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The monetary exchange rate model within the ERM: Cointegration tests and implications concerning the German dominance hypothesis

Kanas, Angelos (1997) The monetary exchange rate model within the ERM: Cointegration tests and implications concerning the German dominance hypothesis. Applied Financial Economics, 7 (6). pp. 587-598. ISSN 0960-3107. (doi:10.1080/758533850) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:41181)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided.
Official URL:
https://doi.org/10.1080/758533850

Abstract

This paper examines whether the monetary exchange rate model represents a long-run relationship among nominal exchange rates, money supplies, interest rates and real incomes of five countries that participate in the ERM. Cointegration tests are conducted using the method suggested by Johansen and Juselius (1990). The results strongly support the hypothesis of cointegration for all ten ERM country-pairs considered. Furthermore, multiple cointegrating vectors are found for all cases. These results can be interpreted as evidence that the monetary model represents a stable long-run relationship for all ERM countries considered. Finally, the monetary model is used as a basis for testing the German dominance hypothesis. The results support this hypothesis only for one country.

Item Type: Article
DOI/Identification number: 10.1080/758533850
Subjects: H Social Sciences > HG Finance
Divisions: Divisions > Kent Business School - Division > Kent Business School (do not use)
Depositing User: Tracey Pemble
Date Deposited: 23 May 2014 09:45 UTC
Last Modified: 09 Mar 2023 11:33 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/41181 (The current URI for this page, for reference purposes)

University of Kent Author Information

Kanas, Angelos.

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