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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 98-082/2
- Classification
-
Wirtschaft
- Subject
-
Wechselkurs
Zeitreihenanalyse
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Groen, Jan J.J.
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
1998
- Handle
- Last update
-
10.03.2025, 11:46 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Groen, Jan J.J.
- Tinbergen Institute
Time of origin
- 1998
Other Objects (12)
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
The Monetary Models of the Turkish Lira/ Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting
A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run
Long-run effects of exchange rate appreciation: Another puzzle?
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Black market and official exchange rates: long-run equilibrium and short-run dynamics
The Long-Run Exchange Rate for NOK: A BEER Approach
Optimal monetary policy and price stability over the long-run
Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
The Monetary Models of the Turkish Lira/ Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting
A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run
Long-run effects of exchange rate appreciation: Another puzzle?
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Black market and official exchange rates: long-run equilibrium and short-run dynamics
The Long-Run Exchange Rate for NOK: A BEER Approach
Optimal monetary policy and price stability over the long-run
Productivity shocks, monetary shocks, and the short- and long-run dynamics of exchange rates and relative prices
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
Measuring Long-Run Exchange Rate Pass-Through
The Monetary Models of the Turkish Lira/ Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting
A Comparison of Two Alternative Monetary Approaches to Exchange Rate Determination over the Long-Run
Long-run effects of exchange rate appreciation: Another puzzle?
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Foreign Exchange Market Interventions and the $-¥ Exchange Rate in the Long-Run
Black market and official exchange rates: long-run equilibrium and short-run dynamics
The Long-Run Exchange Rate for NOK: A BEER Approach
Optimal monetary policy and price stability over the long-run