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  • Bruce Morley

Abstract

This study examines a version of the monetary model of the exchange rate, which incorporates a stock price measure. Using the ARDL Bounds testing approach, we produce evidence of cointegration, well-specified ECMs and forecasts that outperform a random walk.

Suggested Citation

  • Bruce Morley, 2007. "The monetary model of the exchange rate and equities: an ARDL bounds testing approach," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 391-397.
  • Handle: RePEc:taf:apfiec:v:17:y:2007:i:5:p:391-397
    DOI: 10.1080/09603100500426457
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    Citations

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    Cited by:

    1. Bruce Morley, 2009. "A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run," International Econometric Review (IER), Econometric Research Association, vol. 1(2), pages 63-76, April.
    2. González-Gómez, Manuel & Álvarez-Díaz, Marcos & Otero-Giráldez, María Soledad, 2013. "Estimating the long-run impact of forest fires on the eucalyptus timber supply in Galicia, Spain," Journal of Forest Economics, Elsevier, vol. 19(2), pages 149-161.
    3. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable? Cointegrated VAR Versus Single Equation Techniques," Applied Economics Quarterly (formerly: Konjunkturpolitik), Duncker & Humblot, Berlin, vol. 56(4), pages 285-315.
    4. repec:eee:joecas:v:10:y:2013:i:2:p:115-128 is not listed on IDEAS
    5. Bassam AbuAl-Foul, "undated". "The Causal Relation between Savings and Economic Growth: An Empirical Analysis," Economics Working Papers 06-05/2015, School of Business Administration, American University of Sharjah.
    6. Ayben Koy & ?Hsan Ersan, 2016. "The Relationship between Exchange Rates, Equity Index and Equity Index Futures: A Study on Borsa Istanbul," Proceedings of International Academic Conferences 3605506, International Institute of Social and Economic Sciences.
    7. Morley, Bruce, 2009. "Exchange Rates and Stock Prices in the Long Run and Short Run," Department of Economics Working Papers 15973, University of Bath, Department of Economics.
    8. repec:eid:wpaper:5/09 is not listed on IDEAS
    9. Katusiime, Lorna & Shamsuddin, Abul & Agbola, Frank W., 2015. "Macroeconomic and market microstructure modelling of Ugandan exchange rate," Economic Modelling, Elsevier, vol. 45(C), pages 175-186.

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