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Money demand instability and real exchange rate persistence in the monetary model of USD-JPY exchange rate
journal contribution
posted on 2023-06-09, 09:08 authored by John Hunter, Faek Menla AliFaek Menla AliThis paper proposes a hybrid monetary model of the dollar-yen exchange rate that takes into account factors affecting the conventional monetary model's building blocks. In particular, the hybrid monetary model is based on the incorporation of real stock prices to enhance money demand stability and also, productivity differential, relative government spending, and real oil price to explain real exchange rate persistence. By using quarterly data over a period of high international capital mobility and volatility (1980:01-2009:04), the results show that the proposed hybrid model provides a coherent long-run relation to explain the dollar-yen exchange rate as opposed to the conventional monetary model.
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Publication status
- Published
Journal
Economic ModellingISSN
0264-9993Publisher
ElsevierExternal DOI
Volume
40Page range
42-51Department affiliated with
- Business and Management Publications
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- No
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- Yes
Legacy Posted Date
2017-12-01Usage metrics
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