The Monetary Exchange Rate Model as a Long-Run Phenomenon

By Jan J. J. Groen. 2000

192 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/40047fecd2c54eb85cb633afd72f438b8f1620d2

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In Economics and Econometrics

Citations in the corpus

Gravity models in integrated panels (2009, methodology): “Im et al. (2003) address this homogeneity issue, proposing a heterogeneous panel unit root test (IPS test) based on individual ADF tests. They propose average ADF statistics, which can be normalized to a normal distribution. By construction of the heterogeneous panel unit root test, the rejection of”
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (2005, background): “therefore determine its equilibrium level (Groen, 2000; Mark and Sul, 2001; Rapach and Wohar, 2002).”
Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey (2001, unknown): “Groen & Kleibergen (1999) proposed a likelihood-based framework for cointegrating analysis in panels of a fixed number of vector error correction models.”
Concepts of equilibrium exchange rates (2005, background): “This paper will not attempt to provide a comprehensive summary of these; see Frankel (1993), MacDonald and Taylor (1992) and Taylor (1995) for more extensive surveys, as well as Groen (2000) and Rapach and Wohar (2002).”
Exchange rate prediction redux: New models, new data, new currencies (2019, result): “…and its studentized version is asymptotically 13 Note that excluding short run dynamics in the error correction model means that the use of equation (11) yields true ex ante forecasts and makes our exercise directly comparable with, for example, Mark (1995), Chinn and Meese (1995) and Groen (2000).”
Econometric Analysis of Panel Data (2020, methodology): “Groen and Kleibergen (2003) proposed a likelihood-based framework for cointegrating analysis in panels of a fixed number of vector error correction models.”
Exchange Rates and Fundamentals: Footloose or Evolving Relationship? (2009, background): “…problems (e.g. Kilian, 1999; Berkowitz and Giorgianni, 2001), some recent research suggests that macroeconomic fundamentals move together with the nominal exchange rate over long periods of time (Groen, 2000, 2005; Mark and Sul, 2001; Rapach and Wohar, 2002; Abhyankar, Sarno and Valente, 2005).”
Exchange Rate Predictability (2013, unknown): “20MacDonald and Taylor (1993), Husted and MacDonald (1998), Groen (2000, 2002), Mark and Sul (2001) nd cointegration between exchange rates and monetary fundamentals, while Sarantis (1994) does not.”
Exchange rate predictability in a changing world (2014, background): “), Bacchetta et al. (2010), Balke et al. (2013) and Park and Park (2013). Other empirical approaches have included: long-horizon methods, see Mark (1995); panel models, see for example Papell (1997), Groen (2000), MacDonald and Nagayasu (2000), Mark and Sul (2001) and Engel et al. (2008); and factor”
Dutch Disease Scare in Kazakhstan: Is it real? (2008, methodology): “…widely used for industrialized countries in the past to explain observed movements of the nominal exchange rate and also to forecast exchange rates (Groen, 2000).20 The baseline version of the monetary model expresses the nominal exchange rate as a function of money demand, income and interest…”
Testing the monetary model of exchange rate determination: a closer look at panels (2004, methodology): “sider a number of panel cointegration tests, as Groen (2000) and Mark and Sul”
An Economic Evaluation of Empirical Exchange Rate Models (2009, unknown): “On the other hand, some recent empirical research nds that fundamentals and nominal exchange rates move together in the long run (Groen, 2000; Berkowitz and Giorgianni, 2001; Mark and Sul, 2001; Rapach and Wohar, 2002).”