The Monetary Model of Exchange Rates and Cointegration

Estimation, Testing and Prediction

von Javier Gardeazabal, Marta Regulez

212 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

1. Introduction.- 2. The Monetary Model of Exchange Rate Determination.- I. Introduction.- II. Monetary Models.- III. The Asset Market View.- IV. Empirical Evidence.- V. Treatment of Nonstationary Variables.- 3. Long Run Exchange Rate Determination I.- I. Introduction.- II. Some Preliminary Definitions and Engle and Granger Procedure.- III. Interpretation of Previous Results in terms of Cointegration.- IV. Testing for Cointegration Using Engle and Granger Methodology.- V. Empirical Results.- VI. Conclusions.- Appendix A.- 4. Long Run Exchange Rate Determination II.- I. Introduction.- II. Description of The Time Series Model.- III. The Data And Diagnostic Tests.- IV. Estimation And Testing For Cointegration.- V. Tests of Several Hypotheses.- VI. Conclusions.- Appendix A.- Appendix B.- 5. Short Run Exchange Rate Determination.- I. Introduction.- II. Weak Exogeneity of the Exchange Rate.- III. Testing for Weak Exogeneity.- IV. The Asset Market View Derived from an Error Correction Model.- V. Conclusions.- Appendix A.- 6. Effect of Non-Normal Disturbances on Likelihood Ratio Tests.- I. Introduction.- II. The Data Generating Process.- III. Hypotheses Tests.- IV. The Simulation Exercise.- V. Conclusions.- Appendix A: Size of the Tests.- Appendix B: Power of the Tests.- 7. Estimation of the Time Series Model.- I. Introduction.- II. Two Different Interpretations of the Time Series Model.- III. Estimation of the Model.- 8. Prediction in Cointegrated Systems.- I. Introduction.- II. Properties of the True Forecasts from a Cointegrated System.- III. Estimated Forecasts from a Cointegrated System.- 9. Nominal Exchange Rate Prediction.- I. Introduction.- II. Review of Literature.- III. Forecasting Exercise.- IV. Conclusions.- Appendix A.- 10. A Simulation Exercise.- I. Introduction.-II. The Data Generating Process.- III. Results.- Appendix A.- 11. Conclusions.- Data Appendix.

• Reihe: Lecture Notes in Economics and Mathematical Systems
• Themen: Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management Wirtschaftswissenschaft Wirtschaftstheorie und -philosophie
• ISBN: 9783540556350
• Sprache: Englisch
• Erscheinungsdatum: 05.08.1992
• Größe: 244 x 170 mm
• Verlag: Springer