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Citations for "Testing the monetary model of exchange rate determination: new evidence from a century of data"

by Rapach, David E. & Wohar, Mark E.

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  1. Garcés Díaz, Daniel Guillermo, 2008. "Efectos de los cambios de la política monetaria en las dinámicas del tipo de cambio, el dinero y los precios en México (1945-2000)," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(299), pages 683-713, julio-sep.
  2. Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
  3. Gu, Jingping & Li, Qi & Yang, Jian, 2013. "Fiscal deficits and mean reversion in real exchange rates," Economics Letters, Elsevier, vol. 118(2), pages 300-303.
  4. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange rate forecasters’ performance: evidence of skill?," Working Papers 2009_13, Business School - Economics, University of Glasgow.
  5. Lizardo, Radhamés A. & Mollick, André V., 2009. "Do foreign purchases of U.S. stocks help the U.S. stock market?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(5), pages 969-986, December.
  6. Habimana, Olivier, 2017. "The multiscale relationship between exchange rates and fundamentals differentials: Empirical evidence from Scandinavia," MPRA Paper 75956, University Library of Munich, Germany.
  7. Charles Engel & Nelson C. Mark & Kenneth D. West, 2012. "Factor Model Forecasts of Exchange Rates," NBER Working Papers 18382, National Bureau of Economic Research, Inc.
  8. Westerlund, Joakim & Basher, Syed A., 2006. "Can Panel Data Really Improve the Predictability of the Monetary Exchange Rate Model?," MPRA Paper 1229, University Library of Munich, Germany.
  9. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  10. Chun-Teck Lye & Tze-Haw Chan & Chee-Wooi Hooy, 2011. "Nonlinear prediction of Malaysian exchange rate with monetary fundamentals," Economics Bulletin, AccessEcon, vol. 31(3), pages 1960-1967.
  11. Qi, Min & Wu, Yangru, 2003. "Nonlinear prediction of exchange rates with monetary fundamentals," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 623-640, December.
  12. Ling, Tai-Hu & Venus, Khim-Sen Liew & Syed Khalid Wafa, Syed Azizi Wafa, 2008. "Does Fisher hypothesis hold for the East Asian Economies? an application of panel unit root tests," MPRA Paper 21601, University Library of Munich, Germany, revised Jan 2010.
  13. Charles Engel & Nelson C. Mark & Kenneth D. West, 2007. "Exchange Rate Models Are Not as Bad as You Think," NBER Working Papers 13318, National Bureau of Economic Research, Inc.
  14. Chun-Teck Lye Author_Email: ctlye@mmu.edu.my & Tze-Haw Chan & Chee-Wooi Hooy, 2011. "Nonlinear Analysis Of Chinese And Malaysian Exchange Rates Predictability With Monetary Fundamentals," 2nd International Conference on Business and Economic Research (2nd ICBER 2011) Proceeding 2011-270, Conference Master Resources.
  15. Nelson Mark & Kimberly Berg, 2013. "Third-Country Effects on the Exchange Rate," 2013 Meeting Papers 1050, Society for Economic Dynamics.
  16. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
  17. Stephanos Papadamou & Thomas Markopoulos, 2012. "The Monetary Approach to the Exchange Rate Determination for a “Petrocurrency”: The Case of Norwegian Krone," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 299-314, August.
  18. Balazs Egert, 2009. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," William Davidson Institute Working Papers Series wp955, William Davidson Institute at the University of Michigan.
  19. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance 0409032, EconWPA.
  20. Durden, Garey C. & Gaynor, Patricia E., 2015. "Publishing in The Journal of Regional Analysis and Policy and an Evaluation (via Citation Counts) of JRAP’s Influence on Scholarship in Regional Science," Journal of Regional Analysis and Policy, Mid-Continent Regional Science Association, vol. 45(2).
  21. Hacker, Scott & Kim, Hyunjoo & Månsson, Kristofer, 2010. "The Relationship between Exchange Rates and Interest Rate Differentials: a Wavelet Approach," Working Paper Series in Economics and Institutions of Innovation 217, Royal Institute of Technology, CESIS - Centre of Excellence for Science and Innovation Studies.
  22. Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers.
  23. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 35(1), pages 29-58, May.
  24. Balázs Égert, 2012. "Dutch diease in the post-soviet countries of central and south-west Asia: How contagious is it?," Post-Print hal-01385841, HAL.
  25. Nelson Mark, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 011, University of Notre Dame, Department of Economics, revised Mar 2012.
  26. Garey C. Durden & Patricia E. Gaynor, 2014. "Publishing in The Journal of Regional Analysis and Policy and an Evaluation (via Citation Counts) of JRAP’s Influence on Scholarship in Regional Science," Working Papers 14-07, Department of Economics, Appalachian State University.
  27. Syllignakis, Manolis N. & Kouretas, Georgios P., 2011. "Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(5), pages 707-723.
  28. Engel, Charles, 2014. "Exchange Rates and Interest Parity," Handbook of International Economics, Elsevier.
  29. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin L., 2016. "The implications of monetary expansion in China for the US dollar," Journal of Asian Economics, Elsevier, vol. 46(C), pages 71-84.
  30. Hunter, John & Menla Ali, Faek, 2014. "Money demand instability and real exchange rate persistence in the monetary model of USD–JPY exchange rate," Economic Modelling, Elsevier, vol. 40(C), pages 42-51.
  31. John Harvey, 2005. "Post Keynesian versus Neoclassical Explanations of Exchange Rate Movements: A Short Look at the Long Run," Working Papers 200501, Texas Christian University, Department of Economics.
  32. John Jackson & Henry Thompson & Juliet Zheng, 2005. "Third country news in the monetary model of the exchange rate," Applied Financial Economics, Taylor & Francis Journals, vol. 15(11), pages 757-764.
  33. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  34. 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.
  35. 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.
  36. Javier Gómez Biscarri & Javier Hualde, 2014. "A Residual-Based ADF Test for Stationary Cointegration in I (2) Settings," Working Papers 779, Barcelona Graduate School of Economics.
  37. Menkhoff, Lukas & Rebitzky, Rafael, 2007. "Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP," Hannover Economic Papers (HEP) dp-376, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  38. Basher, Syed A. & Westerlund, Joakim, 2008. "Panel Cointegration and the Monetary Exchange Rate Model," MPRA Paper 10453, University Library of Munich, Germany.
  39. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," Working Papers 2006-033, Federal Reserve Bank of St. Louis.
  40. Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
  41. Guy M Meredith, 2003. "Medium-Term Exchange Rate Forecasting; What Can We Expect?," IMF Working Papers 03/21, International Monetary Fund.
  42. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Habibullah, Muzafar Shah & Midi, Habshah, 2008. "Monetary exchange rate model: supportive evidence from nonlinear testing procedures," MPRA Paper 7293, University Library of Munich, Germany.
  43. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
  44. Michalski , Tomasz & Amat , Christophe, 2014. "Fundamentals and Exchange Rate Forecastability with Machine Learning Methods," Les Cahiers de Recherche 1049, HEC Paris.
  45. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  46. Idil UZ & Mehrin DALAN, 2009. "MONETARY APPROACH TO EXCHANGE RATE DETERMINATION: The Case of Argentina, Brazil, Taiwan and Turkey, 1986-2006," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 9(2).
  47. Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
  48. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
  49. Christopher J. Neely, 2005. "The case for foreign exchange intervention: the government as an active reserve manager," Working Papers 2004-031, Federal Reserve Bank of St. Louis.
  50. Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
  51. Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
  52. Kim, Young Se, 2009. "Exchange rates and fundamentals under adaptive learning," Journal of Economic Dynamics and Control, Elsevier, vol. 33(4), pages 843-863, April.
  53. Liew, Venus Khim-Sen & Ling, Tai-Hu, 2008. "Real interest rate parity: evidence from East Asian economies relative to China," MPRA Paper 7291, University Library of Munich, Germany.
  54. Riane de Bruyn & Rangan Gupta & Lardo stander, 2011. "Testing the Monetary Model for Exchange Rate Determination in South Africa: Evidence from 101 Years of Data," Working Papers 201134, University of Pretoria, Department of Economics.
  55. Carlo Altavilla & Paul De Grauwe, 2010. "Non-linearities in the relation between the exchange rate and its fundamentals," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 1-21.
  56. Adrian Austin & Swarna Dutt, 2015. "Exchange Rates and Fundamentals: A New Look at the Evidence on Long-Horizon Predictability," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 43(1), pages 147-159, March.
  57. Chen, Shiu-Sheng & Chou, Yu-Hsi, 2015. "Revisiting the relationship between exchange rates and fundamentals," Journal of Macroeconomics, Elsevier, vol. 46(C), pages 1-22.
  58. Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  59. Evans, Olaniyi, 2013. "The Monetary Model of Exchange Rate in Nigeria: an Autoregressive Distributed Lag (ARDL) Approach," MPRA Paper 52457, University Library of Munich, Germany.
  60. Ekaterini Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Money Macro and Finance (MMF) Research Group Conference 2005 18, Money Macro and Finance Research Group.
  61. Reza Siregar, 2011. "The Concepts of Equilibrium Exchange Rate: A Survey of Literature," Staff Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number sp81.
  62. Prasad S Bhattacharya & Dimitrios D Thomakos, 2011. "Improving forecasting performance by window and model averaging," Economics Series 2011_1, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  63. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
  64. Nelson C. Mark, 2009. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(6), pages 1047-1070, 09.
  65. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
  66. Piersanti, Fabio Massimo & Rizzati, Massimiliano & Nakmai, Siwat, 2016. "Foreign exchange rates with the Taylor rule and VECMs," MPRA Paper 68888, University Library of Munich, Germany, revised 30 Mar 2016.
  67. Hoda Selim, 2012. "Has Egypt'S Exchange Rate Policy Changed After The Float?," Middle East Development Journal (MEDJ), World Scientific Publishing Co. Pte. Ltd., vol. 4(01), pages 1-27.
  68. Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
  69. Abdalrahman AbuDalu & Elsadig Musa Ahmed, 2013. "The long and short run forcing variables of purchasing power parity of ASEAN-5," E3 Journal of Business Management and Economics., E3 Journals, vol. 4(3), pages 066-081.
  70. Liew, Venus Khim-Sen, 2009. "Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen," MPRA Paper 15550, University Library of Munich, Germany, revised 05 Jun 2009.
  71. Nautz, Dieter & Offermanns, Christian J., 2006. "Does the Euro follow the German Mark? Evidence from the monetary model of the exchange rate," European Economic Review, Elsevier, vol. 50(5), pages 1279-1295, July.
  72. André Mollick & Tibebe Assefa, 2013. "Carry-trades on the yen and the Swiss franc: are they different?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 37(3), pages 402-423, July.
  73. 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.
  74. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshah & Chin-Hong Puah, 2009. "Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions," Global Economic Review, Taylor & Francis Journals, vol. 38(4), pages 385-395.
  75. Balke, Nathan S. & Ma, Jun & Wohar, Mark E., 2013. "The contribution of economic fundamentals to movements in exchange rates," Journal of International Economics, Elsevier, vol. 90(1), pages 1-16.
  76. Besancenot, Damien & Vranceanu, Radu, 2003. "Financial Instability under Floating Exchange Rates," ESSEC Working Papers DR 03011, ESSEC Research Center, ESSEC Business School.
  77. Antonio MontanÈs & Marcos Sanso-Navarro, "undated". "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  78. Uz, Idil & Ketenci, Natalya, 2008. "Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey," Emerging Markets Review, Elsevier, vol. 9(1), pages 57-69, March.
  79. Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Puah, Chin-Hong, 2009. "Does Hysteresis in Unemployment Occur in OECD Countries? Evidence from Parametric and Non-Parametric Panel Unit Roots Tests," MPRA Paper 9915, University Library of Munich, Germany.
  80. Abhyankar, Abhay & Sarno, Lucio & Valente, Giorgio, 2005. "Exchange rates and fundamentals: evidence on the economic value of predictability," Journal of International Economics, Elsevier, vol. 66(2), pages 325-348, July.
  81. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
  82. repec:kap:iaecre:v:18:y:2012:i:3:p:299-314 is not listed on IDEAS
  83. Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back; Evidence from the World," IMF Working Papers 08/73, International Monetary Fund.
  84. Lizardo Radhames A. & Mollick Andre Varella, 2011. "The Impact of Chinese Purchases of U.S. Government Debt on the Treasury Yield Curve," Global Economy Journal, De Gruyter, vol. 11(4), pages 1-23, December.
  85. Volkov, Nikanor I. & Yuhn, Ky-hyang, 2016. "Oil price shocks and exchange rate movements," Global Finance Journal, Elsevier, vol. 31(C), pages 18-30.
  86. 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.
  87. McCracken, Michael W., 2004. "Parameter estimation and tests of equal forecast accuracy between non-nested models," International Journal of Forecasting, Elsevier, vol. 20(3), pages 503-514.
  88. Marcelin Diagne, 2010. "Real Money Demand, Income, and Interest Rates in Senegal: Is there a Long-Run Stable Relation?," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(2), pages 213-222, May.
  89. 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.
  90. Faria, Joao Ricardo & Mollick, Andre Varella, 2010. "Tobin's q and U.S. inflation," Journal of Economics and Business, Elsevier, vol. 62(5), pages 401-418, September.
  91. Dąbrowski, Marek A. & Papież, Monika & Śmiech, Sławomir, 2014. "Exchange rates and monetary fundamentals in CEE countries: Evidence from a panel approach," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 148-159.
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