Results 11 to 20 of about 27,054 (194)
The Monetary Model of Exchange Rate Determination for South Africa
EconomiesThe disconnect between the exchange rate and its macroeconomic fundamentals has been extensively discussed in the literature. It nonetheless continues to pose theoretical and empirical challenges in the literature.
Simiso Msomi, Harold Ngalawa
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The failure of the monetary model of exchange rate determination [PDF]
Applied Economics, 2015 In this paper, we test three popular versions of the monetary model (flexible price, forward-looking and real interest differential models) for the OECD member countries by applying Johansen cointegration technique. Based on country-by-country analysis, we conclude that monetary models do not provide the expected results. We reveal several shortcomings
Afat, Dinçer +2 more
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Cross-section dependence and the monetary exchange rate model – A panel analysis [PDF]
The North American Journal of Economics and Finance, 2011 Abstract This paper tackles the issue of cross-section dependence for the monetary exchange rate model in the presence of unobserved common factors using panel data from 1973 until 2007 for 19 OECD countries. Applying a principal component analysis we distinguish between common factors and idiosyncratic components and determine whether non ...
Belke, Ansgar +2 more
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The monetary exchange rate model as a long-run phenomenon [PDF]
Journal of International Economics, 2000 Abstract Pure time series-based tests fail to find empirical support for monetary exchange rate models. In this paper we apply pooled time series estimation on a forward-looking monetary model, resulting in parameter estimates which are in compliance with the underlying theory.
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Long Term Validity of Monetary Exchange Rate Model: Evidence from Turkey [PDF]
Romanian Economic Journal, 2014 In this study, it was analyzed if there is a long term relationship among the nominal exchange rate and monetary fundamentals within the periods of 1998:1-2011:2 in Turkey. This relationship has been analysed by using structural VAR (SVAR) model. Besides,
Ugur Ahmet +2 more
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Dynamic Relationship between RMB Exchange Rate and Interest Rate Based on VAR-DCC-GARCH Model [PDF]
E3S Web of Conferences, 2020 Based on the daily data of Shibor and nominal exchange rate from 2006 to 2019, this paper constructs VAR model and uses Granger causality test and impulse response model to analyze the dynamic relationship between exchange rate and interest rate.
Zhao Xuhang
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Panel cointegration and the monetary exchange rate model [PDF]
Economic Modelling, 2009 This paper re-examines the validity of the monetary exchange rate model during the post-Bretton Woods era for 18 OECD countries. Our analysis simultaneously considers the presence of both cross-sectional dependence and multiple structural breaks, which have not received much attention in previous studies of the monetary model.
Basher, Syed A., Westerlund, Joakim
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Economic Journal of Emerging Markets, 2011 The aim of this research is to analyse the effect of monetary variables on financial sector composite index in Indonesia by using error correction model for 1997:1-2006:4 period.
Florentinus Nugro Hardianto
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THE EXCHANGE RATE DISCONNECT PUZZLE: A Panel Analysis for Developing Countries [PDF]
Pakistan Journal of Applied Economics, 2022 This study tests the validity of the exchange rate disconnect puzzle in developing countries by using the flexible price monetary model and the sticky price monetary model of the exchange rate by employing the static and the panel data estimation ...
Abida YOUSAF, Tahir MUKHTAR
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The response of asset prices to monetary policy shock in Indonesia: A structural VAR approach [PDF]
Banks and Bank Systems, 2022 This paper aims to determine the effect of central bank monetary policy on financial asset prices in Indonesia from 1990 Q1 to 2020 Q4. Furthermore, this study measures the responses of three different asset prices: bond yield, stock price and exchange ...
Indra Suhendra, Cep Jandi Anwar
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