Arbeitspapier
Cross-section dependence and the monetary exchange rate model: A panel analysis
This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non-stationarity stems from international or national stochastic trends. We find evidence for a cross-section cointegration relationship between the exchange rates and fundamentals which is driven by those common international trends. In addition, the estimated coefficients of income and money are in line with the suggestions of the monetary model.
- Sprache
-
Englisch
- Erschienen in
-
Series: ROME Discussion Paper Series ; No. 11-03
Klassifikation
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Foreign Exchange
Open Economy Macroeconomics
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Single Equation Models; Single Variables: Panel Data Models; Spatio-temporal Models
Foreign Exchange
Open Economy Macroeconomics
Thema
Monetary exchange rate model
common factors
panel data
cointegration
vector error-correction models
common factors
panel data
cointegration
vector error-correction models
Ereignis
Geistige Schöpfung
(wer)
Beckmann, Joscha
Belke, Ansgar
Dobnik, Frauke
Belke, Ansgar
Dobnik, Frauke
Ereignis
Veröffentlichung
(wer)
Research On Money in the Economy (ROME)
(wo)
s.l.
(wann)
2011
- Handle
- Letzte Aktualisierung
-
12.07.2024, 13:21 MESZ
Objekttyp
- Arbeitspapier
Beteiligte
- Beckmann, Joscha
- Belke, Ansgar
- Dobnik, Frauke
- Research On Money in the Economy (ROME)
Entstanden
- 2011
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