The Monetary Model Strikes Back : Evidence from the World
Electronic Access:
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Summary:
We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in beating a random walk in out-of-sample prediction.
Series:
Working Paper No. 08/73
Subject:
English
Publication Date:
March 1, 2008
ISBN/ISSN:
9781451869354/1018-5941
Stock No:
WPIEA2008073
Format:
Paper
Pages:
41
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