Linear and Nonlinear Monetary Approaches to the Exchange Rate of the Philippines Peso-Japanese Yen

Economics Bulletin, Vol. 29, Issue 2, pp. 1331-1340, 2009

10 Pages Posted: 18 Jun 2009

Date Written: June 18, 2009

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, Philippines, monetary model, nonlinear, cointegration, peso-yen

JEL Classification: F31, C14

Suggested Citation

Liew, Venus Khim-Sen, Linear and Nonlinear Monetary Approaches to the Exchange Rate of the Philippines Peso-Japanese Yen (June 18, 2009). Economics Bulletin, Vol. 29, Issue 2, pp. 1331-1340, 2009, Available at SSRN: https://ssrn.com/abstract=1421784

Venus Khim-Sen Liew (Contact Author)

Universiti Malaysia Sarawak ( email )

Faculty of Economics and Business
Kota Samarahan, Sarawak 94300
Malaysia
+6082582415 (Phone)
+6082671794 (Fax)

HOME PAGE: http://www.feb.unimas.my/

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