225
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

On the predictive power of monetary exchange rate model: the case of the Malaysian ringgit/US dollar rate

, &
Pages 1761-1770 | Published online: 11 Apr 2011

References

  • Bénassy-Quéré , A , Lahrénche-Révil , A and Mignon , V . 2008 . Is Asian responsible for exchange rate misalignments within the G20? . Pacific Economic Review , 13 : 46 – 61 .
  • Cheung , Y-W , Chinn , MD and Pascual , AG . 2005 . Empirical exchange rate model of the nineties: are any fit to survive? . Journal of International Money and Finance , 24 : 1150 – 75 .
  • Cheung , Y-W and Lai , KS . 1993 . Finite-sample sizes of Johansen's likelihood ratio tests for cointegration . Oxford Bulletin of Economics and Statistics , 55 : 313 – 28 .
  • Chin , L , Azali , M and Masih , AMM . 2007 . Test of the different variants of the monetary model in a developing economy: Malaysian experience in the pre- and post-crisis periods . Applied Economics , forthcoming
  • Chinn , MD . 1999 . Measuring misalignment–purchasing power parity and East Asian currencies in the 1990s IMF Working Paper No. WP99-120
  • Chinn , MD . 2000 . Before the fall: were East Asian currencies overvalued? . Emerging Markets Review , 1 : 101 – 26 .
  • Clark , PB and MacDonald , R . 1999 . Exchange rates and economic fundamentals: a methodological comparison of BEERs and FEERs IMF Working Paper No. WP 98–67
  • Clements , MP and Hendry , DF . 2001 . Forecasting with difference and trend stationary models . The Econometric Journal , 4 : S1 – 19 .
  • Dickey , DA and Fuller , WA . 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Fedderke , JW and Liu , W . 2002 . Modelling the determinants of capital flows and capital flight: with application to South Africa data from 1960–1995 . Journal of Economic Modelling , 19 : 419 – 44 .
  • Frankel , J . 2007 . On the Rand: determinants of the South African exchange rate . South African Journal of Economics , 75 : 425 – 41 .
  • Goldfajn , I and Baig , T . 1998 . Monetary policy in the aftermath of currency crises: the case of Asia Working Paper No. WP/98/170 IMF, International Monetary Fund
  • Goldman Sachs . 1998 . Emerging Market Currency Analyst , New York : Economic Research Group .
  • Granger , CWJ and Newbold , P . 1986 . Forecasting Economic Time Series , 2nd , London : Academic Press .
  • Groen , JJJ . 1999 . Long horizon predictability of exchange rates: is it for real? . Empirical Economics , 24 : 451 – 69 .
  • Husted , S and MacDonald , R . 1999 . The Asian currency crash: were badly driven fundamentals to blame? . Journal of Asian Economics , 10 : 537 – 50 .
  • Ibrahim , M . 2007 . The yen-dollar exchange rate and Malaysian macroeconomic dynamics . The Developing Economies , XLV-3 : 315 – 38 .
  • Ito , T . 2000 . “ Capital inflows in Asia ” . In Capital Flows and the Emerging Economies: Theory, Evidence and Controversies , Edited by: Edwards , S . 255 – 97 . Chicago : University of Chicago Press .
  • Johansen , S . 1988 . Statistical analysis of cointegrated vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Johansen , S . 1991 . Estimation and hypothesis testing of cointegrating vectors in Gaussian autoregression models . Econometrica , 59 : 1551 – 80 .
  • Johansen , S . 1995 . Likelihood-Based Inference in Cointegrated Vector Autoregressive Models , Oxford : Oxford University Press .
  • 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 .
  • Kilian , L . 1999 . Exchange rates and monetary fundamentals: what do we learn from long-horizon regressions . Journal of Econometrics , 14 : 491 – 510 .
  • Kilian , L and Taylor , MP . 2003 . Why is it so difficult to beat random walk forecasts of exchange rates? . Journal of International Economics , 60 : 85 – 108 .
  • Koske , I . 2008 . Assessing the equilibrium exchange rate of the Malaysian ringgit: a comparison of alternative approaches . Asian Economics Journal , 22 : 179 – 208 .
  • Kwiatkowski , D , Phillips , PCB , Schmidt , P and Shin , Y . 1992 . Testing the null hypothesis of stationarity against the alternative of unit root . Journal of Econometrics , 54 : 159 – 78 .
  • MacDonald , R and Taylor , MP . 1993 . The monetary approach to the exchange rate: rational expectations, long-run equilibrium and forecasting . International Monetary Fund Staff Papers , 40 : 89 – 107 .
  • MacDonald , R and Taylor , MP . 1994 . 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 .
  • MacKinnon , JG . 1996 . Numerical distribution functions for unit root and cointegration tests . Journal of Applied Econometrics , 11 : 601 – 18 .
  • Mark , NC . 1995 . Exchange rate and fundamentals: evidence on long-horizon predictability . American Economic Review , 85 : 201 – 18 .
  • Mark , NC and Sul , D . 2001 . Nominal exchange rates and monetary fundamentals: evidence from a small post-Bretton Woods panel . Journal of International Economics , 53 : 29 – 52 .
  • McNown , RA and Wallace , M . 1994 . Cointegration tests of the monetary exchange rate model for three high inflation economics . Journal of Money, Credit and Banking , 26 : 396 – 411 .
  • Meese , RA and Rogoff , K . 1983 . Empirical exchange rate models of the seventies: do they fit out of sample? . Journal of International Economics , 14 : 3 – 24 .
  • Moosa , IA . 1994 . The monetary model of exchange rates revisited . Applied Financial Economics , 26 : 279 – 87 .
  • Morley , B . 2007 . The monetary model of exchange rate and equities: an ARDL bound testing approach . Applied Financial Economics , 17 : 301 – 97 .
  • Ng , S and Perron , P . 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1519 – 54 .
  • Osterwald-Lenum , M . 1992 . A note with quantiles of the asymptotic distribution of maximum likelihood cointegration rank test statistics: four cases . Oxford Bulletin of Economics and Statistics , 54 : 461 – 72 .
  • Rapach , DE and Wohar , ME . 2002 . Testing the monetary model of exchange rate determination: new evidence from a century of data . Journal of International Economic , 58 : 359 – 85 .
  • Rapach , DE and Wohar , ME . 2004 . Testing the monetary model of exchange rate determination: a closer look at panels . Journal of Money and Finance , 23 : 867 – 95 .
  • Reinsel , GC and Ahn , SK . 1988 . Asymptotic distribution of the likelihood ratio test for cointegration in the nonstationary vector AR model Technical Report, Department of Statistics, University of Wisconsin-Madison
  • Reinsel , GC and Ahn , SK . 1992 . Vector autoregressive models with unit roots and reduced rank structure: estimation, likelihood ratio test and forecasting . Journal of Time Series Analysis , 13 : 353 – 75 .
  • 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 .
  • Taylor , AM and Taylor , MP . 2004 . The purchasing power parity . Journal of Economic Perspectives , 18 : 135 – 58 .
  • Taylor , MP and Peel , DA . 2000 . Nonlinear adjustment, long run equilibrium and exchange rate fundamentals . Journal of International Money and Finance , 19 : 33 – 53 .
  • Taylor , MP , Peel , DA and Sarno , L . 2001 . Nonlinear adjustment in real exchange rates: towards a solution to the purchasing power parity puzzles . International Economic Review , 42 : 1015 – 42 .
  • Wu , J-L . 1999 . A re-examination of the exchange rate-interest differential relationship: evidence from Germany and Japan . Journal of International Money and Finance , 18 : 319 – 36 .
  • Yap , MM-C . 2002 . P-Star exchange rate regime and inflation determination: the Malaysian case . Journal of the Asia Pacific Economy , 7 : 379 – 407 .
  • Zhang , S , Lowinger , TC and Tang , J . 2007 . The monetary exchange rate model: long-run, short-run, and forecasting performance . Journal of Economic Integration , 22 : 397 – 406 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.