메뉴 건너뛰기




Volumn 6, Issue 4, 1996, Pages 351-362

The monetary approach to the exchange rate: Long-run relationships, coefficient restrictions and temporal stability of the Greek drachma

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0000948711     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031096334169     Document Type: Article
Times cited : (7)

References (48)
  • 4
    • 0001801999 scopus 로고
    • Rational expectations and the exchange rate
    • J. A. Frankel and H. G. Johnson, eds, Addison-Wesley, Reading, MA
    • Bilson, J. F. O. (1978) Rational expectations and the exchange rate, in: J. A. Frankel and H. G. Johnson, eds, The Economics of Exchange Rates (Addison-Wesley, Reading, MA).
    • (1978) The Economics of Exchange Rates
    • Bilson, J.F.O.1
  • 5
    • 0001223082 scopus 로고
    • Off the mark: Lessons for exchange rate modelling
    • Boothe, P. and Glassman, D. (1987) Off the mark: lessons for exchange rate modelling, Oxford Economic Papers, 39, 443-57.
    • (1987) Oxford Economic Papers , vol.39 , pp. 443-457
    • Boothe, P.1    Glassman, D.2
  • 7
    • 84949606874 scopus 로고
    • Financial openess and effectiveness of capital controls in Greece
    • forthcoming
    • Christodoulakis, N. and Karamouzis, N. (1993) Financial openess and effectiveness of capital controls in Greece, Greek Economic Review, (forthcoming).
    • (1993) Greek Economic Review
    • Christodoulakis, N.1    Karamouzis, N.2
  • 9
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey, D. A. and Fuller, W. A. (1981) Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-72.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 10
    • 0000852872 scopus 로고
    • Expectations and exchange rate dynamics
    • Dornbusch, R. (1976) Expectations and exchange rate dynamics, Journal of Political Economy, 84, 1161-76.
    • (1976) Journal of Political Economy , vol.84 , pp. 1161-1176
    • Dornbusch, R.1
  • 12
    • 0000634137 scopus 로고
    • A Monetary approach to the exchange rate: Doctrinal aspects and empirical evidence
    • Frenkel, J. A. (1976) A Monetary approach to the exchange rate: Doctrinal aspects and empirical evidence, Scandinavian Journal of Economics, 78, 200-24.
    • (1976) Scandinavian Journal of Economics , vol.78 , pp. 200-224
    • Frenkel, J.A.1
  • 13
    • 0000013567 scopus 로고
    • Cointegration and error correction: Representation, estimation and testing
    • Engle, R. F. and Granger, C. W. J. (1987) Cointegration and error correction: Representation, estimation and testing, Econometrica, 55, 251-76.
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 15
    • 3142532577 scopus 로고
    • Testing for purchasing power parity using maximum likelihood techniques: The case of the Greek drachma
    • forthcoming
    • Georgoutsos, D. A. and Kouretas, G. P. (1994) Testing for purchasing power parity using maximum likelihood techniques: The case of the Greek drachma, Greek Economic Review, (forthcoming).
    • (1994) Greek Economic Review
    • Georgoutsos, D.A.1    Kouretas, G.P.2
  • 16
    • 33748632313 scopus 로고
    • Comparison of five alternative methods of estimating long-run equilibrium relationships
    • Gonzalo, J. (1994) Comparison of five alternative methods of estimating long-run equilibrium relationships, Journal of Econometrics, 60, 203-33.
    • (1994) Journal of Econometrics , vol.60 , pp. 203-233
    • Gonzalo, J.1
  • 19
    • 0003055145 scopus 로고
    • An empirical analysis of the monetary approach to the determination of the exchange rate
    • J. A. Frenkel and H. G. Johnson, eds. Addison-Wesley, Reading, MA
    • Hodrick, R. J. (1978) An empirical analysis of the monetary approach to the determination of the exchange rate, in J. A. Frenkel and H. G. Johnson, eds. The Economics of Exchange Rates (Addison-Wesley, Reading, MA).
    • (1978) The Economics of Exchange Rates
    • Hodrick, R.J.1
  • 21
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen, S. (1991) Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models, Econometrica, 59, 1551-80.
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 22
    • 84981621724 scopus 로고
    • Determination of cointegration rank in the presence of a linear trend
    • Johansen, S. (1992a) Determination of cointegration rank in the presence of a linear trend, Oxford Bulletin of Economics and Statistics, 54, 383-97.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 383-397
    • Johansen, S.1
  • 23
    • 44049114825 scopus 로고
    • Testing weak exogeneity and the order of cointegration in UK money demand data
    • Johansen, S. (1992b) Testing weak exogeneity and the order of cointegration in UK money demand data, Journal of Policy Modeling, 14, 313-34.
    • (1992) Journal of Policy Modeling , vol.14 , pp. 313-334
    • Johansen, S.1
  • 24
    • 84981579311 scopus 로고
    • Maximum likelihood estimation and inference on cointegration - With applications to the demand for money
    • Johansen, S. and Juselius, K. (1990) Maximum likelihood estimation and inference on cointegration - with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210.
    • (1990) Oxford Bulletin of Economics and Statistics , vol.52 , pp. 169-210
    • Johansen, S.1    Juselius, K.2
  • 25
    • 44049117018 scopus 로고
    • Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
    • Johansen, S. and Juselius K. (1992) Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK, Journal of Econometrics, 53, 211-44.
    • (1992) Journal of Econometrics , vol.53 , pp. 211-244
    • Johansen, S.1    Juselius, K.2
  • 27
    • 0000634136 scopus 로고
    • The exchange rate and the balance of payments in the short-run and in the long-run, a monetary aproach
    • Kouri, P. J. K. (1976) The exchange rate and the balance of payments in the short-run and in the long-run, a monetary aproach, Scandinavian Journal of Economics, 78, 280-304.
    • (1976) Scandinavian Journal of Economics , vol.78 , pp. 280-304
    • Kouri, P.J.K.1
  • 28
    • 34247480179 scopus 로고
    • Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root?
    • Kwiatkowski, D., Phillips P. C. B., Schmidt, P. and Shin, Y. (1992), Testing the null hypothesis of stationary against the alternative of a unit root: How sure are we that economic time series have a unit root? Journal of Econometrics, 54, 159-78.
    • (1992) Journal of Econometrics , vol.54 , pp. 159-178
    • Kwiatkowski, D.1    Phillips, P.C.B.2    Schmidt, P.3    Shin, Y.4
  • 29
    • 0001076657 scopus 로고
    • The monetary approach to the exchange rate: Long-run relationships and coefficient restrictions
    • MacDonald, R. and Taylor, M. P. (1991) The monetary approach to the exchange rate: Long-run relationships and coefficient restrictions, Economics Letters, 37, 179-85.
    • (1991) Economics Letters , vol.37 , pp. 179-185
    • MacDonald, R.1    Taylor, M.P.2
  • 31
    • 0002523215 scopus 로고
    • The monetary approach to the exchange rate: Rational expectations, long-run equilibrium, and forecasting
    • MacDonald, R. and Taylor, M. P. (1993) The monetary approach to the exchange rate: Rational expectations, long-run equilibrium, and forecasting, International Monetary Fund Staff Papers, 40, 89-107.
    • (1993) International Monetary Fund Staff Papers , vol.40 , pp. 89-107
    • MacDonald, R.1    Taylor, M.P.2
  • 32
    • 38149146963 scopus 로고
    • The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk
    • MacDonald, R. and Taylor, M. P. (1994a) The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk, Journal of International Money and Finance, 13, 276-90.
    • (1994) Journal of International Money and Finance , vol.13 , pp. 276-290
    • MacDonald, R.1    Taylor, M.P.2
  • 33
    • 84963163743 scopus 로고
    • Reexamining the monetary approach to the exchange rate: The dollar-franc, 1976-90
    • MacDonald, R. and Taylor, M. P. (1994b) Reexamining the monetary approach to the exchange rate: The dollar-franc, 1976-90, Applied Financial Economics, 4, 423-9.
    • (1994) Applied Financial Economics , vol.4 , pp. 423-429
    • MacDonald, R.1    Taylor, M.P.2
  • 34
    • 38249005914 scopus 로고
    • Co-integration tests for long run equilibirium in the monetary exchange rate model
    • McNown, R. Wallace, M. (1989) Co-integration tests for long run equilibirium in the monetary exchange rate model, Economics Letters, 31, 263-7.
    • (1989) Economics Letters , vol.31 , pp. 263-267
    • McNown, R.1    Wallace, M.2
  • 35
    • 84936219164 scopus 로고
    • Testing for bubbles in exchange markets: A case of sparkling rates?
    • Meese, R. A. (1986) Testing for bubbles in exchange markets: A case of sparkling rates? Journal of Political Economy, 94, 345-73.
    • (1986) Journal of Political Economy , vol.94 , pp. 345-373
    • Meese, R.A.1
  • 36
    • 33846907054 scopus 로고
    • Empirical exchange rate models of the seventies: Do they fit out of sample?
    • Meese, R. A. and Rogoff, K. (1983) Empirical exchange rate models of the seventies: Do they fit out of sample? Journal of International Economics, 14, 3-74.
    • (1983) Journal of International Economics , vol.14 , pp. 3-74
    • Meese, R.A.1    Rogoff, K.2
  • 37
    • 0000634139 scopus 로고
    • The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating
    • Mussa, M. L. (1976) The exchange rate, the balance of payments and monetary and fiscal policy under a regime of controlled floating, Scandinavian Journal of Economics, 78, 229-54.
    • (1976) Scandinavian Journal of Economics , vol.78 , pp. 229-254
    • Mussa, M.L.1
  • 38
    • 49249151271 scopus 로고
    • Empirical regularities in the behaviour of exchange rates and theories of the foreign markets
    • K. Brunner and A. H. Meltzer (eds.), Policies for Employment, Prices and Exchange Rates
    • Mussa, M. L. (1979) Empirical regularities in the behaviour of exchange rates and theories of the foreign markets, in K. Brunner and A. H. Meltzer (eds.), Policies for Employment, Prices and Exchange Rates, Carnegie-Rochester Conference Series on Public Policy, 11, 9-57.
    • (1979) Carnegie-Rochester Conference Series on Public Policy , vol.11 , pp. 9-57
    • Mussa, M.L.1
  • 39
    • 0000706085 scopus 로고
    • A simple positive definite heteroskedasticity- and autocorrelation-consistent covariance matrix
    • Newey, W. K. and West, K. D. (1987) A simple positive definite heteroskedasticity- and autocorrelation-consistent covariance matrix, Econometrica, 55, 703-8.
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 40
    • 0000631178 scopus 로고
    • A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
    • Osterwald-Lenum, M. (1992) A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics, Oxford Bulletin of Economics and Statistics, 54, 461-72.
    • (1992) Oxford Bulletin of Economics and Statistics , vol.54 , pp. 461-472
    • Osterwald-Lenum, M.1
  • 41
    • 0000899296 scopus 로고
    • The great crash, the oil price shock, and the unit root hypothesis
    • Perron, P. (1989) The great crash, the oil price shock, and the unit root hypothesis, Econometrica, 59, 1361-401.
    • (1989) Econometrica , vol.59 , pp. 1361-1401
    • Perron, P.1
  • 42
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips, P. and Perron, P. (1988) Testing for a unit root in time series regression, Biometrica, 75, 335-46.
    • (1988) Biometrica , vol.75 , pp. 335-346
    • Phillips, P.1    Perron, P.2
  • 43
    • 0001423315 scopus 로고
    • Estimating monetary models of the balance of payments and exchange rates: A bias
    • Rasulo, J. and Wilford, D. (1980) Estimating monetary models of the balance of payments and exchange rates: a bias, Southern Economic Journal, 47, 136-46.
    • (1980) Southern Economic Journal , vol.47 , pp. 136-146
    • Rasulo, J.1    Wilford, D.2
  • 45
    • 0002814040 scopus 로고
    • Effects of model specification on tests for unit roots in macroeconomic data
    • Schwert, W. G. (1987) Effects of model specification on tests for unit roots in macroeconomic data, Journal of Monetary Economics, 20, 73-103.
    • (1987) Journal of Monetary Economics , vol.20 , pp. 73-103
    • Schwert, W.G.1
  • 46
    • 0001347325 scopus 로고
    • Tests of exchange market efficiency: Fragile evidence from cointegration tests
    • Sephton, S. P. and Larsen, K. H. (1991) Tests of exchange market efficiency: fragile evidence from cointegration tests, Journal of International Money and Finance, 10, 561-70.
    • (1991) Journal of International Money and Finance , vol.10 , pp. 561-570
    • Sephton, S.P.1    Larsen, K.H.2
  • 47
    • 84974450849 scopus 로고
    • A residual-based test of the null of cointegration against the alternative of no cointegration
    • Shin, Y. (1994) A residual-based test of the null of cointegration against the alternative of no cointegration, Econometric Theory, 10, 91-115.
    • (1994) Econometric Theory , vol.10 , pp. 91-115
    • Shin, Y.1
  • 48
    • 0000997472 scopus 로고
    • Macroeconomics and reality
    • Sims, C. A. (1980) Macroeconomics and reality, Econometrica, 48, 1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.