The monetary exchange rate model within the ERM: cointegration tests and implications concerning the German dominance hypothesis

Angelos Kanas

Applied Financial Economics, 1997, vol. 7, issue 6, 587-598

Abstract: This paper examines whether the monetary exchange rate model represents a long-run relationship among nominal exchange rates, money supplies, interest rates and real incomes of five countries that participate in the ERM. Cointegration tests are conducted using the method suggested by Johansen and Juselius (1990). The results strongly support the hypothesis of cointegration for all ten ERM country-pairs considered. Furthermore, multiple cointegrating vectors are found for all cases. These results can be interpreted as evidence that the monetary model represents a stable long-run relationship for all ERM countries considered. Finally, the monetary model is used as a basis for testing the German dominance hypothesis. The results support this hypothesis only for one country

Date: 1997
References: View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/758533850 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:7:y:1997:i:6:p:587-598

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/758533850

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().