Pecchenino, Rowena A.
(1991)
The search for equilibrium relationships in
international finance: the case of the monetary
model.
Journal of International Money and Finance, 10 (4).
pp. 582-593.
ISSN 0261-5606
Abstract
This paper considers some of the main long-run equilibrium relationships
in international linance. We supplement the Phillips-Perron test. which has
a unit root under the null. with the new KPS test statistic which is based
on a stationary null and apply them to the various exchange rate fundamentals.
The application of the Jahansen test for multiple cointegrating
factors finds evidence of the existence of stable money demand functions in
both the USA and UK with relatively short-lived perturbations. However,
there appears to be insuffkient information in the data to distinguish & hether
the real exchange rate has a unit root or is persistent and mean reverting.
The consequent persistent deviations from purchasing power parity appears
the only source of rejection of the equilibrium monetary model.
| Item Type: |
Article
|
| Keywords: |
Equilibrium;
International finance; monetary
model; |
| Academic Unit: |
Faculty of Social Sciences > Economics, Finance and Accounting |
| Item ID: |
8522 |
| Depositing User: |
Prof. Rowena Pecchenino
|
| Date Deposited: |
26 Jul 2017 12:33 |
| Journal or Publication Title: |
Journal of International Money and Finance |
| Publisher: |
Elsevier |
| Refereed: |
Yes |
| URI: |
|
| Use Licence: |
This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available
here |
Repository Staff Only(login required)
 |
Item control page |
Downloads per month over past year
Origin of downloads
Altmetric
Altmetric