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

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buir.advisorÖzcan, Kıvılcım Metin
dc.contributor.authorKutlu, Vesile
dc.date.accessioned2016-01-08T18:09:28Z
dc.date.available2016-01-08T18:09:28Z
dc.date.issued2009
dc.departmentDepartment of Economicsen_US
dc.descriptionAnkara : The Department of Economics, Bilkent University, 2009.en_US
dc.descriptionThesis (Master's) -- Bilkent University, 2009.en_US
dc.descriptionIncludes bibliographical references leaves 43-47.en_US
dc.description.abstractThis 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.en_US
dc.description.degreeM.A.en_US
dc.description.statementofresponsibilityKutlu, Vesileen_US
dc.format.extentvii, 49 leaves, tablesen_US
dc.identifier.urihttp://hdl.handle.net/11693/14848
dc.language.isoEnglishen_US
dc.publisherBilkent Universityen_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.subjectExchange Ratesen_US
dc.subjectPanel Cointegrationen_US
dc.subjectPanel Unit Root Testsen_US
dc.subjectTaylor Ruleen_US
dc.subjectMonetary Modelen_US
dc.subject.lccHG3823 .K88 2009en_US
dc.subject.lcshForeign exchange rates--Mathematical models.en_US
dc.subject.lcshMonetary policy--Mathematical models.en_US
dc.subject.lcshExchange rates--Mathematical models.en_US
dc.titlePanel cointegration analysis to exchange rate determination : monetary model versus Taylor rule modelen_US
dc.typeThesisen_US

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Dept. of Economics - Master's degree