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" The monetary model of exchange rates and cointegration : "
by Javier Gardeazabal and Marta Regúlez
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BL
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| Record Number
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719544
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| Doc. No
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b539236
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| Main Entry
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by Javier Gardeazabal and Marta Regúlez
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| Title & Author
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The monetary model of exchange rates and cointegration : : Estimation, testing and prediction\ by Javier Gardeazabal and Marta Regúlez
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| Publication Statement
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Berlin: Springer, 1992
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| Series Statement
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Lecture notes in economics and mathematical systems, 385
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| Page. NO
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194 sider
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| ISBN
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3540556354
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: 9783540556350
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| Contents
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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.- III.1. Data Description.- III.2. Diagnostic Tests on the Assumptions of the VAR.- IV. Estimation And Testing For Cointegration.- V. Tests of Several Hypotheses.- V.1. Testing for Known Cointegrating Vectors.- V.1.1 Testing for Trivial Cointegrating Vectors.- V.1.2. Testing for Cointegration between Fundamentals.- V.2. Tests of the same Linear Restrictions on all Cointegrating Vectors.- V.2.1. Testing the Exclusion of a Variable from all Cointegrating Vectors.- V.2.2 Testing for the Restrictions of a Monetary Equation.- 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.- III.1. Tests on the Number of Cointegrating Vectors.- III.2. Tests of Linear Restrictions on the Cointegrating Vector.- III.3. Tests of Restrictions on the Loadings Matrix.- IV. The Simulation Exercise.- IV.1. Empirical Size of the Tests.- IV.2. Power of the Tests.- 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.- III.1. Unrestricted Model.- III.2. Restricted Short Run Dynamics.- III.3. Restricted Long Run Dynamics.- III.4. Restricted Short and Long Run Dynamics.- III.4.1. Gaussian Reduced Rank Maximum Likelihood Estimator.- III.4.2. Two Step Procedure.- 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.
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| LC Classification
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HB1.B953 1992
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| Added Entry
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Javier Gardeazabal
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Marta Regúlez
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