Monetary-based models of the exchange rate: a panel perspective

Husted, S. and MacDonald, R. (1998) Monetary-based models of the exchange rate: a panel perspective. Journal of International Financial Markets, Institutions and Money, 8(1), pp. 1-19. (doi:10.1016/S1042-4431(98)00021-3)

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Abstract

In this paper we re-examine the monetary model of the exchange rate in a panel context. In particular, we examine three panel data sets constructed for the US dollar, German mark and Japanese yen exchange rates using annual data for the recent floating experience. Amongst our findings are: compelling evidence of cointegrating relationships in all three panels; an ERM effect, in the sence that the mark denominated panel produces point estimates of monetary approach coefficients which are close to their priors; relatively rapid speeds of adjustment to the monetary approach equilibrium (half-lives of between 3 and 6 years).

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: Husted, S., and MacDonald, R.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of International Financial Markets, Institutions and Money
Publisher:Elsevier
ISSN:1042-4431
ISSN (Online):1873-0612

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