Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
962387 | Journal of International Economics | 2010 | 13 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Valerie Cerra, Sweta Chaman Saxena,