Exchange rate determination and structural changes in response to monetary policies
AbstractPurpose – 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 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.
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 InfoArticle provided by Emerald Group Publishing in its journal Studies in Economics and Finance.
Volume (Year): 29 (2012)
Issue (Month): 3 (August)
Contact details of provider:
Web page: http://www.emeraldinsight.com
Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- F31 - International Economics - - International Finance - - - Foreign Exchange
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.:
- Aaron Mehrotra & Jos� R S�nchez-Fung, 2010.
"China's Monetary Policy and the Exchange Rate,"
Comparative Economic Studies,
Palgrave Macmillan, vol. 52(4), pages 497-514, December.
- 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.
- Mehrotra, Aaron & Sánchez-Fung, José R., 2010. "China’s monetary policy and the exchange rate," BOFIT Discussion Papers 10/2010, Bank of Finland, Institute for Economies in Transition.
- 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.
- 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.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
- Philippe Bacchetta & Eric van Wincoop, 2009. "Tacit On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Cahiers de Recherches Economiques du DÃ©partement d'EconomÃ©trie et d'Economie politique (DEEP) 09.07, Université de Lausanne, Faculté des HEC, DEEP.
- Nikolaos Giannellis & Minoas Koukouritakis, 2011.
"Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate,"
Springer, vol. 38(4), pages 555-578, November.
- Minoas Koukouritakis & Nikolaos Giannellis, . "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics.
- 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.
- 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.
- Paul De Grauwe & Isabel Vansteenkiste, 2001. "Exchange Rates and fundamentals - a Non-Linear Relationship?," CESifo Working Paper Series 577, CESifo Group Munich.
- P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
- 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.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- 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.
- Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
- Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003.
"Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes,"
CEPR Discussion Papers
3983, C.E.P.R. Discussion Papers.
- Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," Economic Inquiry, Western Economic Association International, vol. 42(2), pages 179-193, April.
- 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.
- 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.
- 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.
- 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister).
If references are entirely missing, you can add them using this form.