Dynamic forecasting of sticky-price monetary exchange rate model.

Meese, Richard A.; Rogoff, Kenneth. "Empirical Exchange Rate Models of the Seventies: Do They Fit out of Sample?" Journal of International Economics, 14, 1983, pp. 3-74.

Moosa, Imad A. "The Monetary Model of Exchange Rates Revisited," Applied Financial Economics, 26, 1994, pp. 279-87.

Osterwald-Lenum, M. "A Note with Fractiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics: Four Cases," Oxford Bulletin of Economics and Statistics, 54, 1992, pp. 461-72.

Reinton, H.; Ongena, Steven. "Out-of-Sample Forecasting Performance of Single Equation Monetary Exchange Rate Models in Norwegian Currency Markets," Applied Financial Economics, 9, 1999, pp. 545-50.

Smith, C. "Equities and the UK exchange rate," Applied Economics, 24, 1992, pp. 327-35.

Soenen, L.; Henninger, E. "An Analysis of Exchange Rates and Stock Prices-the US Experience between 1980 and 1986," Akron Business and Economic Review, 19, 1988, pp. 7-16.

Solnik, B. "Using Financial Prices to Test Exchange Rate Models: A Note," Journal of Finance, 42, 1987, pp. 141-9.

Somanath, V. S. "Efficient Exchange Rate Forecast: Lagged Models Better than the Random Walk," Journal of International Money and Finance, 5, 1986, pp. 195-220.

Tawadros, George. "The Predictive Power of the Monetary Model of Exchange Rate Determination," Applied Financial Economics, 11, 2001, pp. 279-86.

White, H. "A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity," Econometrica, 48, 1980, pp. 721-46.

Woo, Wing T. "The Monetary Approach to Exchange Rate Determination under Rational Expectations," Journal of International Economics, 18, 1985, pp. 1-16.

JAE-KWANG HWANG *

* Ouachita Baptist University--U.S.A. The author would like to thank James P. Cover for his help and useful suggestions on earlier drafts.

Print Get the Mag Weekly Updates