The monetary model of the exchange rate and equities: an ARDL bounds testing approach

Bruce Morley

Applied Financial Economics, 2007, vol. 17, issue 5, 391-397

Abstract: This study examines a version of the monetary model of the exchange rate, which incorporates a stock price measure. Using the ARDL Bounds testing approach, we produce evidence of cointegration, well-specified ECMs and forecasts that outperform a random walk.

Date: 2007
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DOI: 10.1080/09603100500426457

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