• About
  • Policies
  • What is openaccess
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • University Library
      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
      • View Item
      •   BUIR Home
      • University Library
      • Bilkent Theses
      • Theses - Department of Economics
      • Dept. of Economics - Master's degree
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Panel cointegration analysis to exchange rate determination : monetary model versus Taylor rule model

      Thumbnail
      View / Download
      226.2 Kb
      Author
      Kutlu, Vesile
      Advisor
      Özcan, Kıvılcım Metin
      Date
      2009
      Publisher
      Bilkent University
      Language
      English
      Type
      Thesis
      Item Usage Stats
      35
      views
      7
      downloads
      Metadata
      Show full item record
      Abstract
      This thesis examines the validity of the monetary model and the Taylorrule model in determining exchange rates in the long run. The monetary model and the Taylor-rule model are tested using the US dollar exchange rates over 1980:01-2007:04 periods for 13 industrialized countries. Johansen Fisher Panel cointegration technique provides evidence that there exist a unique cointegration relationship between the nominal exchange rates and a set of fundamentals implied by the monetary model and the Taylor rule model. The cointegrating coefficient estimates for the monetary model and the Taylor rule model are found by using panel dynamic ordinary least square (DOLS) estimator. The estimation results show that the effects of the monetary and the Taylor rule fundamentals on exchange rates are not the same as what the theory suggests. Overall, the findings of this thesis imply that there is no support for the monetary model and there is little support for Taylor-rule model in explaining exchange rates.
      Keywords
      Exchange Rates
      Panel Cointegration
      Panel Unit Root Tests
      Taylor Rule
      Monetary Model
      Permalink
      http://hdl.handle.net/11693/14848
      Collections
      • Dept. of Economics - Master's degree 286

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartments

      My Account

      Login

      Statistics

      View Usage Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 1771
      Copyright © Bilkent University | Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin