Monetary exchange rate model: supportive evidence from nonlinear testing procedures
AbstractUsing 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 7293.
Date of creation: 2008
Date of revision:
monetary model; exchange rate; nonlinear; unit root test; linearity test; STAR model;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- 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 Economy Macroeconomics)
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