This paper employs a structural vector autoregression (SVAR) model to investigate the monetary policy framework of a small emerging open economy Malaysia, especially how the economy dynamically respond to money, interest rate, exchange rate and foreign shocks. We establish identification conditions to uncover the dynamic effects of monetary policy shocks on various domestic variables. Following...

a r t i c l e i n f o JEL classification: F31 C13 C45 Keywords: Exchange rate forecasting Purchasing power parity Artificial neural network Investors consider foreign exchange as being among the most significant financial markets. Many discussions regarding economic development, growth strategies and stabilization policies place real exchange rate to play the most important role in the macroeco...

China has experienced a large increase in its foreign exchange reserves since 2001, due to a continuous in‡ow of capital and the commitment to maintain a …xed rate against the dollar initially and then a crawling peg exchange rate regime. Among other things, the accumulation of foreign assets has an expansionary monetary e¤ect and poses a challenge for domestic macroeconomic management. As a re...

nowadays, non-oil exports growth and increase of share in the world trade with the aim of stopping the dependence of irans economy on oil are considered an important responsibility for the decision-makers in the state and a crucial economic goal as well. thus from among the factors influencing non-oil exports, the exchange rate policies have always played a very important role. this paper tries...

The purpose of this paper is to investigate the role of exchange rate uncertainty in determining foreign direct R&D investment into the UK. We estimate an econometric model of FDI in R&D, using a panel of manufacturing industries. Our results suggest that an increase in the volatility of the euro-dollar exchange rate tends to relocate R&D investment from the Euro Area into the UK. A rise in the...

One of the striking features of the business cycles is the patterns of co-movement of output, inflation, interest rates, and real equity prices across countries. This paper empirically examines the effects of domestic and foreign monetary policies on Iranchr('39')s macroeconomic variables (including real production, inflation, short-term interest rate, and real exchange rate) using quarterly da...

This paper establishes the link of microstructure and macroeconomic factors with the timevarying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant determinants of this correlation which is inclusive of the short-run variation of both asset retu...