IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v14y2004i16p1181-1185.html
   My bibliography  Save this article

Exchange rate adjustment and output in Greece and Cyprus: evidence from panel data

Author

Listed:
  • Kamal Upadhyaya
  • Franklin Mixon
  • Rabindra Bhandari

Abstract

This paper studies the effect of currency depreciation in Greece and Cyprus using panel data from 1969 to 1998. An empirical model, which includes monetary as well as fiscal variables in addition to exchange rates, is developed. Two versions of this model, one with the real exchange rate and another with the nominal exchange rate and foreign-to-domestic price ratio are estimated. Before estimating the model the time series properties of the data are diagnosed using unit root and cointegration tests. The estimated results suggest that the exchange rate depreciation is expansionary in the short run. In the medium and long run it is neutral to the economy.

Suggested Citation

  • Kamal Upadhyaya & Franklin Mixon & Rabindra Bhandari, 2004. "Exchange rate adjustment and output in Greece and Cyprus: evidence from panel data," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1181-1185.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:16:p:1181-1185
    DOI: 10.1080/0960310042000282058
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/0960310042000282058
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/0960310042000282058?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    References listed on IDEAS

    as
    1. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
    2. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
    3. Krugman, Paul & Taylor, Lance, 1978. "Contractionary effects of devaluation," Journal of International Economics, Elsevier, vol. 8(3), pages 445-456, August.
    4. Engle, Robert & Granger, Clive, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    5. James G. MacKinnon, 1990. "Critical Values for Cointegration Tests," Working Paper 1227, Economics Department, Queen's University.
    6. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    7. Upadhyaya, Kamal P. & Dhakal, Dharmendra & Mixon, Franklin G., 2000. "Exchange Rate Adjustment and Output in Selected Latin American Countries," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 53(1), pages 107-117.
    8. Gylfason, Thorvaldur & Risager, Ole, 1984. "Does devaluation improve the current account?," European Economic Review, Elsevier, vol. 25(1), pages 37-64, June.
    9. Breusch, Trevor S & Wickens, Michael R., 1987. "Dynamic Specification, the Long Run and the Estimation of Transformed Regression Models," CEPR Discussion Papers 154, C.E.P.R. Discussion Papers.
    10. Kamal Upadhyaya & Mukti Upadhyay, 1999. "Output effects of devaluation: Evidence from Asia," Journal of Development Studies, Taylor & Francis Journals, vol. 35(6), pages 89-103.
    11. Thorvaldur Gylfason & Michael Schmid, 1983. "Does Devaluation Cause Stagflation?," Canadian Journal of Economics, Canadian Economics Association, vol. 16(4), pages 641-654, November.
    Full references (including those not matched with items on IDEAS)

    Citations

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


    Cited by:

    1. YUAN, Chunming & CHEN, Ruo, 2015. "Policy transmissions, external imbalances, and their impacts: Cross-country evidence from BRICS," China Economic Review, Elsevier, vol. 33(C), pages 1-24.
    2. Yu Hsing, 2006. "Responses of output in Poland to shocks to the exchange rate, the stock price, and other macroeconomic variables: a VAR model," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 1017-1022.
    3. Hakan Berument & Eray Yucel, 2008. "Effects of USD-Euro parity on a small open economy: evidence from Turkey," Applied Economics, Taylor & Francis Journals, vol. 40(16), pages 2165-2174.
    4. Mashkoor, Asim & Ahmed, Ovais & Herani, Dr. Gobin, 2015. "The relationship between Foreign Currency trading and Economic Development: A case Study of Pakistan," MPRA Paper 64482, University Library of Munich, Germany.
    5. Fouopi Djiogap Constant, 2012. "The CFA Franc Devaluation and Output Growth in the Franc Zone," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 3(1), pages 40-48, January.
    6. Tatiana Evdokimova & Pavel Trunin & Andrei Zubarev, 2013. "The Impact of the Real Ruble Exchange Rate on the Economic Activity in Russia," Research Paper Series, Gaidar Institute for Economic Policy, issue 165P, pages 164-164.
    7. Akbar, Muhammad & Ahmad, Eatzaz, 2021. "Repercussions of exchange rate depreciation on the economy of Pakistan: Simulation analysis using macroeconometric model," Journal of Policy Modeling, Elsevier, vol. 43(3), pages 574-600.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. An, Lian & Kim, Gil & Ren, Xiaomei, 2014. "Is devaluation expansionary or contractionary: Evidence based on vector autoregression with sign restrictions," Journal of Asian Economics, Elsevier, vol. 34(C), pages 27-41.
    2. Donyina-Ameyaw, Samuel, 2004. "A Small Macroeconmetric Model Of Trade And Inflation In Ghana," The Warwick Economics Research Paper Series (TWERPS) 696, University of Warwick, Department of Economics.
    3. Mansor H. Ibrahim, 2007. "Sectoral Effects Of Ringgit Depreciation Shocks," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 32(2), pages 135-156, December.
    4. Tsangyao Chang & WenRong Liu & Steven Caudill, 2004. "A re-examination of Wagner's law for ten countries based on cointegration and error-correction modelling techniques," Applied Financial Economics, Taylor & Francis Journals, vol. 14(8), pages 577-589.
    5. Hasan Bakhshi & Anthony Yates, 1998. "Are UK inflation expectations rational?," Bank of England working papers 81, Bank of England.
    6. K. P. Upadhyaya & F. G. Mixon, 2003. "Merger activity and unemployment in the USA," Applied Economics Letters, Taylor & Francis Journals, vol. 10(11), pages 705-707.
    7. T. Chang & W. Fang & W. Liu & Thompson Henry, 2000. "Exports, Imports and Income in Taiwan: An Examination of the Export Led Growth Hypothesis," International Economic Journal, Taylor & Francis Journals, vol. 14(2), pages 151-160.
    8. Sunday Osaretin Iyare & Troy Lorde, 2004. "Co-integration, causality and Wagner's law: tests for selected Caribbean countries," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 815-825.
    9. Robert Amano & Tony S. Wirjanto, "undated". "A Further Analysis of Exchange Rate Targeting in Canada," Staff Working Papers 94-2, Bank of Canada.
    10. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950-1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy (IfW Kiel).
    11. Robert Amano & Tony S. Wirjanto, "undated". "An Empirical Investigation into Government Spending and Private Sector Behaviour," Staff Working Papers 94-8, Bank of Canada.
    12. Denise Côté & Christopher Graham, 2004. "Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization," Staff Working Papers 04-23, Bank of Canada.
    13. Oscar Bajo-Rubio & M. Dolores Montávez-Garcés, 2002. "Was there Monetary Autonomy in Europe on the eve of EMU? The German Dominance Hypothesis Re-Examined," Journal of Applied Economics, Universidad del CEMA, vol. 5, pages 185-207, November.
    14. Stefka Slavova, 2003. "Money demand during hyperinflation and stabilization: Bulgaria, 1991-2000," Applied Economics, Taylor & Francis Journals, vol. 35(11), pages 1303-1316.
    15. Iris Claus, 1997. "A Measure of Underlying Inflation in the United States," Staff Working Papers 97-20, Bank of Canada.
    16. Jean-François Fillion, 1996. "L'endettement du Canada et ses effets sur les taux d'interet reels de long term," Staff Working Papers 96-14, Bank of Canada.
    17. A. E. Akinlo & A. F. Odusola, 2003. "Assessing the impact of Nigeria's naira depreciation on output and inflation," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 691-703.
    18. David De La Croix & Jean-Pierre Urbain, 1998. "Intertemporal substitution in import demand and habit formation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(6), pages 589-612.
    19. Murray, Christian J. & Nelson, Charles R., 2000. "The uncertain trend in U.S. GDP," Journal of Monetary Economics, Elsevier, vol. 46(1), pages 79-95, August.
    20. Jose Sanchez-fung, 2005. "Estimating a monetary policy reaction function for the dominican republic," International Economic Journal, Taylor & Francis Journals, vol. 19(4), pages 563-577.

    More about this item

    Statistics

    Access and download statistics

    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:taf:apfiec:v:14:y:2004:i:16:p:1181-1185. 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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc 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 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    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.