A reassessment of the long-run validity of the flexible price monetary exchange rate model

Abbott, Andrew James and De Vita, Glauco (2001) A reassessment of the long-run validity of the flexible price monetary exchange rate model. Economic Issues, 6 (1). pp. 47-57.

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Abstract

In this article we employ the Pesaran and Shin (1999) structural cointegrating VAR methodology to reassess the monetary approach to exchange rate determination. This recently developed technique allows us to test directly the over-identifying restrictions of the long-run structural relations underlying the flexible price monetary model of the exchange rate. Using data for the German Mark-U.S. dollar and the Japanese Yen-U.S. dollar, we find for both exchange rates, that structural identification is rejected by the data, results that raise further doubts about the long-run validity of the monetary model.

Item Type:
Journal Article
Journal or Publication Title:
Economic Issues
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
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ID Code:
141369
Deposited By:
Deposited On:
12 Feb 2020 09:10
Refereed?:
Yes
Published?:
Published
Last Modified:
03 Jun 2020 06:28