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Book Cover
E-RESOURCE
Author Gardeazabal, Javier.

Title The Monetary Model of Exchange Rates and Cointegration [electronic resource] : Estimation, Testing and Prediction / by Javier Gardeazabal, Marta Reg⵬ez.

Published Berlin, Heidelberg : Springer Berlin Heidelberg, 1992.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (x, 194 pages).
Series Lecture Notes in Economics and Mathematical Systems, 0075-8442 ; 385
Lecture notes in economics and mathematical systems ; 385.
Summary These notes draw from the Theory of Cointegration in order to test the monetary model of exchange rate determination. Previous evidence shows that the monetary model does not capture the short run dynamics of the exchange rate, specially when assessed in terms of forecasting accuracy. Even though the monetary equations of exchange rate determination may be bad indicators of how exchange rates are determined in the short run, they couldstill describe long run equilibrium relationships between the exchange rate and its fundamentals. Stationary deviations from those long run relationships are allowed in the short run. This book also addresses severalissues on Cointegration. Chapter 6 studies the small sample distribution of the likelihood ratio test statistics (on the dimension and restrictions on the cointegrating space) under deviations from normality. This monograph also focuses on the issue of optimal prediction in partially nonstationary multivariate time series models. In particular, it caries out an exchange rate prediction exercise.
Other author Reg⵬ez, Marta.
Subject Economics.
International economic relations.
Electronic books.
ISBN 9783642488580 (electronic bk.)
3642488587 (electronic bk.)
9783540556350
3540556354