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| Title | The Non-linear Dynamic Relationship between Exchange Rates and Macroeconomic Fundamentals in G-7 Countries |
| Creator | Lee, Chien-Chiang;Chang, Tsangyao;Lee, Chi-Chuan;Lin, Hsin-Yi 李起銓;林馨怡 |
| Contributor | 金融系;經濟系 |
| Key Words | Exchange Rate;Macroeconomics |
| Date | 2010-07 |
| Date Issued | 15-Sep-2015 14:43:06 (UTC+8) |
| Summary | This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997), as well as the non-linear Granger causality provided by Hiemstra and Jones (1994) and Diks and Panchenko (2006). The results for the Johansen (1988) test show that there is no evidence of a long-run cointegration relationship between the two variables. Conversely, Bierens (1997) provides clear support of a non-linear cointegration relationship. We also find that uni-directional causality exists, except for Canada, Germany, and the United Kingdom according to the Hiemstra and Jones (1994) test. However, the Diks and Panchenko (2006) test finds bi-directional causality in Canada, Germany, and United Kingdom, uni-directional causality running from the exchange rate to fundamentals in Italy, and uni-directional causality running from fundamentals to the exchange rate in Japan. |
| Relation | Journal of Economics and Management, 6(2), 203-228 |
| Type | article |
| dc.contributor | 金融系;經濟系 | |
| dc.creator (作者) | Lee, Chien-Chiang;Chang, Tsangyao;Lee, Chi-Chuan;Lin, Hsin-Yi | |
| dc.creator (作者) | 李起銓;林馨怡 | zh_TW |
| dc.date (日期) | 2010-07 | |
| dc.date.accessioned | 15-Sep-2015 14:43:06 (UTC+8) | - |
| dc.date.available | 15-Sep-2015 14:43:06 (UTC+8) | - |
| dc.date.issued (上傳時間) | 15-Sep-2015 14:43:06 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/78482 | - |
| dc.description.abstract (摘要) | This paper explores the long-run and causality relationship between the exchange rate and macroeconomic fundamentals in G-7 countries, employing recently developed tests for the linear cointegration provided by Johansen (1988), the non-parametric cointegration method provided by Bierens (1997), as well as the non-linear Granger causality provided by Hiemstra and Jones (1994) and Diks and Panchenko (2006). The results for the Johansen (1988) test show that there is no evidence of a long-run cointegration relationship between the two variables. Conversely, Bierens (1997) provides clear support of a non-linear cointegration relationship. We also find that uni-directional causality exists, except for Canada, Germany, and the United Kingdom according to the Hiemstra and Jones (1994) test. However, the Diks and Panchenko (2006) test finds bi-directional causality in Canada, Germany, and United Kingdom, uni-directional causality running from the exchange rate to fundamentals in Italy, and uni-directional causality running from fundamentals to the exchange rate in Japan. | |
| dc.format.extent | 159 bytes | - |
| dc.format.mimetype | text/html | - |
| dc.relation (關聯) | Journal of Economics and Management, 6(2), 203-228 | |
| dc.subject (關鍵詞) | Exchange Rate;Macroeconomics | |
| dc.title (題名) | The Non-linear Dynamic Relationship between Exchange Rates and Macroeconomic Fundamentals in G-7 Countries | |
| dc.type (資料類型) | article | en |