Arbeitspapier
The Monetary Exchange Rate Model as a Long-Run Phenomenon
Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration between the exchange rate and themacroeconomic fundamentals of this monetary model.
- Sprache
-
Englisch
- Erschienen in
-
Series: Tinbergen Institute Discussion Paper ; No. 98-082/2
- Klassifikation
-
Wirtschaft
- Thema
-
Wechselkurs
Zeitreihenanalyse
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Groen, Jan J.J.
- Ereignis
-
Veröffentlichung
- (wer)
-
Tinbergen Institute
- (wo)
-
Amsterdam and Rotterdam
- (wann)
-
1998
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:46 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Groen, Jan J.J.
- Tinbergen Institute
Entstanden
- 1998
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