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On the won and other East Asian currencies Author info | Abstract | Publisher info | Download info | Related research | Statistics Menzie David Chinn
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A sticky price monetary model (Frankel, 1979) of exchange rates is applied to quarterly data on seven currencies: the Indonesian rupiah, Korean won, Malaysian ringgit, Philippine peso, Singapore dollar, Taiwanese dollar and the Thai baht. The model proves empirically unsuccessful, except in the case of the baht, and to a lesser extent, the Singapore dollar. A monetary model, augmented by the relative price of nontradables, is developed. This relative price variable proxies for the Balassa-Samuelson effect in East Asian real exchange rates identified in Chinn (1997b). The Korean won is best described by this modified model, while the Indonesian rupiah, Philippine peso and Taiwanese dollar also fit the model's long run predictions. On the other hand, the Malaysian ringgit proves difficult to econometrically model. This inability is disappointing because these two currencies have recently been allowed to float more freely.
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Paper provided by Federal Reserve Bank of San Francisco in its series Pacific Basin Working Paper Series with number
97-07.
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Date of creation: 1997Date of revision:
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Keywords: Won ; Korean ; Econometric models ; Foreign exchange rates ; East Asia ; Other versions of this item:
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.: Frankel, Jeffrey A, 1979.
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American Economic Review ,
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[Downloadable!] (restricted)
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[Downloadable!] (restricted)
Jose De Gregorio & Holger C. Wolf, 1994.
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Other versions: Stock, James H & Watson, Mark W, 1993.
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Econometrica ,
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[Downloadable!] (restricted)
Other versions: Menzie David Chinn, 1997.
"The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates ,"
NBER Working Papers
6108, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Menzie David Chinn, 1998.
"The usual suspects? Productivity and demand shocks and Asia-Pacific real exchange rates ,"
Working Papers
31, Oesterreichische Nationalbank (Austrian Central Bank).
[Downloadable!] Menzie David Chinn, 1997.
"The usual suspects? productivity and demand shocks and Asia-Pacific real exchange rates ,"
Pacific Basin Working Paper Series
97-06, Federal Reserve Bank of San Francisco.
[Downloadable!] Chinn, M.D., 1997.
"The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates ,"
Papers
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Chinn, Menzie D, 2000.
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"Monetary and Portfolio Balance Models of Exchange Rate Determination ,"
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"Time-Series Support for Balassa's Productivity-Bias Hypothesis: Evidence from Korea ,"
Review of International Economics ,
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Menzie Chinn & Louis Johnston, 1996.
"Real Exchange Rate Levels, Productivity and Demand Shocks: Evidence from a Panel of 14 Countries ,"
NBER Working Papers
5709, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Robert Dekle & Mahmood Pradhan, 1997.
"Financial Liberalization and Money Demand in ASEAN Countries: Implications for Monetary Policy ,"
IMF Working Papers
97/36, International Monetary Fund.
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"Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability ,"
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94-08, Federal Reserve Bank of San Francisco.
Matthew B. Canzoneri & Robert E. Cumby & Behzad Diba, 1996.
"Relative Labor Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries ,"
NBER Working Papers
5676, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Canzoneri, Matthew B & Cumby, Robert & Diba, Behzad, 1996.
"Relative Labour Productivity and the Real Exchange Rate in the Long Run: Evidence for a Panel of OECD Countries ,"
CEPR Discussion Papers
1464, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Canzoneri, Matthew B. & Cumby, Robert E. & Diba, Behzad, 1999.
"Relative labor productivity and the real exchange rate in the long run: evidence for a panel of OECD countries ,"
Journal of International Economics ,
Elsevier, vol. 47(2), pages 245-266, April.
[Downloadable!] (restricted) Chinn, Menzie David, 1997.
"Paper pushers or paper money? Empirical assessment of fiscal and monetary models of exchange rate determination ,"
Journal of Policy Modeling ,
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[Downloadable!] (restricted)
R. Dornbusch, 1975.
"Exchange Rate Dynamics ,"
Working papers
167, Massachusetts Institute of Technology (MIT), Department of Economics.
Dornbusch, Rudiger, 1976.
" The Theory of Flexible Exchange Rate Regimes and Macroeconomic Policy ,"
Scandinavian Journal of Economics ,
Blackwell Publishing, vol. 78(2), pages 255-75.
Other versions:
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Renu Kohli & Kenneth Kletzer, 2004.
"Exchange RAte Dynamics with Financial Repression: A Test of Exchange Rate Models for India ,"
International Finance
0405013, EconWPA.
[Downloadable!]
Mody, Ashoka & Taylor, Mark P, 2003.
"Common Vulnerabilities ,"
CEPR Discussion Papers
3759, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
Menzie D. Chinn, 1998.
"Before the Fall: Were East Asian Currencies Overvalued? ,"
NBER Working Papers
6491, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Lothian, James R. & Taylor, Mark P., 2006.
"Real Exchange Rates Over the Past Two Centuries : How Important is the Harrod-Balassa-Samuelson Effect? ,"
The Warwick Economics Research Paper Series (TWERPS)
768, University of Warwick, Department of Economics.
[Downloadable!]
Other versions: Mody, Ashoka & Taylor, Mark P., 2006.
"Regional Vulnerability : The Case of East Asia ,"
The Warwick Economics Research Paper Series (TWERPS)
776, University of Warwick, Department of Economics.
[Downloadable!]
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