Testing the monetary model of exchange rate determination: new evidence from a century of data

By David E. Rapach, M. Wohar. 2002

281 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/486069e0ac85953c2087a9fbfe870931dc44b9cf

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In Economics and Econometrics

Citations in the corpus

Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (2005, background): “An important related paper is the study of West et al. (1993), who also focus on a utility-based metric of forecast evaluation rather than conventional statistical criteria.”
Concepts of equilibrium exchange rates (2005, background): “Typically, empirical studies have tended to find that these types of effects do have some influence on real exchange rate movements but that these are not sufficiently large to explain the large movements in real exchange rates (see Engel (1993) and Rogers and Jenkins (1995)). In particular, there i”
Asymptotics for out of sample tests of Granger causality (2007, methodology): “For example, the recursive, rolling and fixed schemes are used in Pagan and Schwert (1990), Swanson (1998) and Ashley, Granger and Schmalensee (1980) respectively.”
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).”
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, background): “A recent paper by Chen, Rogoff and Rossi (2008) is an example of the difficulty of forecasting the exchange rates of commodity producers solely using fundamentals such as commodity prices even when one takes into account structural breaks.”
Exchange Rate Predictability (2013, unknown): “…evidence (i.e. MacDonald and Taylor, 1993, for the monetary model; Clarida and Taylor, 1997, for forward rates) while others are more negative (Rapach and Wohar, 2002, and Diebold, Gardeazabal and Yilmaz, 1994).48 Overall, the literature suggests that single-equation ECM speci cations are…”