دانلود مقاله ISI انگلیسی شماره 9063
ترجمه فارسی عنوان مقاله

رژیم های سوئیچینگ مارکوف و مدل پولی در تعیین نرخ ارز: مدارک و شواهد از بازارهای اروپای مرکزی و شرقی

عنوان انگلیسی
Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets
کد مقاله سال انتشار تعداد صفحات مقاله انگلیسی
9063 2011 17 صفحه PDF
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of International Financial Markets, Institutions and Money, Volume 21, Issue 5, December 2011, Pages 707–723

ترجمه کلمات کلیدی
- اصول پولی - غیر خطی - رژیم های سوئیچینگ
کلمات کلیدی انگلیسی
پیش نمایش مقاله
پیش نمایش مقاله  رژیم های سوئیچینگ مارکوف و مدل پولی در تعیین نرخ ارز: مدارک و شواهد از بازارهای اروپای مرکزی و شرقی

چکیده انگلیسی

This paper examines the dynamic relationship between the bilateral exchange rates of 10 Central and Eastern European emerging markets against the euro and their fundamentals, using data from the early 1990s to the middle of 2010, within the framework provided by the monetary model of exchange rate determination. Given that these countries have adopted alternative exchange rate regimes over this period, we employed a Markov-switching vector error correction model which allowed for regime shifts in the entire set of parameters and the variance–covariance matrix. The main finding of the analysis was that depending on the nominal exchange rate regime in operation, the adjustment to the long run implied by the monetary model of the exchange rate determination came either from the exchange rate or from the monetary fundamentals. Moreover, based on a Regime Classification Measure, we showed that our chosen Markov-switching specification performed well in distinguishing between the two regimes for all cases.