This paper examines the relationship between stock prices and exchange rates in Mexico.
The Granger causality test shows that stock prices lead exchange rates in the short run, and …

Three types of tests are discussed. First we consider the same linear restrictions on all
cointegration relations, then we consider the hypothesis that certain relations are assumed …

Adding oil prices to the monetary model of exchange rates, we find that oil prices
significantly explain movements in the value of the US dollar (USD) against major currencies …

First published in 2007. Exchange Rate Economics: Theories and Evidence is the second
edition of Floating Exchange Rates: Theories and Evidence, and builds on the successful …

There are two major findings from our time-series estimations. First, we find that there is no
long-run significant relationship between stock prices and exchange rates in the G-7 …

A generalized notion of cointegration, called fractional cointegration, is introduced to
examine the long-run purchasing power parity (PPP) hypothesis. By allowing deviations …

With transaction costs for trading goods, the nominal exchange rate moves within a band
around the nominal purchasing power parity (PPP) value. We model the behavior of the …

Nonstationarity in the levels of spot exchange rates and domestic and foreign price indices
makes the use of conventional tests of the absolute version of purchasing power parity …

PURCHASING POWER PARITY (PPP) is commonly interpreted as the comovement of the
exchange rate and the relative price level of two countries. The short-run version of PPP that …

We test the long-run monetary model of exchange rate determination for a collection of 14
industrialized countries using data spanning the late nineteenth or early twentieth century to …