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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. Yuan, Chunming, 2011. "The exchange rate and macroeconomic determinants: Time-varying transitional dynamics," The North American Journal of Economics and Finance, Elsevier, vol. 22(2), pages 197-220, August.
  2. Joakim Westerlund & Syed A. Basher, 2007. "Can panel data really improve the predictability of the monetary exchange rate model?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(5), pages 365-383.
  3. Sarno, Lucio & Valente, Giorgio, 2008. "Exchange Rates and Fundamentals: Footloose or Evolving Relationship?," CEPR Discussion Papers 6638, C.E.P.R. Discussion Papers.
  4. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
  5. Balazs Egert, 2009. "The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa," CESifo Working Paper Series 2612, CESifo Group Munich.
  6. 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.
  7. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
  8. 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.
  9. 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, International Atlantic Economic Society, vol. 18(3), pages 299-314, August.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back; Evidence From the World," IMF Working Papers 08/73, International Monetary Fund.
  15. Gregory Gagnon, 2012. "Exchange rate bifurcation in a stochastic evolutionary finance model," Decisions in Economics and Finance, Springer, vol. 35(1), pages 29-58, May.
  16. 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.
  17. Nelson C. Mark, 2005. "Changing Monetary Policy Rules, Learning, and Real Exchange Rate Dynamics," NBER Working Papers 11061, National Bureau of Economic Research, Inc.
  18. 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.
  19. Venus khim-sen Liew, 2009. "Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen," Economics Bulletin, AccessEcon, vol. 29(2), pages 1320-1329.
  20. 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 1250005-1-1.
  21. Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
  22. 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.
  23. 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.
  24. 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.
  25. 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.
  26. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
  27. Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona Graduate School of Economics.
  28. 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.
  29. 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.
  30. Antonio Montañés & Marcos Sanso-Navarro, . "Another look at long-horizon uncovered interest parity," Studies on the Spanish Economy 221, FEDEA.
  31. Christopher J. Neely & Paul A. Weller, 2007. "Central bank intervention with limited arbitrage," Working Papers 2006-033, Federal Reserve Bank of St. Louis.
  32. Nelson Mark & Kimberly Berg, 2013. "Third-Country Effects on the Exchange Rate," 2013 Meeting Papers 1050, Society for Economic Dynamics.
  33. 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.
  34. Michalski , Tomasz & Amat , Christophe, 2014. "Fundamentals and Exchange Rate Forecastability with Machine Learning Methods," Les Cahiers de Recherche 1049, HEC Paris.
  35. Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
  36. 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.
  37. 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.
  38. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Puah, Chin-Hong, 2009. "Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions," MPRA Paper 17715, University Library of Munich, Germany.
  39. 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.
  40. E.Panopoulou, 2005. "A Resolution of the Fisher Effect Puzzle: A Comparison of Estimators," Economics, Finance and Accounting Department Working Paper Series n1500205, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  41. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  42. Charles Engel & Nelson C. Mark & Kenneth D. West, 2015. "Factor Model Forecasts of Exchange Rates," Econometric Reviews, Taylor & Francis Journals, vol. 34(1-2), pages 32-55, February.
  43. Balázs Égert, 2013. "Dutch Disease in the Post-Soviet Countries of Central and South-West Asia: How Contagious is it?," EconomiX Working Papers 2013-10, University of Paris West - Nanterre la Défense, EconomiX.
  44. 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.
  45. 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.
  46. Ronald MacDonald & Lukas Menkhoff & Rafael R. Rebitzky, 2009. "Exchange Rate Forecasters' Performance: Evidence of Skill?," CESifo Working Paper Series 2615, CESifo Group Munich.
  47. 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.
  48. 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.
  49. 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.
  50. 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.
  51. 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.
  52. Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
  53. Besancenot, Damien & Vranceanu, Radu, 2003. "Financial Instability under Floating Exchange Rates," ESSEC Working Papers DR 03011, ESSEC Research Center, ESSEC Business School.
  54. 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.
  55. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada.
  56. 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.
  57. Nelson Mark, 2008. "Factor Model Forecasts of Exchange Rates," Working Papers 012, University of Notre Dame, Department of Economics, revised Jan 2012.
  58. 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.
  59. 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.
  60. Berg, Kimberly A. & Mark, Nelson C., 2015. "Third-country effects on the exchange rate," Journal of International Economics, Elsevier, vol. 96(2), pages 227-243.
  61. Basher, Syed A. & Westerlund, Joakim, 2009. "Panel cointegration and the monetary exchange rate model," Economic Modelling, Elsevier, vol. 26(2), pages 506-513, March.
  62. 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.
  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. 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.
  65. Adrian Austin & Swarna Dutt, 2015. "Exchange Rates and Fundamentals: A New Look at the Evidence on Long-Horizon Predictability," Atlantic Economic Journal, International Atlantic Economic Society, vol. 43(1), pages 147-159, March.
  66. 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.
  67. André Mollick & Tibebe Assefa, 2013. "Carry-trades on the yen and the Swiss franc: are they different?," Journal of Economics and Finance, Springer, vol. 37(3), pages 402-423, July.
  68. Javier Gómez Biscarri & Javier Hualde, 2014. "A residual-based ADF test for stationary cointegration in I (2) settings," Economics Working Papers 1439, Department of Economics and Business, Universitat Pompeu Fabra.
  69. Guy Meredith, 2003. "Medium-Term Exchange Rate Forecasting; What Can We Expect?," IMF Working Papers 03/21, International Monetary Fund.
  70. 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).
  71. 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.
  72. 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.
  73. Ryan Greenaway-McGrevy & Nelson C. Mark & Donggyu Sul & Jyh-Lin Wu, 2012. "Exchange Rates as Exchange Rate Common Factors," Working Papers 212012, Hong Kong Institute for Monetary Research.
  74. 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.
  75. 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.
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