The Long-Run Relationship between Exchange Rates and Foreign Exchange Reserves with a Structural Break: The Case of Mongolia
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This paper empirically investigates the long‐run relationship between effective exchange rates and foreign exchange reserves in Mongolia over the period of June 1997 to June 2007. In particular, to allow for a structural break, we conduct the stationarity analysis of Zivot and Andrews(1992) and the cointegration analysis of Gregory and Hansen(1996). The results demonstrate clear evidence supporting the presence of a long-run relationship between exchange rates and foreign exchange reserves, even though conventional tests do not detect such a long-run relationship. This study also argues that the estimated timing of the structural break is consistent with significant economic shocks in Mongolia.
Abstract
This paper empirically investigates the long‐run relationship between effective exchange rates and foreign exchange reserves in Mongolia over the period of June 1997 to June 2007. In particular, to allow for a structural break, we conduct the stationarity analysis of Zivot and Andrews(1992) and the cointegration analysis of Gregory and Hansen(1996). The results demonstrate clear evidence supporting the presence of a long-run relationship between exchange rates and foreign exchange reserves, even though conventional tests do not detect such a long-run relationship. This study also argues that the estimated timing of the structural break is consistent with significant economic shocks in Mongolia.
참고문헌 (21)
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