Panel Cointegration and the Monetary Exchange Rate Model

Syed A. Basher and Joakim Westerlund

MPRA Paper from University Library of Munich, Germany

Abstract: This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model. The empirical results indicate that the monetary model emerges only when the presence of structural breaks and cross-country dependence has been taken into account. Evidence is also provided suggesting that the breaks in the monetary model can be derived from the underlying purchasing power parity relation.

JEL-codes: C32 C33 F31 F41 (search for similar items in EconPapers)
Date: 2008-09-12
New Economics Papers: this item is included in nep-cba, nep-ifn and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Related works:
Journal Article: Panel cointegration and the monetary exchange rate model (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10453

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