The monetary model strikes back: Evidence from the world

• 成果类型: Article
• 署名作者: Cerra, Valerie; Saxena, Sweta Chaman
• 署名单位: International Monetary Fund
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2010.03.003
• 发表日期: 2010
• 页码: 184-196
• 关键词: Monetary models; Exchange rates; Out-of-sample forecasts; panel data; cointegration

摘要

We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentals-based models very successful in beating a random walk in out-of-sample prediction. (C) 2010 International Monetary Fund. Published by Elsevier B.V. All rights reserved.