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Nominal effective exchange rate neutrality: the case of Macedonia

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  • Josheski, Dushko
  • Lazarov, Darko

Abstract

This paper uses quarterly data on Macedonian nominal effective exchange rate for the time period 1992 to 2009 along with six other variables to investigate the nominal effective exchange rate neutrality. SVAR and Impulse response functions had been used to prove the hypothesis. Empirical evidence in this paper supports the nominal exchange rate neutrality in the case of Macedonia.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 37994.

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Date of creation: 10 Apr 2012
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Handle: RePEc:pra:mprapa:37994

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Keywords: NEER; SVAR; Impulse response functions;

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  1. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
  2. Geweke, John F, 1986. "The Superneutrality of Money in the United States: An Interpretation of the Evidence," Econometrica, Econometric Society, Econometric Society, vol. 54(1), pages 1-21, January.
  3. Caporale, Guglielmo Maria & Pittis, Nikitas, 1995. "Nominal exchange rate regimes and the stochastic behavior of real variables," Journal of International Money and Finance, Elsevier, Elsevier, vol. 14(3), pages 395-415, June.
  4. Lucas, Robert Jr., 1972. "Expectations and the neutrality of money," Journal of Economic Theory, Elsevier, Elsevier, vol. 4(2), pages 103-124, April.
  5. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, American Economic Association, vol. 83(3), pages 402-15, June.
  6. Baxter, Marianne & Stockman, Alan C., 1989. "Business cycles and the exchange-rate regime : Some international evidence," Journal of Monetary Economics, Elsevier, Elsevier, vol. 23(3), pages 377-400, May.
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