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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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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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Monetary Model of Exchange Rate for Thailand: Long-run Relationship and Monetary Restrictions [PDF]
Global Economic Review, 2009 This paper examines the long-run relationship between exchange rate and its determinants based on the flexible-price monetary model. The multivariate cointegration approach is adopted to attain our objective of this study. The empirical results provide evidence favoring the monetary approach to exchange rate for a small and open emerging economy ...
Liew, Venus Khim Sen +2 more
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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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Monetary models of exchange rates and sweep programs [PDF]
Applied Financial Economics, 2009 Numerous studies find that monetary models of exchange rates cannot beat a random walk model. Such a finding, however, is not surprising given that such models are built upon money demand functions and traditional money demand functions appear to have broken down in many developed countries.
Rakesh K. Bissoondeeal +2 more
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Monetary Policy, Model Uncertainty and Exchange Rate Volatility [PDF]
SSRN Electronic Journal, 2010 This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard present value exchange rate models. Agents are uncertain about the true data generating model and deal with the model uncertainty by making inference on the models and their parameters - a mechanism I call model learning. I show how model
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Rethinking the exchange rate disconnect puzzle theory in ASEAN-6
Economic Journal of Emerging Markets, 2017 The theory of the exchange rate disconnect puzzle provides evidence of the instability of exchange rate relationship with macroeconomic fundamentals.
Adhitya Wardhono +2 more
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Nexus of Gold Price-Exchange rate-interest rate-Oil Price: Lessons for Monetary Policy in Pakistan
NUML International Journal of Business & Management, 2021 This study aims to evaluate the links among gold price, oil price, exchange rate and interest rate in Pakistan. All these channels are interconnected and have impact on monetary policy of the country.
Muhammad Akbar +2 more
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Exchange Market Pressure and Monetary Policy: The Turkish Case
Ekonomika, 2020 The purpose of this study is to determine the relationship between monetary policy and the exchange market pressure index in Turkey for the 2002–2018 period with monthly data.
Ilyas Siklar, Aysegul Akca
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