The Monetary Model Of Exchange Rates And Cointegration

Author : Javier Gardeazabal
Publisher : Springer Science & Business Media
ISBN 13 : 3642488587
Total Pages : 206 pages
Book Rating : 4.80/5 ( download)

DOWNLOAD NOW!

Download or read book The Monetary Model of Exchange Rates and Cointegration written by Javier Gardeazabal and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.

Author : J. Gardeazabal
Publisher :
ISBN 13 : 9783642488597
Total Pages : 212 pages
Book Rating : 4.95/5 ( download)

DOWNLOAD NOW!

Download or read book The Monetary Model of Exchange Rates and Cointegration written by J. Gardeazabal and published by . This book was released on 1992 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.

Author : Valerie Cerra
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.23/5 ( download)

DOWNLOAD NOW!

Download or read book The Monetary Model Strikes Back written by Valerie Cerra and published by International Monetary Fund. This book was released on 2008-03 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in beating a random walk in out-of-sample prediction.

Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.07/5 ( download)

DOWNLOAD NOW!

Download or read book The Monetary Approach to the Exchange Rate written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1992-05 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: We re-examine the monetary approach to the exchange rate from a number of perspectives, using monthly data on the deutschemark-dollar exchange rate. Using the Campbell-Shiller technique for testing present value models, we reject the restrictions imposed upon the data by the forward-looking rational expectations monetary model. We demonstrate, however, that the monetary model is validated as a long-run equilibrium condition. Moreover, imposing the long-run monetary model restrictions in a dynamic error correction framework leads to exchange rate forecasts which are superior to those generated by a random walk forecasting model.

Author : Mr.Ronald MacDonald
Publisher : International Monetary Fund
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.47/5 ( download)

DOWNLOAD NOW!

Download or read book Long-Run Exchange Rate Modeling written by Mr.Ronald MacDonald and published by International Monetary Fund. This book was released on 1995 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we survey the recent literature on long run, or equilibrium, exchange rate modeling. In particular, we review the voluminous literature which tests for a unit root in real exchange rates and the closely related work on testing for a unit root in the residual from a regression of the nominal exchange rate on relative prices. We argue that the balance of evidence is supportive of the existence of some form of long-run exchange rate relationship. The form of this relationship, however, does not accord exactly with a traditional representation of the long-run exchange rate. We offer some potential explanations for this lack of conformity.

Author : Sven-Morten Mentzel
Publisher : Springer Science & Business Media
ISBN 13 : 3642590179
Total Pages : 114 pages
Book Rating : 4.77/5 ( download)

DOWNLOAD NOW!

Download or read book Real Exchange Rate Movements written by Sven-Morten Mentzel and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 114 pages. Available in PDF, EPUB and Kindle. Book excerpt: One aim of this book is to examine the causes of fluctuations in the mark/dollar, pound/dollar, and yen/dollar real exchange rates for the period 1972-1994 with quarterly data to determine appropriate policy recommendations to reduce these movements. A second aim is to investigate whether the three real exchange rates are covariance-stationary or not and to which extent they are covariance-stationary, respectively. These aims are reached by using a two-country overshooting model for real exchange rates with real government expenditure and by applying Johansen's maximum likelihood cointegration procedure and a factor model of Gonzalo and Granger to this model.

Author : Jarko Fidrmuc
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.54/5 ( download)

DOWNLOAD NOW!

Download or read book The Monetary Approach to Exchange Rates in the Ceecs written by Jarko Fidrmuc and published by . This book was released on 2007 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: A panel data set for six Central and Eastern European countries (the Czech Republic, Hungary, Poland, Romania, Slovakia and Slovenia) is used to estimate the monetary exchange rate model with panel cointegration methods, including the Pooled Mean Group estimator, the Fully Modified Least Square estimator and the Dynamic Least Square estimator. The monetary model is able to convincingly explain the long-run dynamics of exchange rates in CEECs, particularly when this is supplemented by a Balassa-Samuelson effect. We then use our long-run monetary estimates to compute equilibrium exchange rates. Finally, we discuss the implications for the accession of selected countries to the European Economic and Monetary Union.

Author : Menzie David Chinn
Publisher : International Monetary Fund
ISBN 13 : 1451962169
Total Pages : 33 pages
Book Rating : 4.61/5 ( download)

DOWNLOAD NOW!

Download or read book Real Exchange Rate Levels, Productivity and Demand Shocks written by Menzie David Chinn and published by International Monetary Fund. This book was released on 1997-05-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the long-run relationship between the real exchange rate, traded and nontraded productivity levels, and government spending for 14 OECD countries, using recently developed panel cointegration tests. The results indicate that under certain assumptions it is easier to detect cointegration in panel data than in the available time series; moreover, the rate of reversion to long-run equilibrium is estimated with greater precision. Using the model augmented by oil prices, we find that in 1991 (the last year productivity data are available) there is less overvaluation of the U.S. dollar than that implied by a naive version of purchasing power parity.

Author : Yin-Wong Cheung
Publisher :
ISBN 13 :
Total Pages : 66 pages
Book Rating : 4.82/5 ( download)

DOWNLOAD NOW!

Download or read book Integration, Cointegration and the Forecast Consistency of Structural Exchange Rate Models written by Yin-Wong Cheung and published by . This book was released on 1997 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that it is fairly easy for the generated forecasts to pass the first requirement. However, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead horizon, most series and their respective forecasts do not appear cointegrated. Of the cointegrated pairs, the restriction of unitary elasticity of forecasts with respect to actual appears not to be rejected in general. The exception to this pattern is in the case of the error correction models in the longer subsample. Using the Horvath-Watson procedure, which imposes a unitary coefficient restriction, we find fewer instances of consistency, but a relatively higher proportion of the identified cases of consistency are found at the longer horizons.

Author : Eric J. Pentecost
Publisher : Edward Elgar Publishing
ISBN 13 :
Total Pages : 248 pages
Book Rating : 4.71/5 ( download)

DOWNLOAD NOW!

Download or read book Exchange Rate Dynamics written by Eric J. Pentecost and published by Edward Elgar Publishing. This book was released on 1993 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work examines the development of the determinants of the exchange rate system since the mid-1970s. It scrutinises the main theoretical models of exchange rate determination and assesses their empirical validity drawn from recent econometric results (based on cointegration methodology).