MONETARY APPROACH TO EXCHANGE RATE DETERMINATION: The Case of Argentina, Brazil, Taiwan and Turkey, 1986-2006
This study evaluates the short-run and long-run performance of the monetary model approach of exchange rate determination for the emerging economies like Argentina, Brazil, Taiwan and Turkey. The study is based on whether there is a cointegration relationship between the nominal exchange rate and the monetary variables such as the money supply, the output, the nominal interest rate and the price differentials. Various estimation techniques are used for testing long-run relationship both for single-country analysis and panel analysis.
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Volume (Year): 9 (2009)
Issue (Month): 2 ()
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References listed on IDEAS
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- Stock, James H & Watson, Mark W, 1993.
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- Kaddour Hadri, 2000.
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- Tom Doan, . "HADRI: RATS procedure to implement Hadri test for unit roots in panel data," Statistical Software Components RTS00084, Boston College Department of Economics.
- Kaddour Hadri, 1999. "Testing For Stationarity In Heterogeneous Panel Data," Research Papers 1999_04, University of Liverpool Management School.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Jeremy Berkowitz & Lorenzo Giorgianni, 1996.
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96-39, Board of Governors of the Federal Reserve System (U.S.).
- 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.
- 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.
- Groen, Jan J. J., 2000. "The monetary exchange rate model as a long-run phenomenon," Journal of International Economics, Elsevier, vol. 52(2), pages 299-319, December.
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