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Time-varying Cointegration Models and Exchange Rate Predictability in Korea

Time-varying Cointegration Models and Exchange Rate Predictability in Korea

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Abstract

We examine the validity of popular exchange rate models such as the purchasing power parity (PPP) hypothesis and the monetary model for Korean won/US dollar exchange rate. Various specification tests demonstrate that Korean data are more favorable for bot

Issue Date
2015-11-30
Publisher
한국개발연구원
Korea Development Institute
Language
en
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