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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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