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Title: |
Cointegration Tests of the Monetary Exchange Rate Model: The Canadian-U.S.
Dollar, 1970-1994 |
| Author: |
Diamandis,
Panayiotis F.; Georgoutsos, Dimitris A.; Kouretas, Georgios P. |
| Author
Affiliation: |
U Crete; Athens
U Econ & Business |
| Source: |
International Economic Journal, Winter 1996, v. 10, no. 4, pp. 83-97 |
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Publication Date: |
Winter 1996 |
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Abstract: |
Using data on the Canadian-U.S. dollar
rate, we reexamine the monetary model of exchange-rate determination for
the recent float in three ways. First, we test its long-run validity,
using Johansen's multivariate cointegration techniques. Second, we
examine and test the model for the presence of speculative bubble, and
finally we test for parameter stability of Johansen's results using the
Hansen-Johansen recursive tests. |
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