The Monetary Model – A panel data approach
(2010) NEKM01 20091Department of Economics
- Abstract
- Abstract The purpose of this paper is to determine if effective exchange rate pricing can be based on the (flexible) monetary model. If so, it implies a cointegration relationship with a cointegrating vector between the spot exchange rate and the non-stationary determining variables of the monetary model; relative money supplies and relative national incomes. Cointegration tests for individual countries have been done frequently and without evidence pro the monetary model. But there are some indications that the increased power achieved form a multi-country cross-setting, or panel data, show evidence in favour of the monetary model. In this paper we find evidence of at least one cointegrating relationship of the monetary model in a small... (More)
- Abstract The purpose of this paper is to determine if effective exchange rate pricing can be based on the (flexible) monetary model. If so, it implies a cointegration relationship with a cointegrating vector between the spot exchange rate and the non-stationary determining variables of the monetary model; relative money supplies and relative national incomes. Cointegration tests for individual countries have been done frequently and without evidence pro the monetary model. But there are some indications that the increased power achieved form a multi-country cross-setting, or panel data, show evidence in favour of the monetary model. In this paper we find evidence of at least one cointegrating relationship of the monetary model in a small panel with post Bretton-Woods observations. We also find supporting evidence related to the significance of modelling the variables determining the long-run real exchange rate equilibrium in the monetary model. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1614863
- author
- Ellström, Erik LU and Engblad, NIklas
- supervisor
- organization
- course
- NEKM01 20091
- year
- 2010
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- economic theory, econometrics, nominal exchange rate, Economics, Panel Data, Cointegration, ekonomisk politik, ekonomiska system, ekonomisk teori, ekonometri, Nationalekonomi, economic policy, economic systems
- language
- English
- id
- 1614863
- date added to LUP
- 2010-04-26 00:00:00
- date last changed
- 2011-03-10 10:32:42
@misc{1614863, abstract = {{Abstract The purpose of this paper is to determine if effective exchange rate pricing can be based on the (flexible) monetary model. If so, it implies a cointegration relationship with a cointegrating vector between the spot exchange rate and the non-stationary determining variables of the monetary model; relative money supplies and relative national incomes. Cointegration tests for individual countries have been done frequently and without evidence pro the monetary model. But there are some indications that the increased power achieved form a multi-country cross-setting, or panel data, show evidence in favour of the monetary model. In this paper we find evidence of at least one cointegrating relationship of the monetary model in a small panel with post Bretton-Woods observations. We also find supporting evidence related to the significance of modelling the variables determining the long-run real exchange rate equilibrium in the monetary model.}}, author = {{Ellström, Erik and Engblad, NIklas}}, language = {{eng}}, note = {{Student Paper}}, title = {{The Monetary Model – A panel data approach}}, year = {{2010}}, }