Advanced Search
MyIDEAS: Login to save this article or follow this journal

Exchange rate determination and structural changes in response to monetary policies

Contents:

Author Info

  • Yutaka Kurihara

Abstract

Purpose – The purpose of this article is to analyse methods for determination of exchange rates in response to fundamental economic variables and changes in monetary policies. Design/methodology/approach – The paper undertakes empirical examination of exchange rate movements and their structural changes in response to changes in macroeconomic variables and monetary policies in the USA, the Euro area, and Japan. Findings – Exchange rates have been influenced by macroeconomic fundamentals and have been impacted by the conduct of monetary policies in some cases. Some structural changes in exchange rates have coincided with implementation of drastic monetary policies but not in others. The Japanese quantitative easing policy has had an effect on exchange rates. Originality/value – Monetary policy has been often examined; however, few studies have examined the response of exchange rate movements to monetary policies. Moreover, structural changes in exchange rates are examined in comparison with domestic monetary policies in the USA, the Euro Area, and Japan. JEL classification: E44, E52, F31

Download Info

If 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.
File URL: http://www.emeraldinsight.com/journals.htm?issn=1086-7376&volume=29&issue=3&articleid=17044217&show=abstract
Download Restriction: Cannot be freely downloaded

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Emerald Group Publishing in its journal Studies in Economics and Finance.

Volume (Year): 29 (2012)
Issue (Month): 3 (August)
Pages: 187-196

as in new window
Handle: RePEc:eme:sefpps:v:29:y:2012:i:3:p:187-196

Contact details of provider:
Web page: http://www.emeraldinsight.com

Order Information:
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Email:
Web: http://www.emeraldinsight.com/sef.htm

Related research

Keywords: Euro; Exchange rates; Japan; Macroeconomic fundamentals; Monetary policy; Structural change; United States of America;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Paul De Grauwe & Isabel Vansteenkiste, 2007. "Exchange rates and fundamentals: a non-linear relationship?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 37-54.
  2. Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
  3. Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
  4. Aaron Mehrotra & José R. Sánchez-Fung, 2010. "China’s monetary policy and the exchange rate," Working Paper Series 2010-19, Federal Reserve Bank of San Francisco.
  5. Takeshi Hoshikawa, 2012. "Regime shift of Japanese foreign exchange policy: some findings," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 25-28, January.
  6. Goldberg, Michael D & Frydman, Roman, 1996. "Imperfect Knowledge and Behaviour in the Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 106(437), pages 869-93, July.
  7. Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
  8. Philippe Bacchetta & Eric van Wincoop, 2009. "Tacit On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 09.07, Université de Lausanne, Faculté des HEC, DEEP.
  9. Nikolaos Giannellis & Minoas Koukouritakis, 2011. "Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate," Empirica, Springer, vol. 38(4), pages 555-578, November.
  10. Bacchetta, Philippe & van Wincoop, Eric, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," CEPR Discussion Papers 7309, C.E.P.R. Discussion Papers.
  11. Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 147(1), pages 11-40, April.
  12. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
  13. Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
  14. Uz, Idil & Ketenci, Natalya, 2008. "Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey," Emerging Markets Review, Elsevier, vol. 9(1), pages 57-69, March.
  15. Yutaka Kurihara, 2011. "Effects of foreign reserve stock in Asian countries," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 13(1), pages 84-92.
  16. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:eme:sefpps:v:29:y:2012:i:3:p:187-196. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister).

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.