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Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen

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Author Info
Liew, Venus Khim-Sen

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Abstract

This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung’s (2001) nonlinear cointegration testing procedures. The existence of such relationship is probably resulted from the strong and consistent bilateral trade relationship between the Philippines and Japan. Results from various monetary restrictions tests suggest that other forms of the related monetary model are not suitable in the determination of the peso-yen exchange rate.

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File URL: http://mpra.ub.uni-muenchen.de/15550/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 15550.

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Date of creation: 2009
Date of revision: 05 Jun 2009
Handle: RePEc:pra:mprapa:15550

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Related research
Keywords: Exchange Rate; Monetary Model; Nonlinear; Cointegration; the Philippines;

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Find related papers by JEL classification:
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
F31 - International Economics - - International Finance - - - Foreign Exchange

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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.:
  1. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshahb & Evan Laub, 2004. "Nonlinear Adjustment towards Purchasing Power Parity in ASEAN Exchange Rates," Icfai University Journal of Applied Economics, Icfai Press, vol. 0(6), pages 7-18, November.
  2. MacDonald, Ronald & Taylor, Mark P., 1991. "The monetary approach to the exchange rate : Long-run relationships and coefficient restrictions," Economics Letters, Elsevier, vol. 37(2), pages 179-185, October. [Downloadable!] (restricted)
  3. 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)
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  4. Miyakoshi, Tatsuyoshi, 2000. "The Monetary Approach to the Exchange Rate: Empirical Observations from Korea," Applied Economics Letters, Taylor and Francis Journals, vol. 7(12), pages 791-94, December. [Downloadable!] (restricted)
  5. Breitung, Jorg, 2001. "Rank Tests for Nonlinear Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(3), pages 331-40, July.
  6. Dutt, Swarna D & Ghosh, Dipak, 2000. "An Empirical Note on the Monetary Exchange Rate Model," Applied Economics Letters, Taylor and Francis Journals, vol. 7(10), pages 669-71, October. [Downloadable!] (restricted)
  7. Lee Chin & M. Azali & Zulkornain Yusop & Mohammed Yusoff, 2007. "The monetary model of exchange rate: evidence from The Philippines," Applied Economics Letters, Taylor and Francis Journals, vol. 14(13), pages 993-997. [Downloadable!] (restricted)
  8. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  9. Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 1998. "The Monetary Approach to the Exchange Rate: Long-Run Relationships, Identification and Temporal Stability," Journal of Macroeconomics, Elsevier, vol. 20(4), pages 741-766, October. [Downloadable!] (restricted)
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  10. Dara LONG & Sovannroeun SAMRETH, 2008. "The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach," Economics Bulletin, Economics Bulletin, vol. 6(31), pages 1-13. [Downloadable!]
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  11. Venus Khim-Sen Liew & Hock-Ann Lee & Kian-Ping Lim, 2009. "Purchasing power parity in Asian economies: further evidence from rank tests for cointegration," Applied Economics Letters, Taylor and Francis Journals, vol. 16(1), pages 51-54. [Downloadable!] (restricted)
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  12. Venus Khim-Sen Liew, 2004. "Which Lag Length Selection Criteria Should We Employ?," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-9. [Downloadable!]
  13. Rapach, David E. & Wohar, Mark E., 2002. "Testing the monetary model of exchange rate determination: new evidence from a century of data," Journal of International Economics, Elsevier, vol. 58(2), pages 359-385, December. [Downloadable!] (restricted)
  14. Johansen, Soren, 1992. "Determination of Cointegration Rank in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 383-97, August.
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(explanations, 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.)

  1. Liew, Venus Khim-Sen & Baharumshah, Ahmad Zubaidi & Puah, Chin-Hong, 2009. "Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions," MPRA Paper 17715, University Library of Munich, Germany. [Downloadable!]
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This page was last updated on 2009-11-28.

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