Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen

Venus Liew

MPRA Paper from University Library of Munich, Germany

Abstract: This study provides evidence of nonlinear long-run relationship between peso-yen exchange rate and its monetary determinants implied by the reduced-form flexible-price monetary model for the Philippines, using Breitung’s (2001) nonlinear cointegration testing procedures. The existence of such relationship is probably resulted from the strong and consistent bilateral trade relationship between the Philippines and Japan. Results from various monetary restrictions tests suggest that other forms of the related monetary model are not suitable in the determination of the peso-yen exchange rate.

Keywords: Exchange Rate; Monetary Model; Nonlinear; Cointegration; the Philippines (search for similar items in EconPapers)
JEL-codes: C32 F31 (search for similar items in EconPapers)
Date: 2009, Revised 2009-06-05
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mon and nep-sea
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/15550/1/MPRA_paper_15550.pdf original version (application/pdf)

Related works:
Journal Article: Linear and nonlinear monetary approaches to the exchange rate of the Philippines peso-Japanese yen (2009)
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:pra:mprapa:15550

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().