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Article
Publication date: 1 January 1998

Swarna D. Dutt and Dipak Ghosh

The monetary approach to long run exchange rate determination is reexamined for the Canadian — US dollar exchange rate. We first test for non‐stationarity, and then…

Abstract

The monetary approach to long run exchange rate determination is reexamined for the Canadian — US dollar exchange rate. We first test for non‐stationarity, and then conduct a multivariate cointegration analysis to examine the validity of the monetary model in determination of exchange rates over the long run. Our results uphold the validity of the monetary approach.

Details

Studies in Economics and Finance, vol. 19 no. 1/2
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 1 January 1996

Swarna D. Dutt and Dipak Ghosh

The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the…

Abstract

The purchasing power parity hypothesis is investigated within a highly economically integrated set of nations, namely the European Monetary System. We use the Phillips‐Hansen Fully Modified Ordinary Least Squares procedure, which for the first time allows for an unrestricted cointegration test of the PPP doctrine. We sequentially test for the weak and strong form of PPP.

Details

Studies in Economics and Finance, vol. 16 no. 2
Type: Research Article
ISSN: 1086-7376

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Article
Publication date: 1 January 1995

Swarna D. Dutt and Dipak Ghosh

We examine the stability of exchange rates among the members of the European Monetary System (EMS), using the Johansen‐Juselius multivariate cointegration (systems…

Abstract

We examine the stability of exchange rates among the members of the European Monetary System (EMS), using the Johansen‐Juselius multivariate cointegration (systems) analysis. The direct implication from cointegration theory is that exchange rate stability vis a vis EMS member countries has been achieved. This allows us to study the speed of convergence of different currencies towards the equilibrium path.

Details

Studies in Economics and Finance, vol. 16 no. 1
Type: Research Article
ISSN: 1086-7376

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