Sorry.
You are not permitted to access the full text of articles.
If you have any questions about permissions,
please contact the Society.
์ฃ์กํฉ๋๋ค.
ํ์๋์ ๋ ผ๋ฌธ ์ด์ฉ ๊ถํ์ด ์์ต๋๋ค.
๊ถํ ๊ด๋ จ ๋ฌธ์๋ ํํ๋ก ๋ถํ ๋๋ฆฝ๋๋ค.
[ Article ] | |
Seoul Journal of Economics - Vol. 14, No. 2, pp. 169-182 | |
Abbreviation: SJE | |
ISSN: 1225-0279 (Print) | |
Print publication date 31 May 2001 | |
Received 20 Nov 2000 Revised 06 Dec 2001 | |
Is the Monetary Model Useful in Explaining Exchange Rates? - Panel Cointegration Evidence | |
Byung Chul Ahn ; Keun-Yeob Oh
| |
Associate Professor, School of Economics and Finance, Yeungnam University, 214-1 Daedong, Kyungsan, Kyungbuk 712-749, Korea, Tel: +82-53-810-2726, Fax: +82-53-812-5321 (ahnbc@yu.ac.kr) | |
Associate Professor, Department of International Management, Chungnam University, Tae-Jeon City 305-764, Korea, Tel: +82-42-821-5560, Fax: +82-42-823-5359 (kyoh@hanbat.chungnam.ac.kr) | |
JEL Classification: F31 |
A number of studies have sought to provide a reasonable explanation for exchange rate determination. The most frequently used approach is based on monetary models. However, it is difficult to find a cointegration relationship between exchange rates and relative differentials of money and income using this approach. This does not mean that a cointegration relationship does not exist. Conventional single equation approaches simply have a low performance power. We employed the panel cointegration approach to overcome this potential problem. We formulated a system of monetary models for 8 nations and found that cointegration relationships existed. Given these cointegration relationships, we estimated cointegrating vectors that are consistent with theoretical signs and magnitude.
Keywords: Monetary model, Panel cointegration |
We are grateful for helpful suggestions by anonymous referees.
1. | Bai, Jushan. “Estimating Cross Section Common-Stochastic Trends in Nonstationary Panel Data.” Manuscript, Boston College, 2001. |
2. | Bai, Jushan, and Ng, S. “Determining the Number of Factors in Approximate Factor Models.” Forthcoming in Econometrica, 2000. |
3. | Banerjee, Anindya. “Panel Data Unit Roots and Cointegration: An Overview.” Oxford Bulletin of Economics and Statistics 61 (1999): 607-29.![]() |
4. | Barro, R. “Economic Growth in a Cross-Section of Countries.” Quarterly Journal of Economics 106 (1991): 407-44.![]() |
5. | Barro, R., and Sala-i-Martin, Xavier. “Convergence.” Journal of Political Economy 100 (No. 2 1992): 223-51.![]() |
6. | Boothe, P. “Speculative Profit Opportunities in the Canadian Foreign Exchange Market, 1974-78.” Canadian Journal of Economics 16 (1983): 603-11.![]() |
7. | Caballero, R., and Lyons, R. “The Role of External Economies in U.S. Manufacturing.” NBER Working Paper 3033, 1989.![]() |
8. | Choi, C. Y. “Panel Unit Root Tests under the Null Hypothesis of Stationarity and Conformatory Analysis with Applications to PPP and Convergence Hypothesis.” Ph.d Dissertation. Ohio State University, 2000. |
9. | Evans, P. “How Fast Do Economies Converge?” Review of Economics and Statistics 79 (No. 2 1997): 219-25.![]() |
10. | Evans, P., and Karras, G. “Convergence Revisited.” Journal of Monetary Economics 37 (No. 2 1996): 249-65.![]() |
11. | Florentis, G., Gordon, D. V., and Huber, P. “Monetary Models of the Canadian-U.S. Exchange Rate: A Reexamination of Empirical Evidence, 1971-1986.” Quarterly Journal of Business and Economics 33 (No. 4 1994): 27-43. |
12. | Frankel, J. “On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials.” American Economic Review 69 (1979): 610-22. |
13. | Im, K., Pesaran, M. H., and Shin, Y. “Testing for Unit Roots in Heterogeneous Panel.” Forthcoming in Journal of Econometrics, 2001. |
14. | Koedijk, K., and Schotman, P. “How to Beat the Random Walk: An Empirical Model of Real Exchange Rates.” Journal of International Economics 29 (Nos. 3-4 1990): 311-32.![]() |
15. | Levin, A., and Lin, Chien-Fu. “Unit Root Tests in Panel Data: Asymptotic and Finite Sample Properties.” UCSD Discussion Paper 92-23, 1992. |
16. | Mark, N. C., and Sul, D. “Nominal Exchange Rates and Monetary Fundamentals: Evidence from a Small Post-Bretton Woods Panel.” Journal of International Economics 53 (2001): 29-52.![]() |
17. | McNown, R., and Wallace, M. “Cointegration Tests of the Monetary Exchange Rate Model for Three High-Inflation Economies.” Journal of Money, Credit, and Banking 26 (No. 3 1994): 396- 411.![]() |
18. | Meese, R., and Rogoff, K. “Empirical Exchange Rate Models of the 1970's: Do They Fit Out of Sample?” Journal of International Economics 14 (1983): 3-24.![]() |
19. | Oh, K. “Purchasing Power Parity and Unit Root Test Using Panel Data.” Journal of international Money and Finance 15 (No. 3 1996): 405-18.![]() |
20. | Oh, K., Kim, H., Kim, B., and Ahn, B. “Saving-Investment Cointegration in Panel Data.” Applied Economics Letters 6 (1999): 477-80.![]() |
21. | Park, J. “Canonical Cointegrating Regression.” Econometrica 60 (1992): 119-43.![]() |
22. | Pedroni, P. “Asymptotic and Finite Sample Properties of Pooled Time Series Tests with an Application to the PPP Hypothesis.” Mimeograph, Indiana University, 1995. |
23. | Pedroni, P. “Fully Modified OLS for Heterogeneous Cointegrated Panels and the Case of Purchasing Power Parity.” Mimeograph, Indiana University, 1996. |
24. | Phillips, P., and Hansen, B. “Statistical Inference in Instrumental Variables Regression with I(1) Processes.” Review of Economic Studies 57 (1990): 97-125.![]() |
25. | Shiller, R., and Perron, P. “Testing the Random Walk Hypothesis: Power versus Frequency of Observation.” Economics Letters 18 (1985): 381-6.![]() |
26. | Stock, J., and Watson, M. “A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems.” Econometrica 61 (1993): 783-820.![]() |
Editorial Office, Seoul Journal of Economics, Institute of Economic Research, Seoul National University 599 Gwanangno, Gwanak-gu, Seoul 151-746, Korea
Tel: +82-2-880-5434 | Fax: +82-2-888-4454 | E-mail: sje@plaza.snu.ac.kr
Copyright (c) 2020 SJE. All rights reserved.