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ON the Won: And Other East Asian Currencies Author info | Abstract | Publisher info | Download info | Related research | Statistics Chinn, M.D.
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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.
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Paper provided by Economisch Institut voor het Midden en Kleinbedrijf- in its series Papers with number
97-07.
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Length: 33 pages
Date of creation: 1997Date of revision:
Handle: RePEc:fth:midkle:97-07Contact details of provider: Postal: ECONOMISCH INSTITUT VOOR HET MIDDEN EN KLEINBEDRIJF, RESEARCH INSTITUTE FOR SMALL AND MEDIUM-SIZED BUSINESS IN THE NETHERLANDS, NEUHUYS.
For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).
Keywords: EXCHANGE RATE ; CURRENCIES ; TRADE ; ASIA ; Other versions of this item:
Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation
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.
"On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials ,"
American Economic Review ,
American Economic Association, vol. 69(4), pages 610-22, September.
[Downloadable!] (restricted)
Menzie Chinn & Michael Dooley, 1995.
"Asia-Pacific Capital Markets: Measurement of Integration and the Implications for Economic Activity ,"
NBER Working Papers
5280, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Dornbusch, Rudiger, 1976.
"Expectations and Exchange Rate Dynamics ,"
Journal of Political Economy ,
University of Chicago Press, vol. 84(6), pages 1161-76, December.
[Downloadable!] (restricted)
Johansen, Soren & Juselius, Katarina, 1990.
"Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money ,"
Oxford Bulletin of Economics and Statistics ,
Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
MacDonald, Ronald & Taylor, Mark P., 1994.
"The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk ,"
Journal of International Money and Finance ,
Elsevier, vol. 13(3), pages 276-290, June.
[Downloadable!] (restricted)
Jose De Gregorio & Holger C. Wolf, 1994.
"Terms of Trade, Productivity, and the Real Exchange Rate ,"
NBER Working Papers
4807, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions: Stock, James H & Watson, Mark W, 1993.
"A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems ,"
Econometrica ,
Econometric Society, vol. 61(4), pages 783-820, July.
[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
97-06, Economisch Institut voor het Midden en Kleinbedrijf-.
Chinn, Menzie D, 2000.
"The Usual Suspects? Productivity and Demand Shocks and Asia-Pacific Real Exchange Rates ,"
Review of International Economics ,
Blackwell Publishing, vol. 8(1), pages 20-43, February.
[Downloadable!] (restricted) Frenkel, Jacob A, 1976.
" A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence ,"
Scandinavian Journal of Economics ,
Blackwell Publishing, vol. 78(2), pages 200-224.
Wolff, Christian C P, 1987.
"Time-Varying Parameters and the Out-of-Sample Forecasting Performance of Structural Exchange Rate Models ,"
Journal of Business & Economic Statistics ,
American Statistical Association, vol. 5(1), pages 87-97, January.
Ronald MacDonald, 1995.
"Long-Run Exchange Rate Modeling - A Survey of the Recent Evidence ,"
IMF Working Papers
95/14, International Monetary Fund.
Alexander W. Hoffmaister & Jorge Roldos, 1997.
"Are Business Cycles Different in Asia and Latin America? ,"
IMF Working Papers
97/9, International Monetary Fund.
Jeffrey A. Frankel., 1987.
"Monetary and Portfolio Balance Models of Exchange Rate Determination ,"
Economics Working Papers
8752, University of California at Berkeley.
Bahmani-Oskooee, Mohsen & Rhee, Hyun-Jae, 1996.
"Time-Series Support for Balassa's Productivity-Bias Hypothesis: Evidence from Korea ,"
Review of International Economics ,
Blackwell Publishing, vol. 4(3), pages 364-70, October.
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.
Mark, Nelson C, 1995.
"Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability ,"
American Economic Review ,
American Economic Association, vol. 85(1), pages 201-18, March.
Reuven Glick & Ramon Moreno, 1994.
"Capital flows and monetary policy in East Asia ,"
Pacific Basin Working Paper Series
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 ,
Elsevier, vol. 19(1), pages 51-78, February.
[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.
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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!]
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, 2003.
"Common Vulnerabilities ,"
CEPR Discussion Papers
3759, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted)
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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