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Title: The monetary model of the US Dollar–Japanese Yen exchange rate: An empirical investigation
Authors: Hunter, J
Menla Ali, F
Keywords: Cointegration;Exchange rates;Monetary approach;Weak exogeneity
Issue Date: 2013
Publisher: Brunel University
Citation: Economics and Finance Working Paper, Brunel University: 13-08, Mar 2013
Abstract: This article considers the long-run performance of the monetary approach to explain the dollar–yen exchange rates during a period of high international capital mobility. We apply the Johansen methodology to quarterly data over the period 1980:01–2009:04 and show that the historical inadequacy of the monetary approach is due to the breakdown of its underlying building-blocks, money demand stability and purchasing power parity. Our findings on long-run weak exogeneity tests emphasize the importance of the extended model employed here. This shows that cumulative shocks to nominal exchange rates can be explained by variables outside the usual price and interest rates.
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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