European Parliament Library

The Monetary Model Strikes Back :, Evidence from the World, Valerie Cerra, Sweta Saxena

Label
The Monetary Model Strikes Back :, Evidence from the World, Valerie Cerra, Sweta Saxena
Language
eng
Abstract
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
Bibliography note
Includes bibliographical references
resource.governmentPublication
international or intergovernmental publication
Literary Form
non fiction
Main title
The Monetary Model Strikes Back :
Nature of contents
dictionaries
Responsibility statement
Valerie Cerra, Sweta Saxena
Series statement
IMF Working Papers
Sub title
Evidence from the World
Table Of Contents
Contents; I. Introduction; II. Structural Specification and Data; III. In-Sample Analysis: Panel Cointegration Tests and Estimation; A. Unit root tests; B. Cointegration tests; C. Panel Estimation of Cointegrating Vectors; IV. Out-of-sample Analysis; A. Model Specification; B. Out-of-Sample Results; V. Conclusions; Tables; 1. Panel Unit Root Tests; 2. Panel Cointegration Tests; 3. CIPS Tests; 4. Pooled Least Squares Dummy Variable; 5. Group Mean Fully Modified OLS; 6. Group Mean Dynamic OLS; 7. Pooled Dynamic OLS; 8. Out-of-Sample-Forecast: One-Year-Ahead-Forecast9. Theil Statistic: One-Year-Ahead-Forecast10. Out-of-Sample-Forecast: One-Year-Ahead-Forecast (demeaned data); 11. Theil Statistic: One-Year-Ahead-Forecast (demeaned data); 12. Out-of-Sample-Forecast: Five-Year-Ahead-Forecast; 13. Theil Statistic: Five-Year-Ahead-Forecast; 14. Out-of-Sample-Forecast: Five-Year-Ahead-Forecast (demeaned data); 15. Theil Statistic: Five-Year-Ahead-Forecast (demeaned data); 16. Drift Rates; Figures; 1. Out-of-sample Forecasts and Drift Rates; Appendix; List of Countries; References
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