The Monetary Model Strikes Back : Evidence from the World

WPIEA2008073 Image
Price:  $18.00

Author/Editor: Valerie Cerra, Sweta Chaman Saxena
Release Date: © March, 2008
ISBN : 978-1-45186-935-4
Stock #: WPIEA2008073
English
Stock Status: On back-order

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Description

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.




More publications in this series: Working Papers


More publications by: Valerie Cerra ; Sweta Chaman Saxena