Earticle

초록

영어

To examine the common assumption that the monetary fundamentals are stationary, we test the monetary model of exchange rate determination. In specific, we test whether nominal exchange rates are cointegrated with the monetary fundamentals, using data spanning from January 1971 to March 2011. The results show that the Phillips and Ouliaris test fails to reject the null of no cointegration while we reject the null hypothesis of no cointegration with Johansen’s trace test. We also explore the out-of-sample forecasting performance of the long-horizon regression of exchange rate returns on the deviation of the log exchange rate from the monetary fundamentals. For the sample of data, the DOLS estimation does not yield cointegrating coefficient estimates that accord with the theoretical values implied by the monetary model of exchange rate determination. This may bring about critical results asserting that there is no evidence of exchange rate predictability based on the monetary fundamentals in the sample. Despite the use of long span data, no evidence is found in favor of the monetary exchange rate model using the Johansen procedures. We compare the out-of-sample forecasting performance of the monetary model and confirm that forecasting power of the monetary model is insignificant.

목차

Abstract
 Ⅰ. Introduction
 Ⅱ. The Model
  1. The Monetary Model of Exchange Rate Determination
  2. Out-of-Sample Prediction
 Ⅲ. Empirical Results
  1. Data
  2. Unit Root Test Results
  3. Estimating the Cointegrating Regression Coefficients
  4. The Cointegrated VAR and the VECM
 Ⅳ. Concluding Remarks
 References

키워드

저자

• Ho-Jin Lee [ Associate Professor, Department of Business Administration, Myongji University ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330