Macroeconomic fundamentals and the dm/$ exchange rate: Temporal instability and the monetary model

International Journal of Finance and Economics

Volumn 6, Issue 4, 2001, Pages 421-435

  Goldberg, Michael D ^a,c   Frydman, Roman ^b  

^a UNIVERSITY OF NEW HAMPSHIRE   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c UNIVERSITY OF NEW HAMPSHIRE   (United States)

Author keywords

Cointegrating VARS; Exchange rates; Monetary models; Temporal instability

Indexed keywords

CURRENCY MARKET; EXCHANGE RATE; MACROECONOMICS; STRUCTURAL CHANGE;

EID: 0035205037     PISSN: 10769307     EISSN: None     Source Type: Journal    
DOI: 10.1002/ijfe.166     Document Type: Article

References (56)

1. Purchasing power parity in the long-run
2. Empirical models of the exchange rate: Separating the wheat from the chaff
3. The search for equilibrium relationships in international finance: The case of the monetary model
4. Recent developments in monetary models of exchange rate determination
5. The Deutsche mark/dollar rate: A monetary analysis
6. Off the mark: Lessons for exchange rate modelling
7. Tests of the performance of reduced-form exchange rate models
8. Techniques for testing the constancy of regression relationships over time (with discussion)
9. Finite-samples sizes of Johansen's likelihood ratio tests for cointegration
10. Banking on currency forecasts: How predictable is change in money?
11. Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries
12. The monetary model in the presence of 1(2) components: Long-run relationships, short-run dynamics and forecasting of the Greek drachma
13. Inference in cointegrated models: UK M1 revisited
14. Expectations and exchange rate dynamics
15. Long swings in the exchange rate: Are they in the data and do markets know it?
16. On the mark: A theory of floating exchange rate based on real interest differentials
17. Monetary and portfolio balance models of exchange rate determination
18. Tests of monetary and portfolio balance models of exchange rate determination
19. A monetary approach to the exchange rate: Doctrinal aspects and empirical evidence
20. Perspectives on PPP and long-run real exchange rates
21. Imperfect knowledge and non-fundamental factors in understanding the Meese and Rogoff. C.V
22. Imperfect knowledge and exchange rate dynamics
23. Symmetry restrictions and the semblance of neutrality in exchange rate models
24. On empirical exchange rate models: What does a rejection of the symmetry restriction on short-run interest rates mean?
25. Do monetary models of the exchange rate with RE fit the data?
26. Theories consistent expectations and exchange rate dynamics
27. Empirical exchange rate models and shifts in the co-integrating vector
28. Imperfect knowledge and behavior in the foreign exchange market
29. Macroeconomic fundamentals and the DM/S exchange rate: Imperfect knowledge and the monetary model. C.V
30. The PPP puzzle and imperfect knowledge. C.V
31. The demand for money
32. Five alternative methods of estimating long-run equilibrium relationships
33. Testing for structural change in conditional models
34. Fluctuations in the dollar: A model of nominal and real exchange rate determination
35. Statistical analysis of cointegration vectors
36. Maximum likelihood estimation and inference on cointegration: With applications to the demand for money
37. Testing structural hypothesis in a multivariate cointegration analysis of the PPP and UIP for UK
38. Do purchasing power parity and uncovered interest rate parity hold in the long-run? An example of likelihood inference in a multivariate time series model
39. Is there a peso problem? Evidence from the dollar/pound exchange rate, 1976-1987
40. Real exchange rate behavior: The recent float from the perspective of the past two centuries
41. On fundamentals and exchange rates: A casselian perspective
42. The monetary model of the exchange rate: Long-run relationships, short-run dynamics and how to beat a random walk
43. Testing for bubbles in exchange markets: A case of sparkling rates?
44. Currency fluctuations in the post-Bretton Woods era
45. Empirical exchange rate models of the seventies: Do they fit out of sample?
46. Was it real? The exchange rate-interest differential relation over the modern floating-rate period
47. A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistics
48. Cointegration and exchange rate dynamics
49. Structural analysis of cointegrating VARs
50. Optimal inference in cointegrated systems
51. A trend-resistant test for structural change based on OLS residuals
52. Comparisons of tests for multivariate cointegration
53. A heteroskedastic-consistent covariance matrix estimator and a direct test for heteroskedasticity