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Title
Cointegration analysis of the monetary model of exchange rate determination / Felipe Cotta d' Ávila e Silva
AuthorCotta d' Ávila e Silva, Felipe
CensorKunst, Robert
PublishedWien, 2017
Descriptioniii, 33 Blätter : Diagramme
Institutional NoteTechnische Universität Wien, Masterarbeit, 2017
LanguageEnglish
Document typeMaster Thesis
Keywords (DE)Cointegration / Monetary Model / Johansen Procedure
URNurn:nbn:at:at-ubtuw:1-100554 Persistent Identifier (URN)
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 The work is publicly available
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Cointegration analysis of the monetary model of exchange rate determination [0.56 mb]
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Abstract (English)

This study mostly rejects the flexible-price monetary model of exchange rate determination as a valid tool for establishing the drivers behind exchange rate movements in the case of the US Dollar, the Euro, the British Pound the Swiss Franc with respect to the Brazilian Real, in the period 1999:Q1 and 2016:Q4. The procedure applied in the analysis is Johansen maximum likelihood estimation to establish the cointegrating relations and to calculate the vector error correction model. Even though substantial evidence for cointegration between the variables is found, the restrictions implied by the model on the proportionality between variables are soundly rejected.

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