Monetary Models of Exchange Rate: Nonlinearity Matters

Venus Khim-Sen Liew. 2008. Monetary Models of Exchange Rate: Nonlinearity Matters. Germany: VDM Verlag, 188 pages. 1 September 2008. [ISBN: 3639067223].

Publisher: VDM, Germany
Year: 1 September, 2008

Abstract:

This book demonstrates that nonlinearity matters in the study of exchange rate. It includes discussion on the theoretical and empirical aspects of nonlinearity in exchange rate. It puts forward that linear monetary exchange rate model can be extended into the nonlinear framework, which is more relevant to the contemporary development in exchange rate study. Various monetary models are discussed and the validity of these models in the context of ASEAN-5 countries is examined. Notably, this book offers detailed discussions on the practical aspects of the relevant nonlinear econometrics procedures for the testing of integration order, cointegration and exogeneity, and for modeling and forecasting. These procedures are also useful for studies other than exchange rate. Besides, this book provides overview on the historical exchange rates developments in general and the experience of ASEAN-5 countries in specific are overviewed.