Title: Cointegration analysis of the monetary model of exchange rate determination
Language: English
Authors: Cotta d' Ávila e Silva, Felipe 
Qualification level: Diploma
Advisor: Kunst, Robert 
Issue Date: 2017
Number of Pages: 33
Qualification level: Diploma
Abstract: 
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.
Keywords: Cointegration; Monetary Model; Johansen Procedure
URI: https://resolver.obvsg.at/urn:nbn:at:at-ubtuw:1-100554
http://hdl.handle.net/20.500.12708/6830
Library ID: AC13738097
Organisation: E017 - Continuing Education Center 
Publication Type: Thesis
Hochschulschrift
Appears in Collections:Thesis

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