본문 바로가기
KERD
논문KCI 등재

MONETARY, REAL SHOCKS AND EXCHANGE RATE VARIATIONS IN INDIA

1

조회

0

다운로드

0

인용

0

참고문헌

키워드

주제분류경제학

초록

This article examines how a rate of the change of the exchange rate as well as how a rate of the change of the expected exchange rate are related to the unanticipated change in domestic money supply and output. Empirical analysis involves quarterly time series of the rupee/US dollar exchange rate, the narrow money M1, the broad money M3 and output in India under the market based exchange rate regime. The paper testifies exchange rate overshooting phenomenon where both unanticipated M1 and M3 cause variations and depreciation of rupee. Some evidence of the causal role of unanticipated output is observed. The rupee is found to be sensitive with both unanticipated money and output shocks where the impact of money shocks is stronger than output shocks.

Abstract

This article examines how a rate of the change of the exchange rate as well as how a rate of the change of the expected exchange rate are related to the unanticipated change in domestic money supply and output. Empirical analysis involves quarterly time series of the rupee/US dollar exchange rate, the narrow money M1, the broad money M3 and output in India under the market based exchange rate regime. The paper testifies exchange rate overshooting phenomenon where both unanticipated M1 and M3 cause variations and depreciation of rupee. Some evidence of the causal role of unanticipated output is observed. The rupee is found to be sensitive with both unanticipated money and output shocks where the impact of money shocks is stronger than output shocks.

참고문헌 (34)

  1. Bhanumurthy, N. R, "Macroeconomic Fundamentals and Exchange Rate Dynamics in India Some Survey Results", Economic & Political Weekly, 41(11), pp.1101~1107 (2006)
  2. Sources of Nominal Exchange Rate Fluctuations in South Africa, "Bhundia, A", IMF, ~, pp.WP (2003), 03[DOI]
  3. John F. O. Bilson, "Recent Developments in Monetary Models of Exchange Rate Determination (Evolution recente des modeles monetaires de determination des taux de change) (Progreso reciente en el campo de los modelos monetarios para la determinacion del tipo de cambio)", Staff Papers - International Monetary Fund, 26(2), pp.201~223 (1979), Springer Nature[DOI]
  4. Box, G. E. P, "Time Series Analysis, Forecasting and Control" (1970), Holden- Day
  5. Box, G. E. P, "Time Series Analysis, Forecasting and Control" (1976), Holden-Day
  6. Chadha, B, "Real Exchange Rate Fluctuations and the Business Cycle : Evidence from Japan", IMF Staff Papers, 44(3), pp.328~355 (1997)
  7. Usefulness of Adaptive and Rational Expectations in Economics, "Chow, G. C", CEPS, ~, pp.CEPS Working Paper, 221 (2011)
  8. Richard Clarida, "Sources of real exchange-rate fluctuations: How important are nominal shocks?", Carnegie-Rochester Conference Series on Public Policy, 41, pp.1~56 (1994), Elsevier BV[DOI]
  9. Copeland, L, "Exchange Rates and International Finance" (2007), Pearson Education
  10. Dickey, D. A, "Distribution of Estimators for Autoregressive Time Series with Unit Root", Journal of American Statistical Association, 74(366), pp.427~431 (1979)
  11. Dickey, D. A, "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root", Econometrica, 49(4), pp.1057~1072 (1981)
  12. Dornbusch, R, "Devaluation, Money and Non-Traded Goods", American Economic Review, 63(5), pp.871~880 (1973)
  13. Dornbusch, R, "Expectations and Exchange Rate Dynamics", Journal of Political Economy, 84(6), pp.1161~1176 (1976)
  14. Dua, P, "Macroeconomic Management and Government Finances" (2009), Oxford University Press
  15. Modeling and Forecasting the Indian RE, "US Dollar Exchange Rate", Dua, P, 2011
  16. Frankel J. A, "A Monetary Approach to the Exchange Rate : Doctrinal Aspects and Empirical Evidence", Scandinavian Journal of Economics, 78(2), pp.200~224 (1976)
  17. Frankel J. A, "On the Mark : A Theory of Floating Exchange Rates Based on Real Interest Differentials", American Economic Review, 69(4), pp.610~622 (1979)
  18. Nikolay Gertchev, "A Critique of Adaptive and Rational Expectations", The Quarterly Journal of Austrian Economics, 10(4), pp.313~329 (2007), Springer Nature[DOI]
  19. Inoue, T, "What Explains Real Exchange Rate Fluctuations? Evidence from SVAR Analysis for India", Economics Bulletin, 29(4), pp.1~11 (2009)
  20. Harry G. Johnson, "The monetary approach to the balance of payments", Journal of International Economics, 7(3), pp.251~268 (1977), Elsevier BV[DOI]
  21. Renu Kohli, "Real exchange rate stabilisation and managed floating: exchange rate policy in India, 1993–2001", Journal of Asian Economics, 14(3), pp.369~387 (2003), Elsevier BV[DOI]
  22. Lastrapes, W. D, "Sources of Fluctuations in Real and Nominal Exchange Rates", The Review of Economics and Statistics, 74(3), pp.530~539 (1992)
  23. Maitra, B, "Unanticipated Monetary Shocks and Exchange Rate Variations in Sri Lanka", The Indian Economic Journal, 58(1), pp.112~133 (2010)
  24. Maitra, B, "Causal Relation Between Money Supply and Exchange Rate in India under Basket Peg and Market Determination Regimes : A Time Series Analysis", The IUP Journal of Applied Economics, 10(2), pp.40~56 (2010)
  25. Maitra, B, "Monetary Shock and Currency Fluctuations : Evidence from High Frequency Dataset", International Economics and Finance Journal, 6(2), pp.121~138 (2011)
  26. Moore, T, "The Sources of Real Exchange Rate Fluctuations in India", Indian Economic Review, 41(1), pp.9~23 (2006)
  27. Mussa, M, "The Exchange Rate, the Balance of Payments and Monetary and Fiscal Policy under a Regime of Controlled Floating", Scandinavian Journal of Economics, 78(2), pp.229~248 (1976)
  28. Muth, J. F, "Rational Expectations and the Theory of Price Movements", Econometrica, 29(3), pp.315~335 (1961)
  29. Pattnaik, R. K, "Exchange Rate Policy and Management : The Indian Experience", Economic & Political Weekly, 38(22), pp.2139~2154 (2003)
  30. Pearce, D. W, "The MIT Dictionary of Modern Economics" (1983), MIT Press
  31. Sargent, T. J, "Rational Expectations and the theory of Economic Policy", Journal of Monetary Economics, 2(2), pp.169~183 (1975)
  32. Sargent, T. J, "Rational Expectations, the Optimal Monetary Policy Instrument, and the Optimal Money Supply Rule", Journal of Political Economy, 83(2), pp.241~254 (1975)
  33. Is the Exchange Rate a Shock Absorber? The Case of Sweden, "Thomas, A", International Monetary Fund, ~, pp.IMF Working Paper, 97 (1997), 176
  34. Wang, T, "Sources of Real Exchange Rate Fluctuations in China", Journal of Comparative Economics, 33(4), pp.753~771 (2005)

관련 논문AI추천

이 간행물의 다른 논문 (4건)