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Panel cointegration and the monetary exchange rate model

Basher, Syed A. and Westerlund, Joakim LU (2009) In Economic Modelling 26(2). p.506-513
Abstract
This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. (C) 2008 Elsevier B.V. All rights reserved.
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author
and
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
Structural break, cointegration, Panel, Monetary exchange rate model, Purchasing power parity, Cross-section dependence
in
Economic Modelling
volume
26
issue
2
pages
506 - 513
publisher
Elsevier
external identifiers
  • wos:000263424400027
  • scopus:58349105024
ISSN
0264-9993
DOI
10.1016/j.econmod.2008.10.006
language
English
LU publication?
yes
id
92952ed1-6166-42ff-b604-20f0ff03035f (old id 1372515)
date added to LUP
2016-04-01 12:03:36
date last changed
2025-04-04 14:29:33
@article{92952ed1-6166-42ff-b604-20f0ff03035f,
  abstract     = {{This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. (C) 2008 Elsevier B.V. All rights reserved.}},
  author       = {{Basher, Syed A. and Westerlund, Joakim}},
  issn         = {{0264-9993}},
  keywords     = {{Structural break; cointegration; Panel; Monetary exchange rate model; Purchasing power parity; Cross-section dependence}},
  language     = {{eng}},
  number       = {{2}},
  pages        = {{506--513}},
  publisher    = {{Elsevier}},
  series       = {{Economic Modelling}},
  title        = {{Panel cointegration and the monetary exchange rate model}},
  url          = {{http://dx.doi.org/10.1016/j.econmod.2008.10.006}},
  doi          = {{10.1016/j.econmod.2008.10.006}},
  volume       = {{26}},
  year         = {{2009}},
}