Testing the monetary model of exchange rate determination: new evidence from a century of data

• 成果类型: Article
• 署名作者: Rapach, DE; Wohar, ME
• 署名单位: Seattle University; University of Nebraska System
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(01)00170-2
• 发表日期: 2002
• 页码: 359-385
• 关键词: Nominal exchange rate; monetary model; cointegration; forecasting

摘要

We test the long-run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or early twentieth century to the late twentieth century. Interestingly, we find support for a simple form of the long-run monetary model in over half of the countries we consider. For these countries, we estimate vector error-correction models to investigate the adjustment process to the long-run monetary equilibrium. In the spirit of Meese and Rogoff [Journal of International Economics 14 (1983) 3-24], we also compare nominal exchange rate forecasts based on monetary fundamentals to those based on a naive random walk model. (C) 2002 Elsevier Science B.V. All rights reserved.