Testing the monetary model of exchange rate determination: a closer look at panels
In this paper, we undertake an extensive evaluation of panel tests of the long-run monetary model of exchange rate determination. We first show how poorly the monetary model performs on a country-by-country basis for US dollar exchange rates over the post-Bretton Woods period for a large number of i...
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| Veröffentlicht in: | Journal of international money and finance 2004-10, Vol.23 (6), p.867-895 |
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| container_title | Journal of international money and finance |
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| creator | Rapach, David E. Wohar, Mark E. |
| description | In this paper, we undertake an extensive evaluation of panel tests of the long-run monetary model of exchange rate determination. We first show how poorly the monetary model performs on a country-by-country basis for US dollar exchange rates over the post-Bretton Woods period for a large number of industrialized countries. In sharp contrast, we find considerable support for the monetary model using panel procedures, as in
Groen (2000) and
Mark and Sul (2001). Given the disparity in the country-by-country and panel approaches, we carefully analyze the homogeneity restrictions inherent in the panel procedures. The evidence on the appropriateness of the homogeneity restrictions is mixed. In the end, whether the monetary model conforms to post-Bretton Woods data largely depends on one’s prior beliefs. |
| doi_str_mv | 10.1016/j.jimonfin.2004.05.002 |
| format | Article |
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Groen (2000) and
Mark and Sul (2001). Given the disparity in the country-by-country and panel approaches, we carefully analyze the homogeneity restrictions inherent in the panel procedures. The evidence on the appropriateness of the homogeneity restrictions is mixed. In the end, whether the monetary model conforms to post-Bretton Woods data largely depends on one’s prior beliefs.</description><identifier>ISSN: 0261-5606</identifier><identifier>EISSN: 1873-0639</identifier><identifier>DOI: 10.1016/j.jimonfin.2004.05.002</identifier><language>eng</language><publisher>Kidlington: Elsevier Ltd</publisher><subject>Cointegration ; Comparative analysis ; Foreign exchange ; Foreign exchange rates ; Homogeneity restrictions ; Monetary model ; Monetary policy ; Panel tests ; Studies</subject><ispartof>Journal of international money and finance, 2004-10, Vol.23 (6), p.867-895</ispartof><rights>2004 Elsevier Ltd</rights><rights>Copyright Elsevier Science Ltd. Oct 2004</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c532t-b3584bc7049c2e6a799c75f8d4d4720949649555a8bd96f78497d9ebeb9fa84d3</citedby><cites>FETCH-LOGICAL-c532t-b3584bc7049c2e6a799c75f8d4d4720949649555a8bd96f78497d9ebeb9fa84d3</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jimonfin.2004.05.002$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>315,782,786,3554,4012,27933,27934,46004</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejimfin/v_3a23_3ay_3a2004_3ai_3a6_3ap_3a867-895.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Rapach, David E.</creatorcontrib><creatorcontrib>Wohar, Mark E.</creatorcontrib><title>Testing the monetary model of exchange rate determination: a closer look at panels</title><title>Journal of international money and finance</title><description>In this paper, we undertake an extensive evaluation of panel tests of the long-run monetary model of exchange rate determination. We first show how poorly the monetary model performs on a country-by-country basis for US dollar exchange rates over the post-Bretton Woods period for a large number of industrialized countries. In sharp contrast, we find considerable support for the monetary model using panel procedures, as in
Groen (2000) and
Mark and Sul (2001). Given the disparity in the country-by-country and panel approaches, we carefully analyze the homogeneity restrictions inherent in the panel procedures. The evidence on the appropriateness of the homogeneity restrictions is mixed. In the end, whether the monetary model conforms to post-Bretton Woods data largely depends on one’s prior beliefs.</description><subject>Cointegration</subject><subject>Comparative analysis</subject><subject>Foreign exchange</subject><subject>Foreign exchange rates</subject><subject>Homogeneity restrictions</subject><subject>Monetary model</subject><subject>Monetary policy</subject><subject>Panel tests</subject><subject>Studies</subject><issn>0261-5606</issn><issn>1873-0639</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2004</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFkE1vFSEYhYnRxGv1LxjifkaGrwFXmsavpomJqWvCwDu9jHNhBNrYfy-Tq267OPAuznngPQi9Hkg_kEG-XfolnFKcQ-wpIbwnoieEPkGHQY2sI5Lpp-hAqBw6IYl8jl6UshBCpGTqgL7fQKkh3uJ6BNwoUG1-aIOHFacZw293tPEWcLYVsIcK-RSirSHFd9hit6YCGa8p_cS24s1GWMtL9Gy2a4FXf-8L9OPTx5vLL931t89fLz9cd04wWruJCcUnNxKuHQVpR63dKGbluecjJZprybUQwqrJazmPiuvRa5hg0rNV3LML9ObM3XL6ddfWMEu6y7E9aejQ2FRI1UzybHI5lZJhNlsOp7ajGYjZ6zOL-Vef2eszRJhWXwtenYMZNnD_UwDQ7Lv53jBLWTse9mFPMhuaZNPWpORolBbmWE8N9v4Ma_XAfYBsigsQHfiQwVXjU3jsP38AEuKVgw</recordid><startdate>20041001</startdate><enddate>20041001</enddate><creator>Rapach, David E.</creator><creator>Wohar, Mark E.</creator><general>Elsevier Ltd</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20041001</creationdate><title>Testing the monetary model of exchange rate determination: a closer look at panels</title><author>Rapach, David E. ; Wohar, Mark E.</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c532t-b3584bc7049c2e6a799c75f8d4d4720949649555a8bd96f78497d9ebeb9fa84d3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2004</creationdate><topic>Cointegration</topic><topic>Comparative analysis</topic><topic>Foreign exchange</topic><topic>Foreign exchange rates</topic><topic>Homogeneity restrictions</topic><topic>Monetary model</topic><topic>Monetary policy</topic><topic>Panel tests</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Rapach, David E.</creatorcontrib><creatorcontrib>Wohar, Mark E.</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of international money and finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Rapach, David E.</au><au>Wohar, Mark E.</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Testing the monetary model of exchange rate determination: a closer look at panels</atitle><jtitle>Journal of international money and finance</jtitle><date>2004-10-01</date><risdate>2004</risdate><volume>23</volume><issue>6</issue><spage>867</spage><epage>895</epage><pages>867-895</pages><issn>0261-5606</issn><eissn>1873-0639</eissn><abstract>In this paper, we undertake an extensive evaluation of panel tests of the long-run monetary model of exchange rate determination. We first show how poorly the monetary model performs on a country-by-country basis for US dollar exchange rates over the post-Bretton Woods period for a large number of industrialized countries. In sharp contrast, we find considerable support for the monetary model using panel procedures, as in
Groen (2000) and
Mark and Sul (2001). Given the disparity in the country-by-country and panel approaches, we carefully analyze the homogeneity restrictions inherent in the panel procedures. The evidence on the appropriateness of the homogeneity restrictions is mixed. In the end, whether the monetary model conforms to post-Bretton Woods data largely depends on one’s prior beliefs.</abstract><cop>Kidlington</cop><pub>Elsevier Ltd</pub><doi>10.1016/j.jimonfin.2004.05.002</doi><tpages>29</tpages></addata></record> |
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| issn | 0261-5606 1873-0639 |
| language | eng |
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| source | RePEc; Access via ScienceDirect (Elsevier) |
| subjects | Cointegration Comparative analysis Foreign exchange Foreign exchange rates Homogeneity restrictions Monetary model Monetary policy Panel tests Studies |
| title | Testing the monetary model of exchange rate determination: a closer look at panels |
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