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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2016.1
- 수록면
- 81 - 103 (23page)
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This article examines how a rate of the change of the exchange rate as well as how a rate of the change of the expected exchange rate are related to the unanticipated change in domestic money supply and output. Empirical analysis involves quarterly time series of the rupee/US dollar exchange rate, the narrow money M1, the broad money M3 and output in India under the market based exchange rate regime. The paper testifies exchange rate overshooting phenomenon where both unanticipated M1 and M3 cause variations and depreciation of rupee. Some evidence of the causal role of unanticipated output is observed.
The rupee is found to be sensitive with both unanticipated money and output shocks where the impact of money shocks is stronger than output shocks.
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참고문헌 (34)
참고문헌 신청
Bhanumurthy, N. R / 2006 / Macroeconomic Fundamentals and Exchange Rate Dynamics in India Some Survey Results / Economic & Political Weekly 41(11):1101~1107
Bhundia, A / 2003 / Sources of Nominal Exchange Rate Fluctuations in South Africa
John F. O. Bilson / 1979 / Recent Developments in Monetary Models of Exchange Rate Determination (Evolution recente des modeles monetaires de determination des taux de change) (Progreso reciente en el campo de los modelos monetarios para la determinacion del tipo de cambio) / Staff Papers - International Monetary Fund 26(2):201~223
Box, G. E. P / 1970 / Time Series Analysis, Forecasting and Control / Holden- Day
Box, G. E. P / 1976 / Time Series Analysis, Forecasting and Control / Holden-Day
Bhundia, A / 2003 / Sources of Nominal Exchange Rate Fluctuations in South Africa
John F. O. Bilson / 1979 / Recent Developments in Monetary Models of Exchange Rate Determination (Evolution recente des modeles monetaires de determination des taux de change) (Progreso reciente en el campo de los modelos monetarios para la determinacion del tipo de cambio) / Staff Papers - International Monetary Fund 26(2):201~223
Box, G. E. P / 1970 / Time Series Analysis, Forecasting and Control / Holden- Day
Box, G. E. P / 1976 / Time Series Analysis, Forecasting and Control / Holden-Day
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