Liew, Venus Khim-Sen (2009): Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen. Forthcoming in: Economics Bulletin (2009)
Preview |
PDF
MPRA_paper_15550.pdf Download (476kB) | Preview |
Abstract
This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung’s (2001) nonlinear cointegration testing procedures. The existence of such relationship is probably resulted from the strong and consistent bilateral trade relationship between the Philippines and Japan. Results from various monetary restrictions tests suggest that other forms of the related monetary model are not suitable in the determination of the peso-yen exchange rate.
Item Type: | MPRA Paper |
---|---|
Original Title: | Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen |
Language: | English |
Keywords: | Exchange Rate; Monetary Model; Nonlinear; Cointegration; the Philippines |
Subjects: | C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models F - International Economics > F3 - International Finance > F31 - Foreign Exchange |
Item ID: | 15550 |
Depositing User: | Venus Khim-Sen Liew |
Date Deposited: | 04 Jun 2009 08:28 |
Last Modified: | 29 Sep 2019 21:20 |
References: | ASEAN-Japan Centre (2007) Japan-ASEAN and China’s Major Trading Partners. Available online at: http://www.asean.or.jp/eng/general/statistics/index(07).html. Accessed on December 5, 2008. Bahmani-Oskooee, M. (2002) “Does black market exchange rate volatility deter the trade flows? Iranian experience,” Applied Economics 34, 2249 – 2255. Breitung, J. (2001) “Rank tests for nonlinear cointegration,” Journal of Business and Economic Statistics 19, 331 – 340. Cheung, Y.-W. and Lai, K.S. (1993) “A fractional cointegration analysis of purchasing power parity,” Journal of Business and Economic Statistics 11, 103–112. Diamandis, P.F., Georgoutos, D.A. and Kouretas, G.P. (1988) “The monetary approach to the exchange rate: long-run relationships, identification and temporal stability,” Journal of Macroeconomics 20, 101-126. Dutt, S.D. and Ghosh, D. (2000) “An empirical note on the monetary exchange rate model,” Applied Economics Letters 7, 669 – 671. Johansen, S. (1992) “Determination of cointegration rank in the presence of a linear trend,” Oxford Bulletin of Economics and Statistics 54, 383–397. Johansen, S. and Juselius, K. (1990) “Maximum likelihood estimation and inference on cointegration, with applications to the demand for money,” Oxford Bulletin of Economics and statistics 52, 169-210. Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. (1992) “Testing the null hypothesis of stationary against the alternative of a unit root,” Journal of Econometrics 54, 159 – 178. Lee, C., Azali, M., Zulkornain, B., and M. B. Yusoff (2007) “The Monetary model of exchange rate: evidence from the Philippines,” Applied Economics Letters 14, 993-997. Liew, V.K.S. (2004a) “Nonlinear adjustment of ASEAN-5 real exchange rates: Symmetrical or asymmetrical?” Economics Bulletin 6(8), 1 – 8. Liew, V.K.S. (2004b) “Which lag length selection criteria should we employ?” Economics Bulletin 3(33), 1 – 9. Liew, V.K.S., Baharumshah, A.Z. and Lau, E. (2004a) “Nonlinear adjustment towards purchasing power parity in ASEAN exchange rates,” ICFAI Journal of Applied Economics III(6), 7 – 18. Liew, V.K.S., Lim, K.P. and Baharumshah, A.Z. (2004b) “The Linearity Property of ASEAN-5 Real Exchange Rates in Pre-Asian Currency Crisis Period. International Journal of Management Studies,” 11(2), 43 – 62. Liew, V.K.S., Chia, R.C.J. and Ling, T.H. (2009a) “Long-run validity of purchasing power parity for Central Asian Countries,” Applied Economics, forthcoming. Liew, V.K.S., Lee, H.A. and Lim, K.P. (2009b) “Purchasing power parity in Asian economies: further evidence from rank tests for cointegration,” Applied Economics Letters 16, 51 – 54. Long, D. and Samreth, S. (2008) “The monetary model of exchange rate: evidence from the Philippines using ARDL approach,” Economics Bulletin 6(31), 1-13. MacDonald, R. and Taylor, M.P. (1991) “The monetary approach to the exchange rate: long-run relationships and coefficient restrictions,” Economics Letters 37, 179-185. MacDonald, R. and Taylor, M.P. (1993) “The monetary approach to the exchange rate: rational expectations, long-run equilibrium, and forecasting”. IMF Staff Papers 40, 89-107. MacDonald, R. and Taylor, M.P. (1994) “Re-examining the monetary approach to the exchange rate: the dollar-franc, 1976-90,” Applied Financial Economics 4, 423-429. Miyakoshi, T. (2000) “The monetary approach to the exchange rate: empirical observations from Korea,” Applied Economics Letters 7, 791-794. Rapach, D.E. and Wohar, M.E. (2002) “Testing the monetary model of exchange rate determination: new evidence from a century data,” Journal of International Economics 58, 359 – 385. Stock, J.H. and Watson, M.W. (1993) “A simple estimator of cointegrating vectors in higher order integrated systems,” Econometrica 61, 783-820. Wikipedia (2008) Philippines-Japan Relations. Available online at http://en.wikipedia.org/wiki/Philippine-Japanese_relations. Accessed on December 5, 2008. |
URI: | https://mpra.ub.uni-muenchen.de/id/eprint/15550 |