The Monetary Model of Exchange Rates and Cointegration

The Monetary Model of Exchange Rates and Cointegration
Author :
Publisher : Springer Science & Business Media
Total Pages : 206
Release :
ISBN-10 : 9783642488580
ISBN-13 : 3642488587
Rating : 4/5 (587 Downloads)

Book Synopsis The Monetary Model of Exchange Rates and Cointegration by : Javier Gardeazabal

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.


The Monetary Model of Exchange Rates and Cointegration Related Books

The Monetary Model of Exchange Rates and Cointegration
Language: en
Pages: 206
Authors: Javier Gardeazabal
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

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
Exchange Rates and Economic Fundamentals
Language: en
Pages: 39
Authors: Mr.Peter B. Clark
Categories: Business & Economics
Type: BOOK - Published: 1998-05-01 - Publisher: International Monetary Fund

DOWNLOAD EBOOK

This paper compares two approaches for examining the extent to which a country’s actual real effective exchange rate is consistent with economic fundamentals:
Currencies, Commodities and Consumption
Language: en
Pages: 401
Authors: Kenneth W. Clements
Categories: Business & Economics
Type: BOOK - Published: 2013-01-31 - Publisher: Cambridge University Press

DOWNLOAD EBOOK

Discusses economic issues associated with exchange rates, commodity prices, the economic size of countries and alternatives to PPP exchange rates.
The Monetary Model of Exchange Rates and Cointegration
Language: en
Pages: 212
Authors: J. Gardeazabal
Categories:
Type: BOOK - Published: 1992 - Publisher:

DOWNLOAD EBOOK

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