1. Introduction.-
2. The Monetary Model of Exchange Rate Determination.
- I. Introduction.
- II. Monetary Models.
- III. The Asset Market View.
- IV. Empirical Evidence.
- V. Treatment of Nonstationary Variables.-
3. Long Run Exchange Rate Determination I.
- I. Introduction.
- II. Some Preliminary Definitions and Engle and Granger Procedure.
- III. Interpretation of Previous Results in terms of Cointegration.
- IV. Testing for Cointegration Using Engle and Granger Methodology.
- V. Empirical Results.
- VI. Conclusions.- Appendix A.-
4. Long Run Exchange Rate Determination II.
- I. Introduction.
- II. Description of The Time Series Model.
- III. The Data And Diagnostic Tests.
- III.1. Data Description.
- III.2. Diagnostic Tests on the Assumptions of the VAR.
- IV. Estimation And Testing For Cointegration.
- V. Tests of Several Hypotheses.
- V.1. Testing for Known Cointegrating Vectors.
- V.1.1 Testing for Trivial Cointegrating Vectors.
- V.1.2. Testing for Cointegration between Fundamentals.
- V.2. Tests of the same Linear Restrictions on all Cointegrating Vectors.
- V.2.1. Testing the Exclusion of a Variable from all Cointegrating Vectors.
- V.2.2 Testing for the Restrictions of a Monetary Equation.
- VI. Conclusions.- Appendix A.- Appendix B.-
5. Short Run Exchange Rate Determination.
- I. Introduction.
- II. Weak Exogeneity of the Exchange Rate.
- III. Testing for Weak Exogeneity.
- IV. The Asset Market View Derived from an Error Correction Model.
- V. Conclusions.- Appendix A.-
6. Effect of Non-Normal Disturbances on Likelihood Ratio Tests.
- I. Introduction.
- II. The Data Generating Process.
- III. Hypotheses Tests.
- III.1. Tests on the Number of Cointegrating Vectors.
- III.2. Tests of Linear Restrictions on the Cointegrating Vector.
- III.3. Tests of Restrictions on the Loadings Matrix.
- IV. The Simulation Exercise.
- IV.1. Empirical Size of the Tests.
- IV.2. Power of the Tests.
- V. Conclusions.- Appendix A: Size of the Tests.- Appendix B: Power of the Tests.-
7. Estimation of the Time Series Model.
- I. Introduction.
- II. Two Different Interpretations of the Time Series Model.
- III. Estimation of the Model.
- III.1. Unrestricted Model.
- III.2. Restricted Short Run Dynamics.
- III.3. Restricted Long Run Dynamics.
- III.4. Restricted Short and Long Run Dynamics.
- III.4.1. Gaussian Reduced Rank Maximum Likelihood Estimator.
- III.4.2. Two Step Procedure.-
8. Prediction in Cointegrated Systems.
- I. Introduction.
- II. Properties of the True Forecasts from a Cointegrated System.
- III. Estimated Forecasts from a Cointegrated System.-
9. Nominal Exchange Rate Prediction.
- I. Introduction.
- II. Review of Literature.
- III. Forecasting Exercise.
- IV. Conclusions.- Appendix A.-
10. A Simulation Exercise.
- I. Introduction.
- II. The Data Generating Process.
- III. Results.- Appendix A.-
11. Conclusions.- Data Appendix.