Exchange rate and monetary fundamentals: Long run relationship revisited
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 fundament...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2015-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1501033B.pdf |
| _version_ | 1819148052755120128 |
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| author | Bhanja Niyati Dar Arif Billah Tiwari Aviral Kumar |
| author_facet | Bhanja Niyati Dar Arif Billah Tiwari Aviral Kumar |
| author_sort | Bhanja Niyati |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-22T13:39:35Z |
| format | Article |
| id | doaj.art-c446c68d842a43de96112cef26e6b247 |
| institution | Directory Open Access Journal |
| issn | 1452-595X 2217-2386 |
| language | English |
| last_indexed | 2024-12-22T13:39:35Z |
| publishDate | 2015-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-c446c68d842a43de96112cef26e6b2472022-12-21T18:23:57ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2217-23862015-01-01621335410.2298/PAN1501033B1452-595X1501033BExchange rate and monetary fundamentals: Long run relationship revisitedBhanja Niyati0Dar Arif Billah1Tiwari Aviral Kumar2University of Petroleum and Energy Studies, Department of Economics and International Business, Uttarakhand, IndiaInstitute of Management and Technology, Department of Economic Environment and Strategy, Uttar Pradesh, IndiaFaculty of Management, Institute of Chartered Financial Analysts of India (ICFAI) Business School - A Constituent of ICFAI Foundation for Higher Education, Andhra Pradesh, IndiaThis 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.http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1501033B.pdfMonetary approachExchange rate determinationIndia |
| spellingShingle | Bhanja Niyati Dar Arif Billah Tiwari Aviral Kumar Exchange rate and monetary fundamentals: Long run relationship revisited Panoeconomicus Monetary approach Exchange rate determination India |
| title | Exchange rate and monetary fundamentals: Long run relationship revisited |
| title_full | Exchange rate and monetary fundamentals: Long run relationship revisited |
| title_fullStr | Exchange rate and monetary fundamentals: Long run relationship revisited |
| title_full_unstemmed | Exchange rate and monetary fundamentals: Long run relationship revisited |
| title_short | Exchange rate and monetary fundamentals: Long run relationship revisited |
| title_sort | exchange rate and monetary fundamentals long run relationship revisited |
| topic | Monetary approach Exchange rate determination India |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2015/1452-595X1501033B.pdf |
| work_keys_str_mv | AT bhanjaniyati exchangerateandmonetaryfundamentalslongrunrelationshiprevisited AT dararifbillah exchangerateandmonetaryfundamentalslongrunrelationshiprevisited AT tiwariaviralkumar exchangerateandmonetaryfundamentalslongrunrelationshiprevisited |