Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238785 
Authors: 
Year of Publication: 
2009
Citation: 
[Journal:] International Econometric Review (IER) [ISSN:] 1308-8815 [Volume:] 1 [Issue:] 2 [Publisher:] Econometric Research Association (ERA) [Place:] Ankara [Year:] 2009 [Pages:] 63-76
Publisher: 
Econometric Research Association (ERA), Ankara
Abstract: 
The aim of this paper is to compare the conventional monetary model of the exchange rate with an alternative model, which incorporates a stock price measure and is based on Friedman?s money demand function. These models are then compared using data from the UK, Canada and the USA, applying the Autoregressive Distributed Lag (ARDL) Bounds testing approach and the Phillips-Hansen approaches to cointegration. Although the results from the conventional monetary model are poor, the version which includes stock prices produces evidence of a long-run relationship, which has more appropriate long-run coefficients than the conventional model.
Subjects: 
Exchange Rate
Stock Price
ARDL
Cointegration
JEL: 
F30
E44
Creative Commons License: 
cc-by-nc-nd Logo
Document Type: 
Article

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