IDEAS home Printed from https://ideas.repec.org/a/ids/gbusec/v10y2008i1p58-67.html
   My bibliography  Save this article

An econometric analysis of Sri Lankan monetary policy shocks and exchange rates

Author

Listed:
  • Albert Wijeweera
  • Brian Dollery

Abstract

A growing empirical literature has sought to determine the effects of monetary policy shocks on exchange rates and other important macroeconomic variables. This paper seeks to add to this literature in the area of emerging markets by using the Vector Auto-Regression (VAR) methodology in an attempt to examine the impacts of monetary policy changes on the exchange rate for Sri Lanka over the period 1950 to 2004. Following Kalyvitis and Michaelides (2001), we employ a five-variable VAR approach that encompasses an output measure, a price indicator, a monetary policy measure, an interest rate yardstick and the exchange rate. Using impulse response functions and analysis of variance decompositions, we find that the Sri Lankan exchange rate follows the pattern suggested by the standard exchange rate model with delayed overshooting. This study further suggests that standard monetary policy is not adequate by itself for controlling the Sri Lankan economy.

Suggested Citation

  • Albert Wijeweera & Brian Dollery, 2008. "An econometric analysis of Sri Lankan monetary policy shocks and exchange rates," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 10(1), pages 58-67.
    • Handle: RePEc:ids:gbusec:v:10:y:2008:i:1:p:58-67
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=16827
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bilesha B. Weeraratne, 2011. "Solving the Forward Discount Bias Puzzle in a Small Open Developing Economy," South Asia Economic Journal, Institute of Policy Studies of Sri Lanka, vol. 12(1), pages 61-89, March.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:gbusec:v:10:y:2008:i:1:p:58-67. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=168 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.