Exchange rate determination and structural changes in response to monetary policies
Purpose – The purpose of this article is to analyse methods for determination of exchange rates in response to fundamental economic variables and changes in monetary policies. Design/methodology/approach – The paper undertakes empirical examination of exchange rate movements and their structural changes in response to changes in macroeconomic variables and monetary policies in the USA, the Euro area, and Japan. Findings – Exchange rates have been influenced by macroeconomic fundamentals and have been impacted by the conduct of monetary policies in some cases. Some structural changes in exchange rates have coincided with implementation of drastic monetary policies but not in others. The Japanese quantitative easing policy has had an effect on exchange rates. Originality/value – Monetary policy has been often examined; however, few studies have examined the response of exchange rate movements to monetary policies. Moreover, structural changes in exchange rates are examined in comparison with domestic monetary policies in the USA, the Euro Area, and Japan. JEL classification: E44, E52, F31
Volume (Year): 29 (2012)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.emeraldinsight.com|
|Order Information:|| Postal: Emerald Group Publishing, Howard House, Wagon Lane, Bingley, BD16 1WA, UK|
Web: http://emeraldgrouppublishing.com/products/journals/journals.htm?id=sef Email:
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.:
- Mehrotra, Aaron & Sánchez-Fung, José R., 2010.
"China’s monetary policy and the exchange rate,"
BOFIT Discussion Papers
10/2010, Bank of Finland, Institute for Economies in Transition.
- Nikolaos Giannellis & Minoas Koukouritakis, 2011.
"Behavioural equilibrium exchange rate and total misalignment: evidence from the euro exchange rate,"
Springer, vol. 38(4), pages 555-578, November.
- Minoas Koukouritakis & Nikolaos Giannellis, . "Behavioural Equilibrium Exchange Rate and Total Misalignment: Evidence from the Euro Exchange Rate," Working Papers 0901, University of Crete, Department of Economics.
- Uz, Idil & Ketenci, Natalya, 2008. "Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey," Emerging Markets Review, Elsevier, vol. 9(1), pages 57-69, March.
- Paul De Grauwe & Isabel Vansteenkiste, 2001.
"Exchange Rates and fundamentals - a Non-Linear Relationship?,"
CESifo Working Paper Series
577, CESifo Group Munich.
- Paul De Grauwe & Isabel Vansteenkiste, 2007. "Exchange rates and fundamentals: a non-linear relationship?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(1), pages 37-54.
- P. de Grauwe & I. Vansteenkiste, 2003. "Exchange Rates and Fundamentals a Non-Linear Relationship?," DNB Staff Reports (discontinued) 78, Netherlands Central Bank.
- Rosa, Carlo, 2011. "The high-frequency response of exchange rates to monetary policy actions and statements," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 478-489, February.
- Gertler, Mark & Karadi, Peter, 2011. "A model of unconventional monetary policy," Journal of Monetary Economics, Elsevier, vol. 58(1), pages 17-34, January.
- Goldberg, Michael D & Frydman, Roman, 1996. "Imperfect Knowledge and Behaviour in the Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 106(437), pages 869-93, July.
- Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
- Bacchetta, Philippe & van Wincoop, Eric, 2009.
"On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals,"
CEPR Discussion Papers
7309, C.E.P.R. Discussion Papers.
- Bacchetta, Philippe & van Wincoop, Eric, 2013. "On the unstable relationship between exchange rates and macroeconomic fundamentals," Journal of International Economics, Elsevier, vol. 91(1), pages 18-26.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," NBER Working Papers 15008, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2009. "On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Working Papers 272009, Hong Kong Institute for Monetary Research.
- Thomas Gehrig & Lukas Menkhoff, 2006. "Extended evidence on the use of technical analysis in foreign exchange," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 327-338.
- Takeshi Hoshikawa, 2012. "Regime shift of Japanese foreign exchange policy: some findings," Applied Economics Letters, Taylor & Francis Journals, vol. 19(1), pages 25-28, January.
- Lucio Sarno & Giorgio Valente & Mark E. Wohar, 2004.
"Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes,"
Western Economic Association International, vol. 42(2), pages 179-193, April.
- Sarno, Lucio & Wohar, Mark, 2003. "Monetary Fundamentals and Exchange Rate Dynamics Under Different Nominal Regimes," Computing in Economics and Finance 2003 310, Society for Computational Economics.
- Sarno, Lucio & Valente, Giorgio & Wohar, Mark E, 2003. "Monetary Fundamentals and Exchange Rate Dynamics under Different Nominal Regimes," CEPR Discussion Papers 3983, C.E.P.R. Discussion Papers.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
- Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011. "The dollar-euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 147(1), pages 11-40, April.
- Philippe Bacchetta & Eric van Wincoop, 2009. "Tacit On the Unstable Relationship between Exchange Rates and Macroeconomic Fundamentals," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 09.07, Université de Lausanne, Faculté des HEC, DEEP.
- Yutaka Kurihara, 2011. "Effects of foreign reserve stock in Asian countries," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 13(1), pages 84-92.
When requesting a correction, please mention this item's handle: RePEc:eme:sefpps:v:29:y:2012:i:3:p:187-196. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Louise Lister)
If references are entirely missing, you can add them using this form.