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Stock Prices and the Monetrary Model of Exchange Rate: An Empirical Investigation.

Broom, S. and Morley, B. (2003) Stock Prices and the Monetrary Model of Exchange Rate: An Empirical Investigation. UNSPECIFIED. (Unpublished)

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Abstract

This paper develops an alternative version of the monetary model of exchange rate determination, which incorporates a stock price measure. This model is then tested using data from Canada and the USA, applying the cointegration and error correction methodology. In contrast to many previous tests of the monetary model, this version produces evidence of cointegration and stock prices have a highly significant effect on the exchange rate in both the short and long run. In addition the restricted version of the model outperforms a random walk in out of sample forecasting

Item Type: Other
Additional Information: N132/11/03
Subjects: Social Sciences > Economics
Item ID: 130
Depositing User: Ms Sandra Doherty
Date Deposited: 11 Mar 2004
Refereed: No
URI:

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