Cotta d’ Ávila e Silva, F. (2017). Cointegration analysis of the monetary model of exchange rate determination [Master Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2017.46241
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.
