Monetary exchange rate model: supportive evidence from nonlinear testing procedures

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Monetary exchange rate model: supportive evidence from nonlinear testing procedures

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Liew , Venus Khim-Sen
Baharumshah, Ahmad Zubaidi
Habibullah, Muzafar Shah
Midi, Habshah

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Abstract

Using nonlinear testing procedures relevant to the recent literature, this study provides evidence of nonlinear adjustment of nominal exchange rate towards monetary fundamentals in the context of ASEAN-5 countries. While it supports earlier findings supportive of monetary exchange rate model in this region using the linear testing procedures, this study provides insightful information in explaining why persistent misalignments between nominal exchange rate and monetary fundamentals are often observed in the sample data.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 7293.

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Date of creation: 2008
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Handle: RePEc:pra:mprapa:7293

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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
F31 - International Economics - - International Finance - - - Foreign Exchange

This paper has been announced in the following NEP Reports:

NEP-ALL-2008-03-01 (All new papers)
NEP-CBA-2008-03-01 (Central Banking)
NEP-IFN-2008-03-01 (International Finance)
NEP-MON-2008-03-01 (Monetary Economics)
NEP-OPM-2008-03-01 (Open MacroEconomics)

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