The aim of this paper is to examine the empirical relation between exchange rates and macroeconomic fundamentals for five major industrialised countries in the floating exchange rates period after 1973. Two theoretical models of exchange rate determination are considered: a monetary model in Frankel's real interest differential version (1979), and a synthesis of monetary and portfolio balance approaches proposed by Ashok Parikh (1992). The empirical analysis on these models has been run through the application of cointegration techniques, both in a univariate framework à la Engle and Granger and through the multivariate Johansen's procedure. After the cointegration analysis, the long run estimates have been put in a structural ECM in order to model simultaneously long and short run dynamics. The results for the monetary model in the long run are very interesting for France, Japan and Spain, while for Germany and UK the model cannot capture the actual pattern of the exchange rate; in the short run the difficulty in modelling exchange rate changes has been confirmed. The synthesis model between the two approaches estimated for Germany, Japan and UK appears to be completely unsatisfactory.