The monetary model in the presence of I(2) components:: long-run relationships, short-run dynamics and forecasting of the Greek drachma

被引:10
|
作者
Diamandis, PF
Georgoutsos, DA
Kouretas, GP [1 ]
机构
[1] Univ Crete, Dept Econ, GR-74100 Rethimnon, Greece
[2] Athens Univ Econ & Business, Dept Int & European Econ Studies, GR-10434 Athens, Greece
[3] Athens Univ Econ & Business, Dept Business Adm, GR-10434 Athens, Greece
关键词
I(2) cointegration; exchange rates; monetary model; identification; stability; forecasting;
D O I
10.1016/S0261-5606(00)00040-1
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
This paper re-examines the long-run properties of the monetary exchange rate model using data for the drachma-dollar and drachma-mark exchange rates under the hypothesis that the system contains variables that are I(2). Using the recent I(2) test by Paruolo (On the determination of integration indices in I(2) systems. J. Economet. 72 (1996) 313-356) to examine the presence of I(2) and I(1) components in a multivariate context we find that the system contains two I(2) variables in both cases and this finding is reconfirmed by the estimated roots of the companion matrix (Do purchasing power parity and uncovered interest rate parity hold in the long-run? An example of likelihood inference in a multivariate time-series model. Juselius, J. Economet, 69 (1995) 211-240). The I(2) component led to the transformation of the estimated model by imposing long-run but not short-run proportionality between domestic and foreign money. Two statistically significant cointegating vectors were found and, by imposing linear restrictions on each vector as suggested by Johansen and Juselius (Identification of the long-run and the short-run structure: an applicaion to the ISLM model. J. Economet. 63 (1994) 7-36) and Johansen (Identifying restrictions of linear equations with applications to simultaneous equations and cointegration. J. Economet. 69 (1995b) 111-132), the order and rank conditions for identification are satisfied, but the test for overidentifying restrictions was not significant only for the case of the drachma/mark rate. The main findings suggest that we reject the forward-looking version of the monetary model for the drachma/dollar case but not when the drachma/mark rate is used, a result that is attributed to the monetary and exchange rate policy followed by the Greek authorities since Greece's joining of the European Union. Furthermore, we test for parameter stability using the tests developed by Hansen and Johansen (Recursive estimation in cointegrated VAR-models. Working paper (1993) University of Copenhagen) and it is shown that the dimension of the cointegration rank is sample independent while the estimated coefficients do not exhibit instabilities in recursive estimations. Finally, it is shown that the monetary model outperforms the random walk model in an out-of-sample forecasting contest. (C) 2000 Elsevier Science Ltd. All rights reserved. JEL classification: F31: F33; C32; C51; C52.
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页码:917 / 941
页数:25
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