search query: @indexterm EXCHANGE RATES / total: 1242
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| Author: | Groen, J. |
| Title: | The monetary exchange rate model as a long-run phenomenon |
| Journal: | Journal of International Economics
2000 : DEC, VOL. 52:2, p. 299-320 |
| Index terms: | INTERNATIONAL ECONOMICS EXCHANGE RATES MODELS |
| Language: | eng |
| Abstract: | Pure time series-based tests fail to find empirical support for monetary exchange rate models. In this paper the authors apply pooled time series estimation on a forward-looking monetary model, resulting in parameter estimates which are in compliance with the underlying theory. Based on a panel version of the Engle and Granger two-step procedure the authors find that the residuals of the panel-based estimated monetary model are stationary. |
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