Tests of different monetary aggregates for the monetary models of the exchange rate in five ASEAN countries
Author
Abstract
Suggested Citation
DOI: 10.1080/00036840902845517
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Goh, Soo Khoon & Mithani, Dawood, 2000. "Deviation from Purchasing Power Parity: Evidence from Malaysia, 1973–1997," MPRA Paper 51922, University Library of Munich, Germany.
- Wu, Jyh-Lin & Chen, Show-Lin, 2001. "Nominal exchange-rate prediction: evidence from a nonlinear approach," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 521-532, August.
- Ronald MacDonald & Mark P. Taylor (ed.), 1991. "Exchange Rate Economics," Books, Edward Elgar Publishing, volume 0, number 569.
- Belongia, Michael T & Chalfant, James A, 1989.
"The Changing Empirical Definition of Money: Some Estimates from a Model of the Demand for Money Substitutes,"
Journal of Political Economy, University of Chicago Press, vol. 97(2), pages 387-397, April.
- Michael T. Belongia & James A. Chalfant, 1986. "The changing empirical definition of money: some estimates from a model of the demand for money substitutes," Working Papers 1986-006, Federal Reserve Bank of St. Louis.
- Belongia, Michael T. & Chalfant, James A., 1986. "The Changing Empirical Definition of Money: Some Estimates From a Model of the Demand for Money Substitutes," CUDARE Working Papers 198355, University of California, Berkeley, Department of Agricultural and Resource Economics.
- 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.
- Kilian, Lutz & Taylor, Mark P., 2001. "Why is it so difficult to beat the random walk forecast of exchange rates?," Working Paper Series 88, European Central Bank.
- Lutz Kilian & Mark P. Taylor, 2001. "Why Is It So Difficult to Beat the Random Walk Forecast of Exchange Rates?," Working Papers 464, Research Seminar in International Economics, University of Michigan.
- Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers 01-031/4, Tinbergen Institute.
- Taylor, Mark & Kilian, Lutz, 2001. "Why is it so Difficult to Beat the Random Walk Forecast of Exchange Rates?," CEPR Discussion Papers 3024, C.E.P.R. Discussion Papers.
- William A. Barnett, 2000.
"Economic Monetary Aggregates: An Application of Index Number and Aggregation Theory,"
Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 11-48,
Emerald Group Publishing Limited.
- Barnett, William A., 1980. "Economic monetary aggregates an application of index number and aggregation theory," Journal of Econometrics, Elsevier, vol. 14(1), pages 11-48, September.
- Harald Reinton & Steven Ongena, 1999. "Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 545-550.
- Belongia, Michael T & Chrystal, K Alec, 1991.
"An Admissible Monetary Aggregate for the United Kingdom,"
The Review of Economics and Statistics, MIT Press, vol. 73(3), pages 497-503, August.
- Michael T. Belongia & K. Alec Chrystal, 1989. "An admissible monetary aggregate for the United Kingdom," Working Papers 1989-007, Federal Reserve Bank of St. Louis.
- MD. Chinn, 2000. "Three measures of East Asian currency evaluation," Contemporary Economic Policy, Western Economic Association International, vol. 18(2), pages 205-214, April.
- Husted, Steven & MacDonald, Ronald, 1999. "The Asian currency crash: were badly driven fundamentals to blame?," Journal of Asian Economics, Elsevier, vol. 10(4), pages 537-550.
- Dekle, Robert & Pradhan, Mahmood, 1999. "Financial Liberalization and Money Demand in the ASEAN Countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 4(3), pages 205-215, July.
- Azali, M. & Habibullah, M. S. & Baharumshah, A. Z., 2001. "Does PPP hold between Asian and Japanese economies? Evidence using panel unit root and panel cointegration," Japan and the World Economy, Elsevier, vol. 13(1), pages 35-50, January.
- Sarno,Lucio & Taylor,Mark P., 2003.
"The Economics of Exchange Rates,"
Cambridge Books,
Cambridge University Press, number 9780521485845, January.
- Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
- Eu Chye Tan, 1997. "Money demand amid financial sector developments in Malaysia," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1201-1215.
- William A. Barnett & Edward K. Offenbacher & Paul A. Spindt, 2000.
"The New Divisia Monetary Aggregates,"
Contributions to Economic Analysis, in: The Theory of Monetary Aggregation, pages 360-388,
Emerald Group Publishing Limited.
- Barnett, William A & Offenbacher, Edward K & Spindt, Paul A, 1984. "The New Divisia Monetary Aggregates," Journal of Political Economy, University of Chicago Press, vol. 92(6), pages 1049-1085, December.
- Lee Chin & M. Azali & Zulkornain Yusop & Mohammed Yusoff, 2007.
"The monetary model of exchange rate: evidence from The Philippines,"
Applied Economics Letters, Taylor & Francis Journals, vol. 14(13), pages 993-997.
- Chin, Lee & Azali, M & Yusop, Zulkornain & Yusoff, Mohammed, 2007. "The Monetary Model of Exchange Rate: Evidence from The Philippines," MPRA Paper 122680, University Library of Munich, Germany.
- 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.
- Mark P. Taylor & Lucio Sarno, 2001.
"Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work?,"
Journal of Economic Literature, American Economic Association, vol. 39(3), pages 839-868, September.
- Taylor, Mark & Sarno, Lucio, 2001. "Official Intervention in the Foreign Exchange Market: Is It Effective, and, If So, How Does It Work?," CEPR Discussion Papers 2690, C.E.P.R. Discussion Papers.
- Abdur Chowdhury, 1997. "The financial structure and the demand for money in Thailand," Applied Economics, Taylor & Francis Journals, vol. 29(3), pages 401-409.
- 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.
- Jan J.J. Groen, 1998. "The Monetary Exchange Rate Model as a Long-Run Phenomenon," Tinbergen Institute Discussion Papers 98-082/2, Tinbergen Institute.
- Phylaktis, Kate & Kassimatis, Yiannis, 1994. "Does the real exchange rate follow a random walk? The Pacific Basin perspective," Journal of International Money and Finance, Elsevier, vol. 13(4), pages 476-495, August.
- Arize, A. C. & Shwiff, Steven S., 1998. "The appropriate exchange-rate variable in the money demand of 25 countries: an empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 9(2), pages 169-185, December.
- George Tawadros, 2001. "The predictive power of the monetary model of exchange rate determination," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 279-286.
- Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-1176, December.
- Allen, Helen & Taylor, Mark P, 1990. "Charts, Noise and Fundamentals in the London Foreign Exchange Market," Economic Journal, Royal Economic Society, vol. 100(400), pages 49-59, Supplemen.
- Taylor, Mark P. & Allen, Helen, 1992. "The use of technical analysis in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 11(3), pages 304-314, June.
- McNown, Robert & Wallace, Myles S, 1994. "Cointegration Tests of the Monetary Exchange Rate Model for Three High-Inflation Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(3), pages 396-411, August.
- Chinn, Menzie D., 2000.
"Before the fall: were East Asian currencies overvalued?,"
Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
- Menzie D. Chinn, 1998. "Before the Fall: Were East Asian Currencies Overvalued?," NBER Working Papers 6491, National Bureau of Economic Research, Inc.
- Nourzad, Farrokh, 2002. "Real money balances and production efficiency: a panel-data stochastic production frontier study," Journal of Macroeconomics, Elsevier, vol. 24(1), pages 125-134, March.
- 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.
- Jae-Kwang Hwang, 2001. "Dynamic forecasting of monetary exchange rate models: Evidence from cointegration," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 7(1), pages 51-64, February.
- Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-472, August.
- Taylor, Mark P. & Peel, David A., 2000. "Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals," Journal of International Money and Finance, Elsevier, vol. 19(1), pages 33-53, February.
- Arize, Augustine C. & Malindretos, John & Shwiff, Steven S., 1999. "Structural breaks, cointegration, and speed of adjustment Evidence from 12 LDCs money demand," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 399-420, November.
- Lee, Daniel Y., 1999. "Purchasing power parity and dynamic error correction: Evidence from Asia Pacific economies," International Review of Economics & Finance, Elsevier, vol. 8(2), pages 199-212, June.
- Lothian, James R & Taylor, Mark P, 1996. "Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 488-509, June.
- Mr. Subramanian S Sriram, 1999. "Demand for M2 in an Emerging-Market Economy: An Error-Correction Model for Malaysia," IMF Working Papers 1999/173, International Monetary Fund.
- Georgios P. Kouretas, 1997.
"Identifying Linear Restrictions on the Monetary Exchange Rate Model and the Uncovered Interest Parity: Cointegration Evidence from the Canadian-U.S. Dollar,"
Canadian Journal of Economics, Canadian Economics Association, vol. 30(4), pages 875-890, November.
- George Kouretas, "undated". "Identifying Linear Restrictions On The Monetary Excange Rate Model And The Uncovered Interest Parity: Cointegration Evedence From The Canadian - U.S. Dollar," Working Papers 9511, University of Crete, Department of Economics.
- Dahalan, Jauhari & Sharma, Subhash C. & Sylwester, Kevin, 2005. "Divisia monetary aggregates and money demand for Malaysia," Journal of Asian Economics, Elsevier, vol. 15(6), pages 1137-1153, January.
- Chrystal, K. Alec & MacDonald, Ronald, 1995. "Exchange rates, financial innovation and divisia money: the sterling/dollar rate 1972-1990," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 493-513, August.
- Mr. Robert Dekle & Mahmood Pradhan, 1997. "Financial Liberalization and Money Demand in Asean Countries: Implications for Monetary Policy," IMF Working Papers 1997/036, International Monetary Fund.
- Taylor, Mark P. & McMahon, Patrick C., 1988. "Long-run purchasing power parity in the 1920s," European Economic Review, Elsevier, vol. 32(1), pages 179-197, January.
- 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.
- Mr. Ronald MacDonald & Mr. Mark P. Taylor, 1992. "The Monetary Approach to the Exchange Rate: Rational Expectations, Long-Run Equilibrium and Forecasting," IMF Working Papers 1992/034, International Monetary Fund.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Johari, Mohamad Shukri & Habibullah, Muzafar & Abdul Ghani, Roseziahazni & Abdul Manaf, Suhaily Maizan, 2021. "The Macroeconomic Fundamentals of the Real Exchange Rate in Malaysia: Some Empirical Evidence," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 55(2), pages 81-89.
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.- Lee Chin & M. Azali, 2012. "Testing the validity of the monetary model for ASEAN with structural break," Applied Economics, Taylor & Francis Journals, vol. 44(25), pages 3229-3236, September.
- Lee Chin & M. Azali & A. Mansur M. Masih, 2009.
"Tests of the different variants of the monetary model in a developing economy: Malaysian experience in the pre- and post-crisis periods,"
Applied Economics, Taylor & Francis Journals, vol. 41(15), pages 1893-1902.
- Chin, Lee & Azali, M & Masih, Mansur, 2009. "Tests of the Different Variants of the Monetary Model in a Developing Economy: Malaysian Experience in the Pre- and Post-crisis Periods," MPRA Paper 122747, University Library of Munich, Germany.
- Lee Chin & M. Azali & Zulkornain Yusop & Mohammed Yusoff, 2007.
"The monetary model of exchange rate: evidence from The Philippines,"
Applied Economics Letters, Taylor & Francis Journals, vol. 14(13), pages 993-997.
- Chin, Lee & Azali, M & Yusop, Zulkornain & Yusoff, Mohammed, 2007. "The Monetary Model of Exchange Rate: Evidence from The Philippines," MPRA Paper 122680, University Library of Munich, Germany.
- Stephanos Papadamou & Thomas Markopoulos, 2012. "The Monetary Approach to the Exchange Rate Determination for a “Petrocurrency”: The Case of Norwegian Krone," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 299-314, August.
- Lee, Chin & Law, Chee-Hong, 2013. "The Effects of Trade Openness on Malaysian Exchange Rate," MPRA Paper 45185, University Library of Munich, Germany.
- Works, Richard Floyd, 2016. "Econometric modeling of exchange rate determinants by market classification: An empirical analysis of Japan and South Korea using the sticky-price monetary theory," MPRA Paper 76382, University Library of Munich, Germany.
- Baharumshah, Ahmad Zubaidi & M. Masih, A. Mansur & Azali, M., 2002. "The stock market and the ringgit exchange rate: a note," Japan and the World Economy, Elsevier, vol. 14(4), pages 471-486, December.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
- Dahalan, Jauhari & Sharma, Subhash C. & Sylwester, Kevin, 2005. "Divisia monetary aggregates and money demand for Malaysia," Journal of Asian Economics, Elsevier, vol. 15(6), pages 1137-1153, January.
- Chinn, Menzie D., 2000.
"Before the fall: were East Asian currencies overvalued?,"
Emerging Markets Review, Elsevier, vol. 1(2), pages 101-126, September.
- Menzie D. Chinn, 1998. "Before the Fall: Were East Asian Currencies Overvalued?," NBER Working Papers 6491, National Bureau of Economic Research, Inc.
- 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.
- Charles Engel & Kenneth D. West, 2003. "Exchange rates and fundamentals," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Engel, Charles & West, Kenneth D., 2003. "Exchange rates and fundamentals," Working Paper Series 248, European Central Bank.
- Charles Engel & Kenneth D. West, 2004. "Exchange Rates and Fundamentals," NBER Working Papers 10723, National Bureau of Economic Research, Inc.
- Baharumshah, Ahmad Zubaidi & Masih, A. Mansur M., 2005. "Current account, exchange rate dynamics and the predictability: the experience of Malaysia and Singapore," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(3), pages 255-270, July.
- Venus Khim-Sen Liew & Ricky Chee-Jiun Chia & Tai-Hu Ling, 2010.
"Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian countries,"
Applied Economics Letters, Taylor & Francis Journals, vol. 17(11), pages 1073-1077.
- Liew, Venus Khim-Sen & Chia, Ricky Chee-Jiun & Ling, Tai-Hu, 2009. "Long-run validity of purchasing power parity and rank tests for cointegration for Central Asian Countries," MPRA Paper 15794, University Library of Munich, Germany.
- Lucio Sarno & Mark P. Taylor, 2002.
"Purchasing Power Parity and the Real Exchange Rate,"
IMF Staff Papers, Palgrave Macmillan, vol. 49(1), pages 1-5.
- Taylor, Mark & Sarno, Lucio, 2001. "Purchasing Power Parity and the Real Exchange Rate," CEPR Discussion Papers 2913, C.E.P.R. Discussion Papers.
- Christopher J. Neely & Lucio Sarno, 2002.
"How well do monetary fundamentals forecast exchange rates?,"
Review, Federal Reserve Bank of St. Louis, vol. 84(Sep), pages 51-74.
- Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Working Papers 2002-007, Federal Reserve Bank of St. Louis.
- Levent KORAP, 2008.
"Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach,"
Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
- Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
- Joscha Beckmann & Ansgar Belke & Michael Kühl, 2009.
"How Stable Are Monetary Models of the Dollar-Euro Exchange Rate?: A Time-Varying Coefficient Approach,"
Discussion Papers of DIW Berlin
944, DIW Berlin, German Institute for Economic Research.
- Beckmann, Joscha & Belke, Ansgar & Kühl, Michael, 2009. "How Stable Are Monetary Models of the Dollar-Euro Exchange Rate? - A Time-varying Coefficient Approach," Ruhr Economic Papers 134, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- 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.
- Diamandis, Panayiotis F. & Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2000. "The monetary model in the presence of I(2) components: long-run relationships, short-run dynamics and forecasting of the Greek drachma," Journal of International Money and Finance, Elsevier, vol. 19(6), pages 917-941, December.
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:applec:v:41:y:2009:i:14:p:1771-1783. 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/RAEC20 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.