The Monetary Model of Exchange Rates and Cointegration

Language: English

Published by Springer, J.B. Metzler Aug 1992, 1992

3540556354 / 9783540556350

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This item is printed on demand - Print on Demand Titel. Neuware -1. Introduction.- 2. The Monetary Model of Exchange Rate Determination.- I. Introduction.- II. Monetary Models.- III. The Asset Market View.- IV. Empirical Evidence.- V. Treatment of Nonstationary Variables.- 3. Long Run Exchange Rate Determination I.- I. Introduction.- II. Some Preliminary Definitions and Engle and Granger Procedure.- III. Interpretation of Previous Results in terms of Cointegration.- IV. Testing for Cointegration Using Engle and Granger Methodology.- V. Empirical Results.- VI. Conclusions.- Appendix A.- 4. Long Run Exchange Rate Determination II.- I. Introduction.- II. Description of The Time Series Model.- III. The Data And Diagnostic Tests.- IV. Estimation And Testing For Cointegration.- V. Tests of Several Hypotheses.- VI. Conclusions.- Appendix A.- Appendix B.- 5. Short Run Exchange Rate Determination.- I. Introduction.- II. Weak Exogeneity of the Exchange Rate.- III. Testing for Weak Exogeneity.- IV. The Asset Market View Derived from an Error Correction Model.- V. Conclusions.- Appendix A.- 6. Effect of Non-Normal Disturbances on Likelihood Ratio Tests.- I. Introduction.- II. The Data Generating Process.- III. Hypotheses Tests.- IV. The Simulation Exercise.- V. Conclusions.- Appendix A: Size of the Tests.- Appendix B: Power of the Tests.- 7. Estimation of the Time Series Model.- I. Introduction.- II. Two Different Interpretations of the Time Series Model.- III. Estimation of the Model.- 8. Prediction in Cointegrated Systems.- I. Introduction.- II. Properties of the True Forecasts from a Cointegrated System.- III. Estimated Forecasts from a Cointegrated System.- 9. Nominal Exchange Rate Prediction.- I. Introduction.- II. Review of Literature.- III. Forecasting Exercise.- IV. Conclusions.- Appendix A.- 10. A Simulation Exercise.- I. Introduction.-II. The Data Generating Process.- III. Results.- Appendix A.- 11. Conclusions.- Data Appendix.Springer-Verlag KG, Sachsenplatz 4-6, 1201 Wien 212 pp. Englisch. …

Seller Inventory # 9783540556350

Title
The Monetary Model of Exchange Rates and Cointegration
Author
Javier Gardeazabal
Publisher
Springer, J.B. Metzler Aug 1992
Publication year
1992
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3540556354
ISBN 13
9783540556350
Item weight
375 grams
Dimensions
244x170x12 mm

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