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Panel cointegration and the monetary exchange rate model

In English

Författare

Summary, in English

This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. (C) 2008 Elsevier B.V. All rights reserved.

Publiceringsår

2009

Språk

Engelska

Sidor

506-513

Publikation/Tidskrift/Serie

Economic Modelling

Volym

26

Issue

2

Dokumenttyp

Artikel i tidskrift

Förlag

Elsevier

Ämne

  • Economics

Nyckelord

  • Structural break
  • cointegration
  • Panel
  • Monetary exchange rate model
  • Purchasing power parity
  • Cross-section dependence

Status

Published

ISBN/ISSN/Övrigt

  • ISSN: 0264-9993