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ArticleCointegration and models of exchange rate determination

Richard T. Baillie1987

Article1987

Cointegration and models of exchange rate determination

Richard T. Baillie · David D. Selover

263 citations·0/0 files stored·International Journal of Forecasting

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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 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1976Expectations and Exchange Rate Dynamics 1983Empirical exchange rate models of the seventies 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors

Cited by

2001Dynamic relationship between stock prices and exchange rates for G-7 countries 2009Oil price fluctuations and U.S. dollar exchange rates 1995More on a Stochastic Asset Model for Actuarial Use 1995Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence 1995Haircuts or hysteresis? Sources of movements in real exchange rates 1987

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1996Cointegration and the PPP and the UIP hypotheses: An application to the Spanish integration in the ECarticle · 10 shared references 1990Cointegration between exchange rates and relative prices: another viewarticle · 9 shared references 1996Empirical exchange rate models and shifts in the co-integrating vectorarticle · 9 shared references 2001Dynamic relationship between stock prices and exchange rates for G-7 countriesarticle · 8 shared references 1986Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?article · 8 shared references 1988Long-run purchasing power parity in the 1920sarticle · 8 shared references

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Year1987

Typearticle

Published1987-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations263

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/0169-2070(87)90077-x

openalex_workW1994711409

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Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models

1990Purchasing power parity as a long‐run relation

2004Testing the monetary model of exchange rate determination: a closer look at panels