The monetary model of the exchange rate and equities: an ARDL bounds testing approach

• Autores: Bruce Morley
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 17, Nº. 4-6, 2007, págs. 391-397
• Idioma: inglés
• DOI: 10.1080/09603100500426457
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• Resumen

  • This study examines a version of the monetary model of the exchange rate, which incorporates a stock price measure. Using the ARDL Bounds testing approach, we produce evidence of cointegration, well-specified ECMs and forecasts that outperform a random walk.