Nominal exchange rates and monetary fundamentals - Evidence from a small post-Bretton woods panel

• 成果类型: Article
• 署名作者: Mark, NC; Sul, D
• 署名单位: University System of Ohio; Ohio State University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/S0022-1996(00)00052-0
• 发表日期: 2001
• 页码: 29-52
• 关键词: Exchange rates; Panel cointegration; prediction

摘要

We study the long-run relationship between nominal exchange rates and monetary fundamentals in a quarterly panel of 19 countries extending from 1973.1 to 1997.1. Our analysis is centered on two issues. First, we test whether exchange rates are cointegrated with long-run determinants predicted-by economic theory. These results generally support the hypothesis of cointegration. The second issue is to re-examine the ability for monetary fundamentals to forecast future exchange rate returns. Panel regression estimates and panel-based forecasts confirm that this forecasting power is significant. (C) 2001 Elsevier Science B.V. All rights reserved.