Panel cointegration and the monetary exchange rate model

Basher, Syed A. and Westerlund, Joakim 2009, Panel cointegration and the monetary exchange rate model, Economic modelling, vol. 26, no. 2, pp. 506-513, doi: 10.1016/j.econmod.2008.10.006.

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Title Panel cointegration and the monetary exchange rate model
Author(s) Basher, Syed A.
Westerlund, JoakimORCID iD for Westerlund, Joakim
Journal name Economic modelling
Volume number 26
Issue number 2
Start page 506
End page 513
Total pages 8
Publisher Elsevier
Place of publication Amsterdam, The Netherlands
Publication date 2009-03
ISSN 0264-9993
Keyword(s) Cross-section dependence
Monetary exchange rate model
Panel cointegration
Purchasing power parity
Structural break
Social Sciences
Business & Economics
Summary This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation. © 2008 Elsevier B.V. All rights reserved.
Language eng
DOI 10.1016/j.econmod.2008.10.006
Field of Research 150202 Financial Econometrics
Socio Economic Objective 919999 Economic Framework not elsewhere classified
HERDC Research category C1.1 Refereed article in a scholarly journal
Copyright notice ©2009, Elsevier
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Document type: Journal Article
Collections: Faculty of Business and Law
Department of Economics
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