Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel

27 Pages Posted: 24 Mar 1999

See all articles by Nelson C. Mark

Nelson C. Mark

University of Notre Dame - Department of Economics and Econometrics; National Bureau of Economic Research (NBER)

Donggyu Sul

Independent

Date Written: December 4, 1998

Abstract

We study the long-run relationship between nominal exchange rates and monetary fundamentals in a quarterly panel of 18 countries extending from 1973.1 to 1997.1. Our analysis is centered on two issues. First, we test whether exchange rates are cointegrated with long-run determinants predicted by economic theory. These results generally support the hypothesis of cointegration. The second issue is to re-examine the ability for monetary fundamentals to forecast future exchange rate returns. Panel regression estimates and forecasts confirm that this forecasting power is significant.

JEL Classification: E52, F31

Suggested Citation

Mark, Nelson Chung and Sul, Donggyu, Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel (December 4, 1998). Available at SSRN: https://ssrn.com/abstract=146188 or http://dx.doi.org/10.2139/ssrn.146188

Nelson Chung Mark (Contact Author)

University of Notre Dame - Department of Economics and Econometrics ( email )

442 Flanner
Notre Dame, IN 46556
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Donggyu Sul

Independent

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