Nominal Exchange Rates and Mon-etary Fundamentals: Evidence from a Small Post-Bretton Woods Sample

By Nelson C. Mark, Donggyu Sul. 2001

300 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/dc5733a23d341a3f102fee5ee060b3c556e05c25

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Citations in the corpus

Forecasting with Panel Data (2008, background): “Other papers in this vein are Mark and Sul (2001) and Groen (2005).”
Why is it so Difficult to Beat the Random Walk Rorecast of Exchange Rates? (2003, unknown): “Third, the evidence of smooth threshold dynamics is important because the standard tests of long-horizon exchange rate predictability used in the literature (see Chinn and Meese 1995; Mark 1995; Mark and Sul 2001) are invalidated by the presence of nonlinear mean reversion.”
An Economic Evaluation of Empirical Exchange Rate Models (2009, background): “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).”
Exchange Rates and Fundamentals: Evidence on the Economic Value of Predictability (2005, methodology): “This result implies that current deviations of the exchange rate from the equilibrium level determined by the monetary fundamentals induce future changes in the nominal exchange rate which tend to correct the deviations from long-run equilibrium, so that estimation of a regression of the form ∆kst+k”
Oil prices and real exchange rates (2007, background): “See, for example, Mark (1995), Kilian (1999), Mark and Choi (1997), and Mark and Sul (2001).”
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.”
Out-of-sample exchange rate predictability with Taylor rule fundamentals (2009, unknown): “Mark and Sul (2001) use panel-based forecasts and find evidence that the linkage between exchange rates and monetary fundamentals is tighter than that between exchange rates and PPP fundamentals.”
On the Causes and Effects of Exchange Rate Volatility on Economic Growth: Evidence from Ghana (2017, result): “Even though some studies (see Mark, 1995; Mark & Sul, 2001) find evidence that exchange rates co-move with macroeconomic fundamentals over long horizons, contemporary literature in international finance is that exchange rates are unpredictable, especially at short horizons (Corte, Sarno, & Tsiakas,…”