Abstract
The Monetary Exchange Rate Model in the Long Run: An Empirical Investigation. — This paper uses the Johansen multivariate cointegration method to examine three variants of the monetary approach to the long-run exchange rate model: flexible price, forward-looking and sticky price monetary models. Evidence is provided for four bilateral sterling exchange rates. The sensitivity of the results to the measurement of monetary aggregates is also examined. The cointegration results provide dismal evidence for the flexible price and forward-looking models irrespective of the measurement of money. The findings are more mixed for the sticky price model, particularly when broad money is used.
Zusammenfassung
Das monetäre Wechselkursmodell für die lange Frist. Eine empirische Untersuchung. — Der Verfasser benutzt die multivariate Kointegrationsmethode von Johansen, um drei Varianten des monetären Ansatzes zur Erklärung des langfristigen Wechselkursverhaltens zu untersuchen, nämlich den Ansatz mit flexiblen Preisen, mit zukunftsorientierten Preisen und mit langsam reagierenden Preisen. Er untersucht vier bilaterale Wechselkurse des Pfund Sterling und prüft auch, wie die Ergebnisse auf unterschiedlich definierte Geldmengengrößen reagieren. Die Kointegrationstests liefern klägliche Resultate für die Modelle mit flexiblen und mit zukunftsorientierten Preisen, unabhängig davon, welche Geldmengendefinition verwendet wird. Die Befunde sind günstiger für das Modell mit langsam reagierenden Preisen, besonders wenn eine umfassend definierte Geldmenge benutzt wird.
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Sarantis, N. The monetary exchange rate model in the long run: An empirical investigation. Weltwirtschaftliches Archiv 130, 698–711 (1994). https://doi.org/10.1007/BF02707532
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DOI: https://doi.org/10.1007/BF02707532