The monetary model strikes back: Evidence from the world

Valerie Cerra and Sweta Saxena

Journal of International Economics, 2010, vol. 81, issue 2, 184-196

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 fundamentals-based models very successful in beating a random walk in out-of-sample prediction.

Keywords: Monetary; models; Exchange; rates; Out-of-sample; forecasts; Panel; data; Cointegration (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (64)

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Working Paper: The Monetary Model Strikes Back: Evidence from the World (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:81:y:2010:i:2:p:184-196

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