Cointegration

This paper shows that only the panel vector error correction approach provides evidence for the validity of both the cointegration restriction as well as the long-run parameter restrictions of the monetary exchange rate model, irrespective of the choice of numeraire country. Published in the Oxford Bulletin of Economics and Statistics, 2002.

This paper shows that in multi-country panels there is cointegration between nominal exchange rates and fundamentals based on a forward-looking monetary exchange rate model. Published in the Journal of International Economics, 2000.