Factors Affecting the Nominal Exchange Rate of Pakistan: An Econometric Investigation (1982-2008)
AbstractWhich macroeconomic factors determine the nominal exchange rate of Pak-rupee against US dollar during the period 1982-2008? This issue has been investigated in this paper by using Ordinary Least Squares and Johansen’s Cointegration techniques. The results show that both monetary and real factors i.e. money supply, trade balance, foreign exchange reserves, inflation and interest rate have long run relationship with the exchange rate of Pak-rupee. However, the granger causality test results show that the relationship between most of the macroeconomic variables and nominal exchange rate bi-directional.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Asian Economic and Social Society in its journal Asian Economic and Financial Review.
Volume (Year): 2 (2012)
Issue (Month): 2 (June)
Contact details of provider:
Postal: Sadeeq Block, Near Fawara Chowk, Abbasia Town, Rahim Yar Khan - 64200, Punjab, Pakistan
Web page: http://www.aessweb.com/
Nominal Exchange Rate; Co integration; Granger Causality test;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Gabriele Galati & Corrinne Ho, 2003.
"Macroeconomic News and the Euro/Dollar Exchange Rate,"
Banca Monte dei Paschi di Siena SpA, vol. 32(3), pages 371-398, November.
- Gabriele Galati & Corrinne Ho, 2001. "Macroeconomic news and the euro/dollar exchange rate," BIS Working Papers 105, Bank for International Settlements.
- Jose Sanchez-Fung, 2003. "Non-linear modelling of daily exchange rate returns, volatility, and 'news' in a small developing economy," Applied Economics Letters, Taylor and Francis Journals, vol. 10(4), pages 247-250.
- Alan C. Stockman, 1978.
"A Theory of Exchange Rate Determination,"
UCLA Economics Working Papers
113, UCLA Department of Economics.
- Richard Clarida & Jordi Gali, 1994.
"Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?,"
NBER Working Papers
4658, National Bureau of Economic Research, Inc.
- Clarida, Richard & Gali, Jordi, 1994. "Sources of real exchange-rate fluctuations: How important are nominal shocks?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 1-56, December.
- Richard Clarida & Jordi Gali, 1994. "Sources of real exchange rate fluctuations: how important are nominal shocks?," Proceedings, Federal Reserve Bank of Dallas, issue Apr.
- Clarida, Richard & Galí, Jordi, 1994. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," CEPR Discussion Papers 951, C.E.P.R. Discussion Papers.
- Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
- Clarida, R. & Gali, J., 1993. "Sources of Real Exchange Rate Fluctuations: How Important are Nominal Shocks?," Discussion Papers 1993_25, Columbia University, Department of Economics.
- Richard K. Lyons., 1995.
"Foreign Exchange Volume: Sound and Fury Signifying Nothing?,"
Research Program in Finance Working Papers
RPF-243, University of California at Berkeley.
- Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208 National Bureau of Economic Research, Inc.
- Richard K. Lyons, 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Working Papers 4984, National Bureau of Economic Research, Inc.
- Martin Berka & Michael B. Devereux, 2010.
"What determines European real exchange rates?,"
CAMA Working Papers
2010-17, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Martin Berka & Michael B. Devereux, 2010. "What Determines European Real Exchange Rates?," NBER Working Papers 15753, National Bureau of Economic Research, Inc.
- Martin Berka & Michael B. Devereux, 2010. "What determines European real exchange rates?," Globalization and Monetary Policy Institute Working Paper 46, Federal Reserve Bank of Dallas.
- Berka, Martin & Devereux, Michael B., 2011. "What determines European real exchange rates?," Working Paper Series 1687, Victoria University of Wellington, School of Economics and Finance.
- Hau, Harald, 2000.
"Real Exchange Rate Volatility and Economic Openness: Theory and Evidence,"
CEPR Discussion Papers
2356, C.E.P.R. Discussion Papers.
- Hau, Harald, 2002. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 611-30, August.
- Lastrapes, William D, 1992. "Sources of Fluctuations in Real and Nominal Exchange Rates," The Review of Economics and Statistics, MIT Press, vol. 74(3), pages 530-39, August.
- Shahbaz, Muhammad & Tiwari, Aviral Kumar & Tahir, Mohammad Iqbal, 2013. "Analyzing Time-Frequency Relationship between Oil Price and Exchange Rate in Pakistan through Wavelets," MPRA Paper 48086, University Library of Munich, Germany, revised 05 Jul 2013.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Asian Economic and Social Society).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.