David Rapach - Profile on Academia.edu (original) (raw)
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University Of Uyo, Uyo, Akwa Ibom State Of Nigeria
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Papers by David Rapach
Journal of International Economics, 2002
We test the long-run monetary model of exchange rate determination for a collection of 14 industr... more We test the long-run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or early twentieth century to the late twentieth century. Interestingly, we find support for a simple form of the long-run monetary model in over half of the countries we consider. For these countries, we estimate vector error-correction models to investigate the adjustment process to the long-run monetary equilibrium. In the spirit of Meese and Rogoff [Journal of International Economics 14 (1983) 3-24], we also compare nominal exchange rate forecasts based on monetary fundamentals to those based on a naıve random walk model.
Journal of International Economics, 2002
We test the long-run monetary model of exchange rate determination for a collection of 14 industr... more We test the long-run monetary model of exchange rate determination for a collection of 14 industrialized countries using data spanning the late nineteenth or early twentieth century to the late twentieth century. Interestingly, we find support for a simple form of the long-run monetary model in over half of the countries we consider. For these countries, we estimate vector error-correction models to investigate the adjustment process to the long-run monetary equilibrium. In the spirit of Meese and Rogoff [Journal of International Economics 14 (1983) 3-24], we also compare nominal exchange rate forecasts based on monetary fundamentals to those based on a naıve random walk model.