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  • 标题:Exchange rate and monetary fundamentals: Long run relationship revisited
  • 本地全文:下载
  • 作者:Bhanja Niyati ; Dar Arif Billah ; Tiwari Aviral Kumar
  • 期刊名称:Panoeconomicus
  • 印刷版ISSN:1452-595X
  • 出版年度:2015
  • 卷号:62
  • 期号:1
  • 页码:33-54
  • DOI:10.2298/PAN1501033B
  • 出版社:Savez ekonomista Vojvodine
  • 摘要:

    This study re-examines the long run validity of the monetary approach to exchange rate determination for India. In particular, the long run association of bilateral nominal exchange rate of Indian rupee vis-à-vis USD, Pound-sterling, Yen and Euro against the corresponding monetary fundamentals that the model underlines has been tested using Johansen-Juselius maximum likelihood framework and Gregory-Hansen co-integration approach. Irrespective of the exchange rates the study finds a co-integrating relationship among the variables using Johansen-Juselius maximum likelihood approach. The Gregory-Hansen co-integration method allows for one break determined endogenously in three specifications also confirms the long run relationship. Our results, hence, suggest that the monetary model is a valid theory of long run equilibrium condition for the rupee-dollar, rupee-pound, rupee-yen and rupee-euro exchange rates.

  • 关键词:Monetary approach; Exchange rate determination; India
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