Mean Reversion in G-10 Nominal Exchange Rates

2006 ◽  
Vol 41 (3) ◽  
pp. 685-708 ◽  
Author(s):  
Richard J. Sweeney
Keyword(s):  
Exchange Rates ◽  
Unit Roots ◽  
Mean Reversion ◽  
Industrial Country ◽  
Monetary Policies ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Out Of Sample ◽  
Significance Levels ◽  
Floating Exchange Rates

AbstractAccording to conventional wisdom, industrial country floating exchange rates contain unit roots. SUR tests on panels of monthly Group of Ten (G-10) log nominal rates reject the null of unit roots for various samples over the current float with significance levels from 0.5% to 15%. On average, in out-of-sample forecasts mean reversion models beat random walks significantly in some forecast periods. For monthly data, the range of expected USD-DEM appreciation rates exceeds 15% per year in the mean reversion model. Mean reversion places strong restrictions on international models: over the sample period, the G-10 had to run monetary policies consistent with stable long-run nominal rates.

scholarly journals REAL SHOCK OR NOMINAL SHOCK? EXCHANGE RATE MOVEMENTS IN CAMBODIA AND LAO PDR

2010 ◽  
Vol 55 (04) ◽  
pp. 685-703 ◽  
Author(s):  
SEIHA OK ◽  
MAKOTO KAKINAKA ◽  
HIROAKI MIYAMOTO
Keyword(s):  
Exchange Rates ◽  
Lao Pdr ◽  
Structural Vector Autoregression ◽  
Economic Implications ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Exchange Rate Movements ◽  
Short Run ◽  
Real Shocks ◽  
Nominal Shocks

This paper studies sources of fluctuations in real and nominal US dollar exchange rates in Cambodia and Lao PDR by decomposing them into the components induced by real and nominal factors. These shocks affecting real and nominal exchange rates are identified by using a structural vector autoregression (SVAR) model with the long-run neutrality restriction of Blanchard and Quah (1989). The empirical analysis demonstrates that real shocks in direction of depreciation lead to real and nominal depreciation, while nominal shocks induce long-run nominal depreciation but real appreciation in the short-run. Several economic implications are also discussed.

scholarly journals The impact of fiscal and monetary policies on unemployment problem in Nigeria (managerial economic perspective)

2015 ◽  
Vol 5 (2) ◽  
pp. 101-109
Author(s):  
Nick Attamah ◽  
Anthony Igwe ◽  
Wilfred Isioma Ukpere
Keyword(s):  
Monetary Policy ◽  
Exchange Rates ◽  
Money Supply ◽  
Positive Relationship ◽  
A Priori ◽  
Government Expenditure ◽  
Unit Roots ◽  
Monetary Policies ◽  
The Impact ◽  
Unemployment Problem

This paper investigates the impact of fiscal and Monetary Policies on Unemployment Problem in Nigeria and covers the periods 1980 to 2013. To achieve this, fiscal policy was captured here by government expenditures and revenues respectively while monetary policy was proxied by broad Money Supply (M2), Interest and Exchange rates respectively. The methodology adopted was econometric analysis employing OLS techniques and unit roots of the series were examined using the Augmented Dickey-Fuller after which the co-integration tests was conducted using the Engle Granger approach. Error correction models were estimated to take care of the short run dynamics. It was found that while government expenditure had a positive relationship with unemployment problem in Nigeria, the result of government revenue was negative and insignificant on unemployment problem. For monetary policy, it was found that money supply and exchange rate had positive and significant impact while interest rate has only a positive relationship on unemployment problem in Nigeria. This meets the a priori expectation. The study also revealed that increases in interest and exchange rates escalate unemployment by increasing cost of production which discourages the private sector from employing large workforce. On the other hand, national productivity measured by real GDP had a negative and significant impact on unemployment rate in Nigeria. This paper recommends that for an effective combat to unemployment problem in Nigeria, there should be a systematic diversion of strategies, thus more emphasis should be laid on aggressively pursuing entrepreneurial development and increased productivity. Again government should aggressively focus on investment, employment generation and economic growth that has mechanism to trickle does to the masses.

Real and Nominal Exchange Rates in the Long Run

1991 ◽  
Vol 91 (63) ◽  
pp. 1
Author(s):  
Charles Adams ◽  
Bankim Chadha ◽  
◽  
Keyword(s):  
Exchange Rates ◽  
Long Run ◽  
Nominal Exchange Rates

scholarly journals COINTEGRATION BETWEEN STOCK MARKET INDICES AND NOMINAL EXCHANGE RATES: EVIDENCE FROM TRANSITION COUNTRIES

2015 ◽  
Vol 1 (10) ◽  
pp. 35
Author(s):  
Vesna Prorok ◽  
Slađana Paunović
Keyword(s):  
Stock Market ◽  
Exchange Rates ◽  
Transition Countries ◽  
Future Trends ◽  
Causality Test ◽  
The Czech Republic ◽  
Monthly Data ◽  
Long Run ◽  
Nominal Exchange Rates ◽  
Short Run

This paper analyzes the interdependence between stock market indices and exchange rates in four transition countries: Croatia, Serbia, Hungary and the Czech Republic. The analysis is based on monthly data for the nominal exchange stock market indices and nominal exchange rates over the period from March 2010 to March 2015. The main objective of this work is to determine whether the exchange rates had a significant impact on future trends in the capital markets and vice versa. Empirical analysis has shown that the series are stationary in the first differences, and using both Engle-Granger cointegration and Granger causality test it has been shown, as well, that there is neither long-run nor short-run relationship between these two variables. In other words, it means that prediction of movement of one variable cannot be based on past values of other variable

Sign in / Sign up

Export Citation Format

Share Document