Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries
The objective of this paper is two-fold; first, to test whether exchange rates are cointegrated with macroeconomic fundamentals as the theory predicts and secondly, to examine whether flexible-price monetary models can be used to predict and forecast future exchange rates successfully. The panel coi...
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| Format: | Article |
| Language: | English |
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Faculty of Economics and Management, Universiti Putra Malaysia
2007
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| Online Access: | http://psasir.upm.edu.my/id/eprint/721/ http://psasir.upm.edu.my/id/eprint/721/1/Testing%20monetary%20model%20of%20exchange%20rates%20in%20emerging%20economies.pdf |
| _version_ | 1848838847021973504 |
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| author | Yol, Marial Awou |
| author_facet | Yol, Marial Awou |
| author_sort | Yol, Marial Awou |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | The objective of this paper is two-fold; first, to test whether exchange rates are cointegrated with macroeconomic fundamentals as the theory predicts and secondly, to examine whether flexible-price monetary models can be used to predict and forecast future exchange rates successfully. The panel cointegration tests find the series to be
cointegrated. The panel group FMOLS estimation results indicate that the estimated coefficients of money supply and real output levels relative to the US, in addition to the interest rate differentials, are statistically
significant and carry correct positive, negative and positive signs respectively. The findings show that monetary models could be an important tool for explaining and forecasting the exchange rates of these ASEAN 5+2 countries in the long run. |
| first_indexed | 2025-11-15T07:02:03Z |
| format | Article |
| id | upm-721 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T07:02:03Z |
| publishDate | 2007 |
| publisher | Faculty of Economics and Management, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-7212015-11-11T02:56:37Z http://psasir.upm.edu.my/id/eprint/721/ Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries Yol, Marial Awou The objective of this paper is two-fold; first, to test whether exchange rates are cointegrated with macroeconomic fundamentals as the theory predicts and secondly, to examine whether flexible-price monetary models can be used to predict and forecast future exchange rates successfully. The panel cointegration tests find the series to be cointegrated. The panel group FMOLS estimation results indicate that the estimated coefficients of money supply and real output levels relative to the US, in addition to the interest rate differentials, are statistically significant and carry correct positive, negative and positive signs respectively. The findings show that monetary models could be an important tool for explaining and forecasting the exchange rates of these ASEAN 5+2 countries in the long run. Faculty of Economics and Management, Universiti Putra Malaysia 2007-06 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/721/1/Testing%20monetary%20model%20of%20exchange%20rates%20in%20emerging%20economies.pdf Yol, Marial Awou (2007) Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries. International Journal of Economics and Management, 1 (2). pp. 263-284. ISSN 1823-836X http://econ.upm.edu.my/ijem/vol1_no2.htm |
| spellingShingle | Yol, Marial Awou Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title | Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title_full | Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title_fullStr | Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title_full_unstemmed | Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title_short | Testing monetary model of exchange rates in emerging economies: new evidence from ASEAN 5+2 countries |
| title_sort | testing monetary model of exchange rates in emerging economies: new evidence from asean 5+2 countries |
| url | http://psasir.upm.edu.my/id/eprint/721/ http://psasir.upm.edu.my/id/eprint/721/ http://psasir.upm.edu.my/id/eprint/721/1/Testing%20monetary%20model%20of%20exchange%20rates%20in%20emerging%20economies.pdf |