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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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  • 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.

Suggested Citation

  • Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics 0603, School of Economics, University of Kent.
    • Handle: RePEc:ukc:ukcedp:0603
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    Cited by:

    1. Sarmidi, Tamat, 2008. "Exchange Rates Predictability in Developing Countries," MPRA Paper 16580, University Library of Munich, Germany.
    2. Sarmidi, Tamat, 2010. "Ringgit Malaysia Predictability: Do Currencies and Prediction Horizon Matters?," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 44, pages 51-60.
    3. 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.

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    More about this item

    Keywords

    Foreign Exchange; Fundamentals; Panel Data; Unit Roots; Assets;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
    • F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics

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