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
References: Add references at CitEc
Citations: View citations in EconPapers (63)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0022-1996(10)00025-5
Full text for ScienceDirect subscribers only

Related works:
Working Paper: The Monetary Model Strikes Back: Evidence from the World (2008)
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:eee:inecon:v:81:y:2010:i:2:p:184-196

Access Statistics for this article

Journal of International Economics is currently edited by Gourinchas, Pierre-Olivier and Rodríguez-Clare, Andrés

More articles in Journal of International Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().