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Testing the monetary model of exchange rate determination: a closer look at panels · Study

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Testing the monetary model of exchange rate determination: a closer look at panels

David E. Rapach, Mark E. Wohar

2004-06-22articleJournal of International Money and Finance148 citationsclosed

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Monetary Policy and Economic Impact Financial Markets and Investment Strategies Global Financial Crisis and Policies

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root

1988Testing for a Unit Root in Time Series Regression

2002Unit root tests in panel data: asymptotic and finite-sample properties

1980Macroeconomics and Reality

1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

1999Critical Values for Cointegration Tests in Heterogeneous Panels with Multiple Regressors

Cited by

2009The causality between energy consumption and economic growth: A multi-sectoral analysis using non-stationary cointegrated panel data

2013Energy consumption and human development: Evidence from a panel cointegration and error correction model

2008The Continuing Puzzle of Short Horizon Exchange Rate Forecasting

2014Factor Model Forecasts of Exchange Rates

2015Error Correction Testing in Panels with Common Stochastic Trends

2002How Well Do Monetary Fundamentals Forecast Exchange Rates?

2012Factor Model Forecasts of Exchange Rates

2009The Impact of Monetary and Commodity Fundamentals, Macro News and Central Bank Communication on the Exchange Rate: Evidence from South Africa

Details

Year2004

Typearticle

VenueJournal of International Money and Finance

Languageen

Files0 public / 0

Identifiers

doi10.1016/j.jimonfin.2004.05.002

openalex_workW1972069826

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