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1996•International Economic JournalRequires access

Cointegration Tests Of The Monetary Exchange Rate Model: The Canadian—U.S. Dollar, 1970 – 1994

Panayiotis F. Diamandis, Dimitris A. Georgoutsos, Γεώργιος Π. Κουρέτας

Open publisher page 11 citations

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 Hanse-Johansen recursive tests. [F31]

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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 Hanse-Johansen recursive tests. [F31]

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Available 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 Hanse-Johansen recursive tests. [F31]

Key concepts: Cointegration, Economics, Float (project management), Econometrics, Exchange rate, Liberian dollar, Johansen test, Us dollar

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