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Cointegration and models of exchange rate determination
14 references·16 citing·31 second hop
Cointegration and models of exchange rate determination (1987)Cointegration and models of exchange rate…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors (1987)Asymptotic Properties of Leas…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Deviations from Purchasing Power Parity in the Long Run (1983)Deviations from Purchasing Po…On Unit Roots and the Empirical Modeling of Exchange Rates (1982)On Unit Roots and the Empiric…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials (1979)On the Mark: A Theory of Floa…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…The Monetary Approach to the Exchange Rate: Some Empirical Evidence (La theorie monetaire du taux de change: preuves empiriques) (El enfoque monetario del tipo de cambio: Algunas pruebas empiricas) (1978)The Monetary Approach to the …A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…Expectations and Exchange Rate Dynamics (1976)Expectations and Exchange Rat…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Oil price fluctuations and U.S. dollar exchange rates (2009)Oil price fluctuations and U.…Testing the monetary model of exchange rate determination: a closer look at panels (2004)Testing the monetary model of…Dynamic relationship between stock prices and exchange rates for G-7 countries (2001)Dynamic relationship between …Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era (1997)Understanding the empirical l…Accounting for real and nominal exchange rate movements in the post-Bretton Woods period (1997)Accounting for real and nomin…Time-Series-Based Econometrics (1996)Time-Series-Based EconometricsThe Response of Real Exchange Rates to Various Economic Shocks (1995)The Response of Real Exchange…More on a Stochastic Asset Model for Actuarial Use (1995)More on a Stochastic Asset Mo…Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence (1995)Long-Run Exchange Rate Modeli…Haircuts or hysteresis? Sources of movements in real exchange rates (1995)Haircuts or hysteresis? Sourc…Mean reversion in real exchange rates (1994)Mean reversion in real exchan…Does the real exchange rate follow a random walk? The Pacific Basin perspective (1994)Does the real exchange rate f…The monetary approach to the exchange rate (1991)The monetary approach to the …Purchasing power parity as a long‐run relation (1990)Purchasing power parity as a …Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models (1987)Time-Varying Parameters and t…OFF THE MARK: LESSONS FOR EXCHANGE RATE MODELLING * (1987)OFF THE MARK: LESSONS FOR EXC…Domestic Financial Policies Under Fixed and Under Floating Exchange Rates (1962)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)Was It Real? The Exchange Rate‐Interest Differential Relation over the Modern Floating‐Rate Period (1988)Exchange Rates and Fundamentals (2004)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)The Purchasing-Power Parity Doctrine: A Reappraisal (1964)Theoretical Notes on Trade Problems (1964)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The Quarterly Journal of Economics (2024)Time Series Analysis: Forecasting and Control (1977)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Bounds testing approaches to the analysis of level relationships (2001)Trends and random walks in macroeconmic time series (1982)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)International R&D spillovers (1995)Unit root tests in panel data: asymptotic and finite-sample properties (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Convergence Across States and Regions (1991)Testing for unit roots in heterogeneous panels (2003)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 cited
  • 1976Expectations and Exchange Rate Dynamics4,704 cited
  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1987Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors1,471 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1979On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials955 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence824 cited
  • 1983Deviations from Purchasing Power Parity in the Long Run497 cited
  • 1982On Unit Roots and the Empirical Modeling of Exchange Rates359 cited
  • 1978The Monetary Approach to the Exchange Rate: Some Empirical Evidence (La theorie monetaire du taux de change: preuves empiriques) (El enfoque monetario del tipo de cambio: Algunas pruebas empiricas)

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304 cited

Cited by

  • 2001Dynamic relationship between stock prices and exchange rates for G-7 countries472 cited
  • 2009Oil price fluctuations and U.S. dollar exchange rates457 cited
  • 1995More on a Stochastic Asset Model for Actuarial Use271 cited
  • 1995Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence207 cited
  • 1995Haircuts or hysteresis? Sources of movements in real exchange rates196 cited
  • 1987Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models177 cited
  • 1990Purchasing power parity as a long‐run relation172 cited
  • 2004Testing the monetary model of exchange rate determination: a closer look at panels148 cited
  • 1991The monetary approach to the exchange rate143 cited
  • 1997Understanding the empirical literature on purchasing power parity: the post-Bretton Woods era135 cited
  • 1995The Response of Real Exchange Rates to Various Economic Shocks103 cited
  • 1996Time-Series-Based Econometrics103 cited
  • 1994Mean reversion in real exchange rates98 cited
  • 1997Accounting for real and nominal exchange rate movements in the post-Bretton Woods period92 cited
  • 1987OFF THE MARK: LESSONS FOR EXCHANGE RATE MODELLING *87 cited
  • 1994Does the real exchange rate follow a random walk? The Pacific Basin perspective83 cited