Panel analysis of the monetary approach to exchange rates: Evidence from ten new EU members and Turkey

Idil Uz Akdogan and Natalya Ketenci

Emerging Markets Review, 2008, vol. 9, issue 1, 57-69

Abstract: This paper presents empirical evidence which links the exchange rates to monetary variables in the newly entered ten EU members and Turkey. Using the panel version of various cointegration tests, we find a long-run relationship between nominal exchange rate and monetary variables such as monetary differential, output differential, interest rate differential and price differential. In addition, empirical evidence shows that our error-correction framework of the out-of-sample predictability outperforms random walk after two years.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1566-0141(07)00062-3
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:9:y:2008:i:1:p:57-69

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Catherine Liu ().