The Monetary Model Strikes Back: Evidence from the World

43 Pages Posted: 2 Apr 2008

See all articles by Valerie Cerra

Valerie Cerra

International Monetary Fund (IMF)

Sweta Chaman Saxena

affiliation not provided to SSRN

Date Written: March 2008

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: Working Paper

Suggested Citation

Cerra, Valerie and Saxena, Sweta Chaman, The Monetary Model Strikes Back: Evidence from the World (March 2008). IMF Working Paper No. 08/73, Available at SSRN: https://ssrn.com/abstract=1115604

Valerie Cerra (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street NW
Washington, DC 20431
United States
202-623-8596 (Phone)

Sweta Chaman Saxena

affiliation not provided to SSRN

No Address Available

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
142
Abstract Views
619
rank
247,052
PlumX Metrics