Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1998-07-30
Number: 98-082/2
Author-Name: Jan J.J. Groen
Author-Workplace-Name: Erasmus University Rotterdam
Title: The Monetary Exchange Rate Model as a Long-Run Phenomenon
Abstract: Pure time series-based tests fail to find empirical support formonetary exchange rate models. In this paper we apply pooled timeseries estimation on a forward-looking monetary model, resulting inparameter estimates which are in compliance with the underlyingtheory. Based on a panel version of the Engle and Granger (1987) two-stepprocedure we find that the residuals of our pooled estimated modelare stationary. This indicates that on a pooled time series levelthere is cointegration between the exchange rate and themacroeconomic fundamentals of this monetary model.
File-Url: https://papers.tinbergen.nl/98082.pdf
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Handle: RePEc:tin:wpaper:19980082