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Norminal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel

  • Nelson Mark

    ()

  • Donggyu Sul

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File URL: http://economics.sbs.ohio-state.edu/pdf/mark/coint.pdf
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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 1998
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Handle: RePEc:osu:osuewp:98-19
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  1. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1148-1171, October.
  2. Campbell, J.Y. & Perron, P., 1991. "Pitfalls and Opportunities: What Macroeconomics should know about unit roots," Papers 360, Princeton, Department of Economics - Econometric Research Program.
  3. Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
  4. Gregory Mankiw, N. & Shapiro, Matthew D., 1986. "Do we reject too often? : Small sample properties of tests of rational expectations models," Economics Letters, Elsevier, vol. 20(2), pages 139-145.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Maurice Obstfeld & Kenneth Rogoff, 1994. "Exchange Rate Dynamics Redux," NBER Working Papers 4693, National Bureau of Economic Research, Inc.
  10. Lorenzo Giorgianni & Jeremy Berkowitz, 1997. "Long; Horizon Exchange Rate Predictability?," IMF Working Papers 97/6, International Monetary Fund.
  11. Ronald MacDonald & Mark P. Taylor, 1992. "The Monetary Approach to the Exchange Rate; Rational Expectations, Long-Run Equilibrium and Forecasting," IMF Working Papers 92/34, International Monetary Fund.
  12. 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.
  13. 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.
  14. Jan J. J. Groen, 1999. "Long horizon predictability of exchange rates: Is it for real?," Empirical Economics, Springer, vol. 24(3), pages 451-469.
  15. Frankel, Jeffrey A & Rose, Andrew K, 1995. "A Panel Project on Purchasing Power Parity: Mean Reversion Within and Between Countries," CEPR Discussion Papers 1128, C.E.P.R. Discussion Papers.
  16. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
  17. Berben, R-P. & van Dijk, D.J.C., 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Research Papers EI 9814, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  18. 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.
  19. Mussa, Michael, 1976. " The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 229-48.
  20. Evans, Paul, 1997. "Government Consumption and Growth," Economic Inquiry, Western Economic Association International, vol. 35(2), pages 209-17, April.
  21. Lucas, Robert Jr., 1982. "Interest rates and currency prices in a two-country world," Journal of Monetary Economics, Elsevier, vol. 10(3), pages 335-359.
  22. 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.
  23. MacDonald, Ronald, 1996. "Panel unit root tests and real exchange rates," Economics Letters, Elsevier, vol. 50(1), pages 7-11, January.
  24. 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.
  25. Jeremy Berkowitz & Lorenzo Giorgianni, 2001. "Long-Horizon Exchange Rate Predictability?," The Review of Economics and Statistics, MIT Press, vol. 83(1), pages 81-91, February.
  26. 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.
  27. Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003. "Testing for unit roots in heterogeneous panels," Journal of Econometrics, Elsevier, vol. 115(1), pages 53-74, July.
  28. 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.
  29. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
  30. 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.
  31. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-86.
  32. 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.
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