<div class="csl-bib-body">
<div class="csl-entry">Cotta d’ Ávila e Silva, F. (2017). <i>Cointegration analysis of the monetary model of exchange rate determination</i> [Master Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2017.46241</div>
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dc.identifier.uri
https://doi.org/10.34726/hss.2017.46241
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/6830
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dc.description.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.
en
dc.language
English
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dc.language.iso
en
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dc.rights.uri
http://rightsstatements.org/vocab/InC/1.0/
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dc.subject
Cointegration
de
dc.subject
Monetary Model
de
dc.subject
Johansen Procedure
de
dc.title
Cointegration analysis of the monetary model of exchange rate determination