Tests of the different variants of the monetary model in a developing economy: Malaysian experience in the pre- and post-crisis periods

References

• Bank Negara Malaysia . 1999 . The Central Bank and the Financial System in Malaysia – a Decade of Change , Kuala Lumpur : Bank Negara Malaysia .
   Google Scholar
• Bilson , JFO . 1978 . “ Rational expectations and the exchange rate ” . In The Economics of Exchange Rates , Edited by: Frankel , JA and Johnson , HG . 75 – 96 . Reading, , Mass. : Addison-Wesley .
   Google Scholar
• Cao , Y and Ong , WL . 1995 . “ PPP and the monetary model of exchange rate determination: the case of Singapore ” . In Regional Issues in Economics , Edited by: Chew , SB and Kendall , JD . Vol. I , 131 – 54 . Singapore : Business School, Nanyang Technological University .
   Google Scholar
• Chia , A and Bauer , JG . 1995 . “ Analysis of exchange rate movements: a case study of Singapore ” . In Regional Issues in Economics , Edited by: Chew , SB and Kendall , JD . Vol. I , 3 – 38 . Singapore : Business School, Nanyang Technological University .
   Google Scholar
• Chinn , MD . 2000a . Three measures of East Asian currency overvaluation . Contemporary Economic Policy , 18 : 205 – 14 .
   Web of Science ®Google Scholar
• Chinn , MD . 2000b . Before the fall: were East Asian currencies overvalued? . Emerging Market Review , 1 : 101 – 26 .
   Google Scholar
• Chinn , MD and Dooley , MP . 1999 . International monetary arrangements in the Asia-Pacific before and after . Journal of Asian Economics , 10 : 361 – 84 .
   Google Scholar
• Chua , ESE and Bauer , JG . 1995 . “ An analysis of Malaysia's exchange-rate trend ” . In Regional Issues in Economics , Edited by: Chew , SB and Kendall , JD . Vol. I , 39 – 70 . Singapore : Business School, Nanyang Technological University .
   Google Scholar
• Diamandis , PF , Georgoutos , DA and Kouretas , GP . 1998 . The monetary approach to the exchange rate: long-run relationships, identification and temporal stability . Journal of Macroeconomics , 20 : 441 – 66 .
   Web of Science ®Google Scholar
• Dornbusch , R . 1976 . Expectations and exchange rate dynamics . Journal of Political Economy , 84 : 1161 – 76 .
   Web of Science ®Google Scholar
• Driskill , RA and Sheffrin , SM . 1981 . On the mark: comment . American Economic Review , 71 : 1068 – 74 .
   Web of Science ®Google Scholar
• Frankel , JA . 1979 . On the mark: a theory of floating exchange rates based on real interest differential . American Economic Review , 69 : 610 – 22 .
   Web of Science ®Google Scholar
• Frenkel , JA . 1976 . “ A monetary approach to the exchange rate: doctrinal aspects and empirical evidence ” . In Exchange Rate Economics , Edited by: MacDonald , R and Taylor , MP . Vol. I , 147 – 71 . Cambridge : Cambridge University Press .
   Google Scholar
• Furman , J and Stigliz , J . 1998 . Economic crises: evidence and insights from East Asia . Brookings Papers on Economic Activity , 2 : 1 – 135 .
   Google Scholar
• Groen , JJJ . 2000 . The monetary exchange rate model as a long-run phenomenon . Journal of International Economics , 52 : 299 – 319 .
   Web of Science ®Google Scholar
• Haynes , SE and Stone , JA . 1981 . On the mark: comment . American Economic Review , 71 : 1060 – 71 .
   Web of Science ®Google Scholar
• Hodrick , RJ . 1978 . “ An empirical analysis of the monetary approach to the determination of the exchange rate ” . In Exchange Rate Economics , Edited by: MacDonald , R and Taylor , MP . Vol. I , 308 – 27 . Cambridge : Cambridge University Press .
   Google Scholar
• Husted , S and MacDonald , R . 1999 . The Asian currency crash: were badly driven fundamentals to blame? . Journal of Asian Economics , 10 : 537 – 50 .
   Google Scholar
• Hwang , JK . 2001 . Dynamic forecasting of monetary exchange rate models: evidence from cointegration . International Advances in Economic Research , 7 : 51 – 64 .
   Google Scholar
• International Monetary Fund (various issues) . International Monetary Fund's International Financial Statistics yearbook , Washington : IMF .
   Google Scholar
• Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
   Web of Science ®Google Scholar
• Johansen , S . 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 59 : 1551 – 80 .
   Web of Science ®Google Scholar
• Kouretas , GP . 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 , 30 : 875 – 90 .
   Web of Science ®Google Scholar
• MacDonald , R and Taylor , MP . 1991 . The monetary approach to the exchange rate: long-run relationships and coefficient restrictions . Economics Letters , 37 : 179 – 85 .
   Web of Science ®Google Scholar
• MacDonald , R and Taylor , MP . 1993 . The monetary approach to the exchange rate: rational expectations, long-run equilibrium, and forecasting . IMF Staff Papers , 40 : 89 – 107 .
   Google Scholar
• MacDonald , R and Taylor , MP . 1994a . 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 , 13 : 276 – 90 .
   Web of Science ®Google Scholar
• MacDonald , R and Taylor , MP . 1994b . Re-examing the monetary approach to the exchange rate: the Dollar-Franc, 1976–90 . Applied Financial Economics , 4 : 423 – 29 .
   Google Scholar
• Osterwald-Lenum , M . 1992 . A note with quantiles of the asymptotic distribution of the maximum likelihood cointegration rank test statistic . Oxford Bulletin of Economics and Statistics , 54 : 461 – 72 .
   Web of Science ®Google Scholar
• Rapach , DE and Wohar , ME . 2002 . Testing the monetary model of exchange rate determination: new evidence from a century of data . Journal of International Economics , 58 : 359 – 85 .
   Web of Science ®Google Scholar
• Rasulo , J and Wilford , D . 1980 . Estimating monetary models of the balance of payments and exchange rates: a bias . Southern Economic Journal , 7 : 136 – 46 .
   Web of Science ®Google Scholar
• Reinton , H and Ongena , S . 1999 . Out-of-sample forecasting performance of single equation monetary exchange rate models in Norwegian currency markets . Applied Financial Economics , 9 : 545 – 50 .
   Google Scholar
• Sazanami , Y and Yoshimura , S . 1999 . Restructuring East Asian exchange rate regimes . Journal of Asian Economics , 10 : 509 – 23 .
   Google Scholar
• Soon , LK . 1995 . Market efficiency of foreign market and the monetary approach to exchange rate Unpublished Project Paper, Universiti Pertanian Malaysia, Serdang, Malaysia
   Google Scholar
• Tawadros , GB . 2001 . The predictive power of the monetary model of exchange rate determination . Applied Financial Economics , 11 : 279 – 86 .
   Google Scholar