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The Monetary Model Strikes Back: Evidence from the World

The Monetary Model Strikes Back: Evidence from the World by Valerie Cerra
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We revisit the dramatic failure of monetary models in explaining exchange rate movements. Using the information content from 98 countries, we find strong evidence for cointegration between nominal exchange rates and monetary fundamentals. We also find fundamentalsbased models very successful in beating a random walk in out-of-sample prediction.
International Monetary Fund; March 2008
41 pages; ISBN 9781452720838
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Title: The Monetary Model Strikes Back: Evidence from the World
Author: Valerie Cerra; Sweta Chaman Saxena