IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!) to save this paper

Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory

Listed author(s):
  • Works, Richard Floyd

Numerous researchers have studied the connection between exchange rate fluctuations and macroeconomic variables for various market economies. Few studies, however, have addressed whether these relationships may differ based on the market classification of the given economy. This study examined the impact on exchange rates for Japan (a proxy for developed economies) and South Korea (a proxy for emerging economies) yielding from the macroeconomic variables of the sticky-price monetary model between February 1, 1989 and February 1, 2015. The results show that money supply and inflation constituted a significant, but small, influence on South Korean exchange rate movements, whereas no macroeconomic variable within the model had a significant impact on Japanese exchange rates fluctuations. The results of the autoregressive error analyses suggest small variances in the affect that macroeconomic variables may have on developed versus emerging market economies. This may provide evidence that firms may use similar forecasting techniques for emerging market currencies as used with developed market currencies.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: https://mpra.ub.uni-muenchen.de/76382/1/MPRA_paper_76382.pdf
File Function: original version
Download Restriction: no

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 76382.

as
in new window

Length:
Date of creation: 31 Dec 2016
Publication status: Published in ProQuest 10242838 (2016): pp. 1-129
Handle: RePEc:pra:mprapa:76382
Contact details of provider: Postal:
Ludwigstraße 33, D-80539 Munich, Germany

Phone: +49-(0)89-2180-2459
Fax: +49-(0)89-2180-992459
Web page: https://mpra.ub.uni-muenchen.de

More information through EDIRC

References listed on IDEAS
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.:

as
in new window


  1. Rose, Andrew K. & Yellen, Janet L., 1989. "Is there a J-curve?," Journal of Monetary Economics, Elsevier, vol. 24(1), pages 53-68, July.
  2. Ethier, Wilfred, 1973. "International Trade and the Forward Exchange Market," American Economic Review, American Economic Association, vol. 63(3), pages 494-503, June.
  3. Kim, Benjamin J. C. & Mo, Soowon, 1995. "Cointegration and the long-run forecast of exchange rates," Economics Letters, Elsevier, vol. 48(3-4), pages 353-359, June.
  4. Joscha Beckmann, 2013. "Nonlinear Exchange Rate Adjustment and the Monetary Model," Review of International Economics, Wiley Blackwell, vol. 21(4), pages 654-670, September.
  5. di Giovanni, Julian & Shambaugh, Jay C., 2008. "The impact of foreign interest rates on the economy: The role of the exchange rate regime," Journal of International Economics, Elsevier, vol. 74(2), pages 341-361, March.
  6. Chang, Pao-Li & Lee, Myoung-Jae, 2011. "The WTO trade effect," Journal of International Economics, Elsevier, vol. 85(1), pages 53-71, September.
  7. Claudia M. Buch & Jörn Kleinert, 2008. "Exchange Rates and FDI: Goods versus Capital Market Frictions," The World Economy, Wiley Blackwell, vol. 31(9), pages 1185-1207, 09.
  8. Fahad Almudhaf, 2014. "Testing for random walk behaviour in CIVETS exchange rates," Applied Economics Letters, Taylor & Francis Journals, vol. 21(1), pages 60-63, January.
  9. Betts, Caroline M. & Kehoe, Timothy J., 2006. "U.S. real exchange rate fluctuations and relative price fluctuations," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1297-1326, October.
  10. Byrne, Joseph P. & Nagayasu, Jun, 2010. "Structural breaks in the real exchange rate and real interest rate relationship," Global Finance Journal, Elsevier, vol. 21(2), pages 138-151.
  11. Cedric Tille & Nicolas Stoffels & Olga Gorbachev, 2001. "To what extent does productivity drive the dollar?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 7(Aug).
  12. Woo, Wing T., 1985. "The monetary approach to exchange rate determination under rational expectations: The dollar-deutschmark rate," Journal of International Economics, Elsevier, vol. 18(1-2), pages 1-16, February.
  13. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521466004, March.
  14. 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.
  15. Maureen Were & Anne W. Kamau & Kethi N. Kisinguh, 2013. "An Empirical Investigation of Exchange Rate Determination in Kenya: Does Current Account Imbalance Play a Role?," Advances in Management and Applied Economics, SCIENPRESS Ltd, vol. 3(2), pages 1-8.
  16. Se-Eun Jeong & Jacques Mazier & Jamel Saadaoui, 2010. "Exchange Rate Misalignments at World and European Levels: a FEER Approach," International Economics, CEPII research center, issue 121, pages 25-58.
  17. Camarero, Mariam, 2008. "The real exchange rate of the dollar for a panel of OECD countries: Balassa-Samuelson or distribution sector effect?," Journal of Comparative Economics, Elsevier, vol. 36(4), pages 620-632, December.
  18. Kia, Amir, 2013. "Determinants of the real exchange rate in a small open economy: Evidence from Canada," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 163-178.
  19. Charles Engel & Kenneth D. West, 2005. "Exchange Rates and Fundamentals," Journal of Political Economy, University of Chicago Press, vol. 113(3), pages 485-517, June.
  20. Dominguez, Kathryn M.E. & Panthaki, Freyan, 2006. "What defines `news' in foreign exchange markets?," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 168-198, February.
  21. Gabriel Porcile & Gilberto Tadeu Lima, 2010. "Real exchange rate and elasticity of labour supply in a balance-of-payments-constrained macrodynamics," Cambridge Journal of Economics, Oxford University Press, vol. 34(6), pages 1019-1039.
  22. Barkoulas, John T. & Baum, Christopher F. & Caglayan, Mustafa, 2002. "Exchange rate effects on the volume and variability of trade flows," Journal of International Money and Finance, Elsevier, vol. 21(4), pages 481-496, August.
  23. Agnès Bénassy-Quéré & Sophie Béreau & Valérie Mignon, 2010. "On the Complementarity of Equilibrium Exchange-Rate Approaches," Review of International Economics, Wiley Blackwell, vol. 18(4), pages 618-632, September.
  24. Engel, Charles, 2000. "Long-run PPP may not hold after all," Journal of International Economics, Elsevier, vol. 51(2), pages 243-273, August.
  25. Saadaoui, Jamel, 2015. "Global imbalances: Should we use fundamental equilibrium exchange rates?," Economic Modelling, Elsevier, vol. 47(C), pages 383-398.
  26. Rafael R. Rebitzky, 2010. "The Influence Of Fundamentals On Exchange Rates: Findings From Analyses Of News Effects," Journal of Economic Surveys, Wiley Blackwell, vol. 24(4), pages 680-704, September.
  27. Clark, Todd E. & West, Kenneth D., 2006. "Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 155-186.
  28. Martin D.D. Evans & Richard K. Lyons, 2004. "A New Micro Model of Exchange Rate Dynamics," NBER Working Papers 10379, National Bureau of Economic Research, Inc.
  29. Colm Kearney & Valerio Potì, 2008. "Have European Stocks become More Volatile? An Empirical Investigation of Idiosyncratic and Market Risk in the Euro Area," European Financial Management, European Financial Management Association, vol. 14(3), pages 419-444.
  30. Aggarwal, Raj & Harper, Joel T., 2010. "Foreign exchange exposure of "domestic" corporations," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1619-1636, December.
  31. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November.
  32. Eswar S. Prasad & Raghuram G. Rajan & Arvind Subramanian, 2007. "Foreign Capital and Economic Growth," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 38(1), pages 153-230.
  33. Yoshiyasu Ono, 2014. "International Economic Interdependence and Exchange-rate Adjustment under Persistent Stagnation," The Japanese Economic Review, Japanese Economic Association, vol. 65(1), pages 70-92, 03.
  34. Savaser, Tanseli, 2011. "Exchange rate response to macronews: Through the lens of microstructure," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(1), pages 107-126, February.
  35. Dan Galai & Zvi Wiener, 2012. "Credit Risk Spreads in Local and Foreign Currencies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(5), pages 883-901, 08.
  36. Imad Moosa & Kelly Burns, 2013. "The monetary model of exchange rates is better than the random walk in out-of-sample forecasting," Applied Economics Letters, Taylor & Francis Journals, vol. 20(14), pages 1293-1297, September.
  37. Charles Engel & Nelson C. Mark & Kenneth D. West, 2008. "Exchange Rate Models Are Not As Bad As You Think," NBER Chapters,in: NBER Macroeconomics Annual 2007, Volume 22, pages 381-441 National Bureau of Economic Research, Inc.
  38. Camelia Oprean, 2012. "Testing the financial market informational efficiency in emerging states," Review of Applied Socio-Economic Research, Pro Global Science Association, vol. 4(2), pages 181-190, Decembre.
  39. Marston, Richard C., 1990. "Pricing to market in Japanese manufacturing," Journal of International Economics, Elsevier, vol. 29(3-4), pages 217-236, November.
  40. Hooper, Peter & Kohlhagen, Steven W., 1978. "The effect of exchange rate uncertainty on the prices and volume of international trade," Journal of International Economics, Elsevier, vol. 8(4), pages 483-511, November.
  41. Suranjali Tandon, 2014. "Trade Balance and the Real Exchange Rate," Foreign Trade Review, , vol. 49(2), pages 117-139, May.
  42. Peter B. Clark, 1973. "Uncertainty, Exchange Risk, And The Level Of International Trade," Economic Inquiry, Western Economic Association International, vol. 11(3), pages 302-313, 09.
  43. Stockman, Alan C, 1980. "A Theory of Exchange Rate Determination," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 673-698, August.
  44. 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.
  45. Sercu, Piet & Uppal, Raman, 2003. "Exchange rate volatility and international trade: A general-equilibrium analysis," European Economic Review, Elsevier, vol. 47(3), pages 429-441, June.
  46. Chien-Chung Nieh & Yu-Shan Wang, 2005. "ARDL Approach to the Exchange Rate Overshooting in Taiwan," Review of Quantitative Finance and Accounting, Springer, vol. 25(1), pages 55-71, August.
  47. Leonard E. Burman & W. Robert Reed & James ALm, 2011. "A Call for Replication Studies," Public Finance Review, , vol. 39(1), pages 190-190, January.
  48. Niyati Bhanja & Arif Billah Dar & Aviral Kumar Tiwari, 2015. "Exchange Rate and Monetary Fundamentals: Long Run Relationship Revisited," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 62(1), pages 33-54, March.
  49. Martín Rapetti & Peter Skott & Arslan Razmi, 2012. "The real exchange rate and economic growth: are developing countries different?," International Review of Applied Economics, Taylor & Francis Journals, vol. 26(6), pages 735-753, April.
  50. Bilson, John F O, 1978. "The Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach," American Economic Review, American Economic Association, vol. 68(2), pages 392-397, May.
  51. David Backus, 1984. "Empirical Models of the Exchange Rate: Separating the Wheat from the Chaff," Canadian Journal of Economics, Canadian Economics Association, vol. 17(4), pages 824-846, November.
  52. Kilian, Lutz & Taylor, Mark P., 2003. "Why is it so difficult to beat the random walk forecast of exchange rates?," Journal of International Economics, Elsevier, vol. 60(1), pages 85-107, May.
  53. Helinä Laakkonen, 2007. "The Impact of Macroeconomic News on Exchange Rate Volatility," Finnish Economic Papers, Finnish Economic Association, vol. 20(1), pages 23-40, Spring.
  54. Gordon M. Bodnar & Bernard Dumas & Richard C. Marston, 2002. "Pass-through and Exposure," Journal of Finance, American Finance Association, vol. 57(1), pages 199-231, 02.
  55. Ito, Takatoshi & Roley, V. Vance, 1987. "News from the U.S. and Japan : Which moves the yen/dollar exchange rate?," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 255-277, March.
  56. Michel Demers, 1991. "Investment under Uncertainty, Irreversibility and the Arrival of Information Over Time," Review of Economic Studies, Oxford University Press, vol. 58(2), pages 333-350.
  57. Edison, Hali J & Klovland, Jan Tore, 1987. "A Quantitative Reassessment of the Purchasing Power Parity Hypothesis: Evidence from Norway and the United Kingdom," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 2(4), pages 309-333, October.
  58. Yang Zhang & Mengling Li & Wai-Mun Chia, 2014. "Foreign interest rate shocks and exchange rate regimes in East Asia," Applied Economics, Taylor & Francis Journals, vol. 46(21), pages 2488-2501, July.
  59. Kenneth Rogoff & Yu-chin Chen, 2002. "Commodity Currencies and Empirical Exchange Rate Puzzles," IMF Working Papers 02/27, International Monetary Fund.
  60. Renu Kohli & Kenneth Kletzer, 2004. "Exchange RAte Dynamics with Financial Repression: A Test of Exchange Rate Models for India," International Finance 0405013, EconWPA.
  61. Ronald Macdonald & Mark P. Taylor, 1992. "Exchange Rate Economics: A Survey," IMF Staff Papers, Palgrave Macmillan, vol. 39(1), pages 1-57, March.
  62. William R. Cline, 2008. "Estimating Consistent Fundamental Equilibrium Exchange Rates," Working Paper Series WP08-6, Peterson Institute for International Economics.
  63. Rigobon, Roberto & Sack, Brian, 2005. "The effects of war risk on US financial markets," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1769-1789, July.
  64. Jesus Crespo-Cuaresma & Jarko Fidrmuc & Ronald MacDonald, 2005. "The monetary approach to exchange rates in the CEECs," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 13(2), pages 395-416, 04.
  65. Irfan Civcir, 2003. "The Monetary Model of the Exchange Rate under High Inflation -The case of the Turkish Lira/US Dollar," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 53(3-4), pages 113-129, March.
  66. Stephan Schulmeister, 2008. "Components of the profitability of technical currency trading," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 917-930.
  67. Huntley Schaller & Fanny Demers & Michel Demers, 1993. "Investments Under Uncertainty and Irreversibility," Carleton Economic Papers 93-10, Carleton University, Department of Economics, revised Sep 1990.
  68. Yu-chin Chen, 2014. "Understanding Exchange Rate Behaviour," International Finance, Wiley Blackwell, vol. 17(2), pages 257-271, 06.
  69. Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-622, September.
  70. Alan M. Taylor & Mark P. Taylor, 2004. "The Purchasing Power Parity Debate," Journal of Economic Perspectives, American Economic Association, vol. 18(4), pages 135-158, Fall.
  71. Chongcheul Cheong & Young‐Jae Kim & Seong‐Min Yoon, 2012. "Can We Predict Exchange Rate Movements at Short Horizons?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 31(7), pages 565-579, November.
  72. Andre O Santos & Jorge A Chan-Lau, 2006. "Currency Mismatches and Corporate Default Risk; Modeling, Measurement, and Surveillance Applications," IMF Working Papers 06/269, International Monetary Fund.
  73. Abuaf, Niso & Jorion, Philippe, 1990. " Purchasing Power Parity in the Long Run," Journal of Finance, American Finance Association, vol. 45(1), pages 157-174, March.
  74. Lyons, Richard K., 1992. "Floating exchange rates in Peru, 1950-1954," Journal of Development Economics, Elsevier, vol. 38(1), pages 99-118, January.
  75. Nicolas A. Cuche & Martin K. Hess, 1999. "Estimating Monthly GDP In A General Kalman Filter Framework: Evidence From Switzerland," Working Papers 99.02, Swiss National Bank, Study Center Gerzensee.
  76. Qiu, Mei & Pinfold, John F. & Rose, Lawrence C., 2011. "Predicting foreign exchange movements using historic deviations from PPP," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 485-497, October.
  77. Christian Schmidt & Udo Broll, 2009. "Real exchange-rate uncertainty and US foreign direct investment: an empirical analysis," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 145(3), pages 513-530, October.
  78. Eric van Wincoop & Philippe Bacchetta, 2000. "Does Exchange-Rate Stability Increase Trade and Welfare?," American Economic Review, American Economic Association, vol. 90(5), pages 1093-1109, December.
  79. Cheung, Yin-Wong & Chinn, Menzie D. & Pascual, Antonio Garcia, 2005. "Empirical exchange rate models of the nineties: Are any fit to survive?," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1150-1175, November.
  80. Young Wook Han, 2010. "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates," International Economic Journal, Taylor & Francis Journals, vol. 24(3), pages 375-396.
  81. John T. Harvey, 2001. "Exchange Rate Theory and "The Fundamentals"," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 24(1), pages 3-15, October.
  82. Clark, Peter B. & MacDonald, Ronald, 2004. "Filtering the BEER: A permanent and transitory decomposition," Global Finance Journal, Elsevier, vol. 15(1), pages 29-56.
  83. Philippe Bacchetta & Eric Van Wincoop, 2006. "Can Information Heterogeneity Explain the Exchange Rate Determination Puzzle?," American Economic Review, American Economic Association, vol. 96(3), pages 552-576, June.
  84. Udo Broll & Bernhard Eckwert, 1999. "Exchange Rate Volatility and International Trade," Southern Economic Journal, Southern Economic Association, vol. 66(1), pages 178-185, July.
  85. Jan J J Groen & Clare Lombardelli, 2004. "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England.
  86. Dani Rodrik, 1994. "Getting Interventions Right: How South Korea and Taiwan Grew Rich," NBER Working Papers 4964, National Bureau of Economic Research, Inc.
  87. Dominguez, Kathryn M.E. & Tesar, Linda L., 2006. "Exchange rate exposure," Journal of International Economics, Elsevier, vol. 68(1), pages 188-218, January.
  88. Dornbusch, Rudiger & Fischer, Stanley, 1980. "Exchange Rates and the Current Account," American Economic Review, American Economic Association, vol. 70(5), pages 960-971, December.
  89. John Williamson, 1994. "Estimating Equilibrium Exchange Rates," Peterson Institute Press: All Books, Peterson Institute for International Economics, number 17, November.
  90. Juha Tervala, 2012. "Money Supply Rules and Exchange Rate Dynamics," International Economic Journal, Taylor & Francis Journals, vol. 26(4), pages 547-565, January.
  91. Oleh Havrylyshyn & Christian H Beddies, 2003. "Dollarisation in the Former Soviet Union: from Hysteria to Hysteresis," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 45(3), pages 329-357, September.
  92. Tsangyao Chang & Kuei-Chiu Lee & Yang-Cheng Ralph Lu & Guochen Pan, 2011. "Revisiting purchasing power parity for G-7 countries using nonparametric rank test for cointegration," Applied Economics Letters, Taylor & Francis Journals, vol. 18(18), pages 1795-1800, December.
  93. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  94. MacDonald, Ronald & Taylor, Mark P., 1994. "The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk," Journal of International Money and Finance, Elsevier, vol. 13(3), pages 276-290, June.
  95. Shakill Hassan & Félix Simione, 2013. "Exchange Rate Determination Under Monetary Policy Rules In A Financially Underdeveloped Economy: A Simple Model And Application To Mozambique," Journal of International Development, John Wiley & Sons, Ltd., vol. 25(4), pages 502-519, 05.
  96. 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.
  97. Mark, Nelson C. & Sul, Donggyu, 2001. "Nominal exchange rates and monetary fundamentals: Evidence from a small post-Bretton woods panel," Journal of International Economics, Elsevier, vol. 53(1), pages 29-52, February.
  98. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
  99. Edwards, Sebastian, 1983. "Floating Exchange Rates in Less-Developed Countries: A Monetary Analysis of the Peruvian Experience, 1950-54," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 15(1), pages 73-81, February.
  100. Solnik, Bruno, 1987. " Using Financial Prices to Test Exchange Rate Models: A Note," Journal of Finance, American Finance Association, vol. 42(1), pages 141-149, March.
  101. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
  102. La Cour, Lisbeth & MacDonald, Ronald, 2000. "Modeling the ECU against the U.S. Dollar: A Structural Monetary Interpretation," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(4), pages 436-450, October.
  103. Emre Ozsoz & Mustapha Akinkunmi, 2012. "Real exchange rate assessment for Nigeria: an evaluation of determinants, strategies for identification and correction of misalignments," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 36(1), pages 104-123, 03.
  104. Carlos Moslares & E. M. Ekanayake, 2015. "The Impact Of Exchange Rate Volatility On Commodity Trade Between The United States And Spain," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(4), pages 37-49.
  105. Venus Khim-Sen Liew & Ahmad Zubaidi Baharumshah & Chin-Hong Puah, 2009. "Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions," Global Economic Review, Taylor & Francis Journals, vol. 38(4), pages 385-395.
  106. Paul De Grauwe, 1988. "Exchange Rate Variability and the Slowdown in Growth of International Trade," IMF Staff Papers, Palgrave Macmillan, vol. 35(1), pages 63-84, March.
  107. Chen, Yu-chin & Rogoff, Kenneth, 2003. "Commodity currencies," Journal of International Economics, Elsevier, vol. 60(1), pages 133-160, May.
  108. Tatsuma Wada, 2012. "The Real Exchange Rate And Real Interest Differentials: The Role Of The Trend-Cycle Decomposition," Economic Inquiry, Western Economic Association International, vol. 50(4), pages 968-987, October.
  109. Hamid Faruqee, 1995. "Long-Run Determinants of the Real Exchange Rate: A Stock-Flow Perspective," IMF Staff Papers, Palgrave Macmillan, vol. 42(1), pages 80-107, March.
  110. Huber Florian, 2016. "Forecasting exchange rates using multivariate threshold models," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 193-210, January.
  111. Demirhan, Dilek & Gacener Atis, Aydanur, 2013. "A Research on the Exchange Rate Exposure of Firms Listed in Borsa Istanbul," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 4(4), pages 1-25, October.
  112. Idil Uz & Natalya Ketenci, 2010. "Exchange rate determination: monetary approach in the new EU members and Turkey," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 963-967.
  113. Peree, Eric & Steinherr, Alfred, 1989. "Exchange rate uncertainty and foreign trade," European Economic Review, Elsevier, vol. 33(6), pages 1241-1264, July.
  114. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 39(3), pages 106-135.
  115. Baron, David P, 1976. "Fluctuating Exchange Rates and the Pricing of Exports," Economic Inquiry, Western Economic Association International, vol. 14(3), pages 425-438, September.
  116. Rebecca L Driver & Peter F Westaway, 2005. "Concepts of equilibrium exchange rates," Bank of England working papers 248, Bank of England.
  117. Jerome L. Stein & Giovanna Paladino, 1999. "Exchange Rate Misalignments and Crises," CESifo Working Paper Series 205, CESifo Group Munich.
  118. repec:hal:journl:hal-00634789 is not listed on IDEAS
  119. Dallas S. Batten & Daniel L. Thornton, 1985. "The discount rate, interest rates and foreign exchange rates: an analysis with daily data," Review, Federal Reserve Bank of St. Louis, issue Feb, pages 22-30.
  120. Blankenau, William & Ayhan Kose, M. & Yi, Kei-Mu, 2001. "Can world real interest rates explain business cycles in a small open economy?," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 867-889, June.
  121. Bela Balassa, 1964. "The Purchasing-Power Parity Doctrine: A Reappraisal," Journal of Political Economy, University of Chicago Press, vol. 72, pages 584-584.
  122. Andrew B. Bernard & J. Bradford Jensen, 2004. "Why Some Firms Export," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 561-569, May.
  123. Simone Cuiabano & Jose Divino, 2010. "Exchange Rate Determination: An Application of a Monetary Model for Brazil," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 16(4), pages 345-357, November.
  124. OPREAN Camelia & BRATIAN Vasile, 2012. "Financial Market Tests Of Informational Efficiency: The Case Of Emergent Markets," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 65(6), pages 57-82.
  125. Carton, Benjamin & Hervé, Karine, 2012. "Estimation of consistent multi-country FEERs," Economic Modelling, Elsevier, vol. 29(4), pages 1205-1214.
  126. Leonardo Bartolini & Linda S. Goldberg & Adam Sacarny, 2008. "How economic news moves markets," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 14(Aug).
  127. Sercu, Piet & Vanhulle, Cynthia, 1992. "Exchange rate volatility, international trade, and the value of exporting firms," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 155-182, February.
  128. Kefei You & Nicholas Sarantis, 2011. "Structural Breaks and the Equilibrium Chinese Yuan/US Dollar Real Exchange Rate: A FEER Approach," Review of International Economics, Wiley Blackwell, vol. 19(5), pages 791-808, November.
  129. Mark, Nelson C., 1990. "Real and nominal exchange rates in the long run: An empirical investigation," Journal of International Economics, Elsevier, vol. 28(1-2), pages 115-136, February.
  130. Russ, Katheryn Niles, 2007. "The endogeneity of the exchange rate as a determinant of FDI: A model of entry and multinational firms," Journal of International Economics, Elsevier, vol. 71(2), pages 344-372, April.
  131. Bodnar, Gordon M. & Gentry, William M., 1993. "Exchange rate exposure and industry characteristics: evidence from Canada, Japan, and the USA," Journal of International Money and Finance, Elsevier, vol. 12(1), pages 29-45, February.
  132. Junttila, Juha & Korhonen, Marko, 2012. "The role of inflation regime in the exchange rate pass-through to import prices," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 88-96.
  133. Yin, Weiwei & Li, Junye, 2014. "Macroeconomic fundamentals and the exchange rate dynamics: A no-arbitrage macro-finance approach," Journal of International Money and Finance, Elsevier, vol. 41(C), pages 46-64.
  134. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
  135. Mekbib Gebretsadik Haile & Geoff Pugh, 2013. "Does exchange rate volatility discourage international trade? A meta-regression analysis," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 22(3), pages 321-350, April.
  136. Gil Kim & Lian An & Yoonbai Kim, 2015. "Exchange Rate, Capital Flow and Output: Developed versus Developing Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 43(2), pages 195-207, June.
  137. Rose, Andrew K., 1991. "The role of exchange rates in a popular model of international trade : Does the 'Marshall-Lerner' condition hold?," Journal of International Economics, Elsevier, vol. 30(3-4), pages 301-316, May.
  138. Kanas, Angelos, 2005. "Regime linkages in the US/UK real exchange rate-real interest differential relation," Journal of International Money and Finance, Elsevier, vol. 24(2), pages 257-274, March.
  139. Alexander, Don & Thomas, Lee III, 1987. "Monetary/asset models of exchange rate determination : How well have they performed in the 1980's?," International Journal of Forecasting, Elsevier, vol. 3(1), pages 53-64.
  140. Jaewoo Lee & Man-Keung Tang, 2007. "Does Productivity Growth Appreciate the Real Exchange Rate?," Review of International Economics, Wiley Blackwell, vol. 15(1), pages 164-187, February.
  141. Fair, Ray C., 2003. "Shock effects on stocks, bonds, and exchange rates," Journal of International Money and Finance, Elsevier, vol. 22(3), pages 307-341, June.
  142. H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
  143. Fry, Maxwell J, 1976. "A Monetary Approach to Afghanistan's Flexible Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 8(2), pages 219-225, May.
  144. Meese, Richard A & Rogoff, Kenneth, 1988. " Was It Real? The Exchange Rate-Interest Differential Relation over the Modern Floating-Rate Period," Journal of Finance, American Finance Association, vol. 43(4), pages 933-948, September.
  145. Lilia Cavallari & Stefano D'Addona, 2013. "Business cycle determinants of US foreign direct investments," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 966-970, July.
  146. Wright, Allan S & Craigwell, Roland C & RamjeeSingh, Diaram, 2011. "Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach," MPRA Paper 33436, University Library of Munich, Germany.
  147. Tsangyao Chang & Chia-hao Lee & Pei-I Chou, 2011. "Purchasing power parity in G-7 countries: Further evidence based on ADL test for threshold cointegration," Economics Bulletin, AccessEcon, vol. 31(2), pages 1172-1182.
  148. Marek A. Dąbrowski & Monika Papież & Sławomir Śmiech, 2015. "Causal relations between nominal exchange rates and monetary fundamentals in Central and Eastern European countries," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 23(1), pages 45-73, 01.
  149. Yanos Zylberberg, 2010. "Natural natural disasters and economic disruption," PSE Working Papers halshs-00564946, HAL.
  150. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Vega, Clara, 2007. "Real-time price discovery in global stock, bond and foreign exchange markets," Journal of International Economics, Elsevier, vol. 73(2), pages 251-277, November.
  151. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
  152. Michael L. Mussa, 1984. "The Theory of Exchange Rate Determination," NBER Chapters,in: Exchange Rate Theory and Practice, pages 13-78 National Bureau of Economic Research, Inc.
  153. H. D. Vinod & B. D. McCullough, 1999. "Corrigenda: The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(4), pages 1565-1565, December.
  154. Roberts, Mark J & Tybout, James R, 1997. "The Decision to Export in Colombia: An Empirical Model of Entry with Sunk Costs," American Economic Review, American Economic Association, vol. 87(4), pages 545-564, September.
  155. Chinn, Menzie D, 1999. "On the Won and Other East Asian Currencies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(2), pages 113-127, April.
  156. Magnus Andersson & Lars Jul Overby & Szabolcs Sebestyén, 2009. "Which News Moves the Euro Area Bond Market?," German Economic Review, Verein für Socialpolitik, vol. 10, pages 1-31, February.
  157. D. Hauner & J. Lee & H. Takizawa, 2014. "In which exchange rate models do forecasters trust?," Applied Economics Letters, Taylor & Francis Journals, vol. 21(18), pages 1302-1308, December.
  158. Andrew Bernard & Joachim Wagner, 2001. "Export entry and exit by German firms," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 137(1), pages 105-123, March.
  159. Müller-Plantenberg, Nikolas A., 2010. "Balance of payments accounting and exchange rate dynamics," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 46-63, January.
  160. Reza Y. Siregar & Choo Lay Har, 2001. "Economic Fundamentals and Managed Floating Exchange Rate Regime in Singapore," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 26(1), pages 133-148, June.
  161. Isard,Peter, 1995. "Exchange Rate Economics," Cambridge Books, Cambridge University Press, number 9780521460477, March.
  162. Chang, Ming-Jen & Su, Che-Yi, 2014. "The dynamic relationship between exchange rates and macroeconomic fundamentals: Evidence from Pacific Rim countries," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 30(C), pages 220-246.
  163. Molodtsova, Tanya & Papell, David H., 2009. "Out-of-sample exchange rate predictability with Taylor rule fundamentals," Journal of International Economics, Elsevier, vol. 77(2), pages 167-180, April.
  164. Lee Chin & M. Azali & K. G. Matthews, 2007. "The monetary approach to exchange rate determination for Malaysia," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(2), pages 91-94.
  165. Griffin, John M & Stulz, Rene M, 2001. "International Competition and Exchange Rate Shocks: A Cross-Country Industry Analysis of Stock Returns," Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 215-241.
  166. Ronald Macdonald & Mark P. Taylor, 1993. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium, and Forecasting," IMF Staff Papers, Palgrave Macmillan, vol. 40(1), pages 89-107, March.
  167. James Mitchell & Richard J. Smith & Martin R. Weale & Stephen Wright & Eduardo L. Salazar, 2005. "An Indicator of Monthly GDP and an Early Estimate of Quarterly GDP Growth," Economic Journal, Royal Economic Society, vol. 115(501), pages 108-129, 02.
  168. Tsangyao Chang & Hsu-Ling Chang & Ken Hung & Chi-Wei Su, 2012. "Nonlinear adjustment to purchasing power parity for Germany's real exchange rate relative to its major trading partners," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 197-202, February.
  169. Dong, Wei & Nam, Deokwoo, 2013. "Exchange rates and individual good's price misalignment: Evidence of long-horizon predictability," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 611-636.
  170. Su, Chi-Wei & Tsangyao, Chang & Chang, Hsu-Ling, 2011. "Purchasing power parity for fifteen Latin American countries: Stationary test with a Fourier function," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 839-845, October.
  171. Mendoza, Enrique G, 1991. "Real Business Cycles in a Small Open Economy," American Economic Review, American Economic Association, vol. 81(4), pages 797-818, September.
  172. Ronald MacDonald, 1997. "What Determines Real Exchange Rates? The Long and Short of it," IMF Working Papers 97/21, International Monetary Fund.
  173. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October.
  174. Emma M. Iglesias, 2012. "An analysis of extreme movements of exchange rates of the main currencies traded in the Foreign Exchange market," Applied Economics, Taylor & Francis Journals, vol. 44(35), pages 4631-4637, December.
  175. NWIDOBIE, Barine Michael, 2014. "The Random Walk Theory: An Empirical Test in the Nigerian Capital Market," Asian Economic and Financial Review, Asian Economic and Social Society, vol. 4(12), pages 1840-1848, December.
  176. Jerome L. Stein & Giovanna Paladino, 1998. "Exchange Rate Misalignments and Crises," Working Papers 98-7, Brown University, Department of Economics.
  177. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-218, March.
  178. Agyei-Ampomah, Sam & Mazouz, Khelifa & Yin, Shuxing, 2013. "The foreign exchange exposure of UK non-financial firms: A comparison of market-based methodologies," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 251-260.
  179. Franke, Gunter, 1991. "Exchange rate volatility and international trading strategy," Journal of International Money and Finance, Elsevier, vol. 10(2), pages 292-307, June.
  180. Choudhry, Taufiq & Lawler, Phillip, 1997. "The Monetary Model of Exchange Rates: Evidence from the Canadian Float of the 1950s," Journal of Macroeconomics, Elsevier, vol. 19(2), pages 349-362, April.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:76382. 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: (Joachim Winter)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.