The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries

The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries

Exchange rate volatility has affected not only sub-Saharan African economies but the volume of international transactions in general. It directly affects the nations’ profitability of tradable commodities, balance of payment, terms of trade and investment decisions. Despite the measures taken by th...

全面介紹

Saved in:
書目詳細資料
主要作者: Umar, Mohammed
格式: Thesis
語言:eng
eng
出版: 2016
主題:
HG Finance
在線閱讀:https://etd.uum.edu.my/6067/1/s95339_01.pdf
https://etd.uum.edu.my/6067/2/s95339_02.pdf
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!
id my-uum-etd.6067
record_format uketd_dc
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Dahalan, Jauhari
Azman Aziz, Mukriz Izraf
topic HG Finance
spellingShingle HG Finance
Umar, Mohammed
The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
description Exchange rate volatility has affected not only sub-Saharan African economies but the volume of international transactions in general. It directly affects the nations’ profitability of tradable commodities, balance of payment, terms of trade and investment decisions. Despite the measures taken by the monetary authorities to ensure macroeconomic stability, exchange rate remains volatile. This study, therefore pursues the following objectives. First, it investigates the effectiveness of the inflation targeting framework (ITF) as a hedging strategy for exchange rate volatility. Second, examines whether the monetary policy of ITF has performed the role of the nominal anchor in the economies. Third, examines the influence of exchange rate regime switching on exchange rate volatility and finally, determines causality among the variables of the monetary theory of exchange rate determination. In achieving the results of the objectives, the study employed a battery of econometric procedures namely, threshold generalised autoregressive conditional heteroscedasticity (TGARCH) model, generalised method of moments (GMM) estimators, time-varying Markov-switching transition probability ARCH model and asymmetric/Toda-Yamamoto dynamic causality with leverage bootstrapping. The results of the first objective indicate that the menace of exchange rate volatility reduces when the IT policy was adopted in Ghana and South Africa. However, the ITF policy transition increases the volatility of exchange rate. Secondly, the findings on the baseline and augmented Taylor rule models reveal that ITF become a nominal anchor in the economies immediately after the adoption of the policy, although the hypothetical response of interest rate to inflation deviation and output gap is greater in South Africa compared to Ghana. Thirdly, the results of the time-varying Markov-switching models indicate that the exchange rates of the countries are characterised by decline in the downward regime except for Nigeria which shows high decline in the upward regime. Finally, the estimates of the asymmetric/Toda-Yamamoto causality reveal the existence of size distortion when the asymptotic Granger causality is used. The main policy implication of the findings is that monetary authorities can ensure exchange rate stability through accountability and transparency in contractionary or expansionary policies in aggregate demand using monetary policy instrument.
format Thesis
qualification_name Ph.D.
qualification_level Doctorate
author Umar, Mohammed
author_facet Umar, Mohammed
author_sort Umar, Mohammed
title The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
title_short The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
title_full The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
title_fullStr The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
title_full_unstemmed The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries
title_sort analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-saharan african countries
granting_institution Universiti Utara Malaysia
granting_department School of Economics, Finance & Banking
publishDate 2016
url https://etd.uum.edu.my/6067/1/s95339_01.pdf
https://etd.uum.edu.my/6067/2/s95339_02.pdf
_version_ 1747828017381507072
spelling my-uum-etd.60672021-12-08T03:26:47Z The analysis of monetary framework of inflation targeting, exchange rate regime switching and volatility in selected sub-Saharan African countries 2016 Umar, Mohammed Dahalan, Jauhari Azman Aziz, Mukriz Izraf School of Economics, Finance & Banking School of Economics Finance and Banking HG Finance Exchange rate volatility has affected not only sub-Saharan African economies but the volume of international transactions in general. It directly affects the nations’ profitability of tradable commodities, balance of payment, terms of trade and investment decisions. Despite the measures taken by the monetary authorities to ensure macroeconomic stability, exchange rate remains volatile. This study, therefore pursues the following objectives. First, it investigates the effectiveness of the inflation targeting framework (ITF) as a hedging strategy for exchange rate volatility. Second, examines whether the monetary policy of ITF has performed the role of the nominal anchor in the economies. Third, examines the influence of exchange rate regime switching on exchange rate volatility and finally, determines causality among the variables of the monetary theory of exchange rate determination. In achieving the results of the objectives, the study employed a battery of econometric procedures namely, threshold generalised autoregressive conditional heteroscedasticity (TGARCH) model, generalised method of moments (GMM) estimators, time-varying Markov-switching transition probability ARCH model and asymmetric/Toda-Yamamoto dynamic causality with leverage bootstrapping. The results of the first objective indicate that the menace of exchange rate volatility reduces when the IT policy was adopted in Ghana and South Africa. However, the ITF policy transition increases the volatility of exchange rate. Secondly, the findings on the baseline and augmented Taylor rule models reveal that ITF become a nominal anchor in the economies immediately after the adoption of the policy, although the hypothetical response of interest rate to inflation deviation and output gap is greater in South Africa compared to Ghana. Thirdly, the results of the time-varying Markov-switching models indicate that the exchange rates of the countries are characterised by decline in the downward regime except for Nigeria which shows high decline in the upward regime. Finally, the estimates of the asymmetric/Toda-Yamamoto causality reveal the existence of size distortion when the asymptotic Granger causality is used. The main policy implication of the findings is that monetary authorities can ensure exchange rate stability through accountability and transparency in contractionary or expansionary policies in aggregate demand using monetary policy instrument. 2016 Thesis https://etd.uum.edu.my/6067/ https://etd.uum.edu.my/6067/1/s95339_01.pdf text eng public https://etd.uum.edu.my/6067/2/s95339_02.pdf text eng public Ph.D. doctoral Universiti Utara Malaysia Abbas, Q., & Iqbal, J. (2012). Relationship between GDP, inflation and real interest rate with exchange rate fluctuation of African countries. International Journal of Academic Research in Accounting, Finance and Management Sciences, 2(3), 132-141. Abdul Karim, Z., & Abdul Karim, B. (2014). Interest rates targeting of monetary policy: An open economy SVAR study of Malaysia. Gadjah Mada International Journal of Business, 16(1), 1-23. Abdul Karim, Z., Said, M., Faezah, F., Jusoh, M., Thahir, M., & Zyadi, M. (2009). Monetary policy and inflation targeting in a small open-economy. MPRA paper No. 23949 retrieved at http://mpra.ub.uni-muenchen.de/23949/. Abdullah, H., Ali, J., & Matahir, H. (2010). Re-examining the demand for money in ASEAN-5 countries. Asian Social Science, 6(7), 146-155. Achsani, N., Fauzi, A. J. F. A., & Abdullah, P. (2010). The relationship between inflation and real exchange rate: comparative study between Asean+3, the EU and North America. European Journal of Economics, Finance and Administrative Sciences, 18(2010), 1450-2275. Adebola, S. S., & Dahalan, J. (2011). Capital mobility: An application of saving investment link for Tunisia. International Journal of Economics and Financial Issues, 2(1), 1-11. Adrangi, B., & Allender, M. (1995). US interest rates and the exchange value of the dollar: A test of causality. Journal of Economics and Finance, 19(1), 51-61. Aggarwal, R., Inclan, C., & Leal, R. (1999). Volatility in emerging stock markets. Journal of Financial and Quantitative Analysis, 34(1), 33-55. Aghion, P., Bacchetta, P., Ranciere, R., & Rogoff, K. (2009). Exchange rate volatility and productivity growth: The role of financial development. Journal of Monetary Economics, 56(4), 494-513. Ahmad, M. N., Yusop, Z., & Masron, T. A. (2010). How did the Malaysian real exchange rate misalign during the 1997 Asian crisis?. International Journal of Economics, Management and Accounting, 18(2), 161-195. Aizenman, J., & Hutchison, M. (2011). The emerging global financial architecture and exchange rate regimes in a volatile world. International Review of Economics & Finance, 20(1), 1-4. Aizenman, J., Hutchison, M., & Noy, I. (2011). Inflation targeting and real exchange rates in emerging markets. World Development, 39(5), 712-724. Akhtar, M. A., & Hilton, R. S. (1984) Effects of exchange rate uncertainty on German and U.S. trade. Federal Reserve Bank of New York Quarterly Review, 9(Spring), 7-16. Akinbobola, T. O. (2012). The dynamics of money supply, exchange rate and inflation in Nigeria. Journal of Applied Finance & Banking, 2(4), 117-141. Alimi, S. R., & Ofonyelu, C. C. (2013). Toda-Yamamoto causality test between money market interest rate and expected inflation: The Fisher hypothesis revisited. European Scientific Journal, 9(7), 125-142. Aliyu, S. U. R. & Englama, A. (2009). Is Nigeria ready for inflation targeting?. MPRA paper No 14870, available at http://mpra.ub.uni-muenchen. de/14870/. Aliyu, S. U. R. (2012). Does inflation have an impact on stock returns and volatility? Evidence from Nigeria and Ghana. Applied Financial Economics, 22(6), 427-435. Allsopp, C., Kara, A., & Nelson, E. (2006). United Kingdom inflation targeting and the exchange rate. The Economic Journal, 116(512), F232-F244. Alvarez, F., Atkeson, A., Kehoe, P.J. (2002). Money, interest rates and exchange rates with endogenously segmented markets. Journal of Political Economy, 110(1), 73–112. Amemiya, T. (1975). The nonlinear limited-information maximum-likelihood estimator and the modified nonlinear two-stage least-squares estimator. Journal of Econometrics, 3(4), 375-386. Andrews, D. W. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 59(3), 817-858. Ang, A., & Bekaert, G. (2002). Regime switches in interest rates. Journal of Business & Economic Statistics, 20(2), 163-182. Antoni, A. (2010). Monetary policy and inflation targeting in a small open economy. Economic Journal of Emerging Markets, 2(2), 187-198. Arabi, K. A. M. (2012). Estimation of exchange rate volatility via GARCH model: Case study Sudan (1978–2009). International Journal of Economics and Finance, 4(11), 183-192. Arize, A. C., & Malindretos, J. (1997). Effects of exchange-rate variability on inflation variability: Some additional evidence. Applied Economics Letters, 4(7), 453-457. Arize, A. C., & Malindretos, J. (1998). The long-run and short-run effects of exchangerate volatility on exports: The case of Australia and New Zealand. Journal of Economics and Finance, 22(2-3), 43-56. Arize, A. C., Malindretos, J., & Shwiff, S. S. (1999). Structural breaks, cointegration, and speed of adjustment evidence from 12 LDCs money demand. International Review of Economics & Finance, 8(4), 399-420. Aron, J. & Elbadawi, I. (1999). Reflections on the South African rand crisis of 1996 and its consequences." Working paper series 1999:13. Centre for the study of African Economics. Oxford University. Aron, J., & Muellbauer, J. (2007). Review of monetary policy in South Africa since 1994. Journal of African Economies, 16(5), 705-744. Ashfan, G. & Batul, T. (2014). Relationship among exchange rate, trade, interest rate and inflation in Pakistan and India: A time series modeling approach. International Researcher, 3(3), 34-53. Assery, A., & Peel, D. (1991). The effects of exchange rate volatility on exports: Some new estimates. Economics Letters, 37(2), 173-177. Attah-Obeng, P., Enu, P., Osei-Gyimah, F., & Opoku, C. D. K. (2013). An econometric analysis of the relationship between GDP growth rate and exchange rate in Ghana. Journal of Economics and Sustainable Development, 4(9), 1-8. Awe, O. O. (2012). On pairwise Granger causality modelling and econometric analysis of selected economic indicators. Interstat Statjournals. net/YEAR/2012/articles/1208002. pdf, 1-17. Azeez, B. A., Kolapo, F. T., & Ajayi, L. B. (2012). Effect of exchange rate volatility on macroeconomic performance in Nigeria. Interdisciplinary Journal of Contemporary Research in Business, 4(1), 149-155. Bachman, D. (1992). The effect of political risk on the forward exchange bias: the case of elections. Journal of International Money and Finance, 11(2), 208-219. Baharumshah, A. Z., Lau, E., & Khalid, A. M. (2006). Testing twin deficits hypothesis using VARs and variance decomposition. Journal of the Asia Pacific Economy, 11(3), 331-354. Bahmani-Oskooee, M., & Hegerty, S. W. (2007). Exchange rate volatility and trade flows: A review article. Journal of Economic Studies, 34(3), 211-255. Bai, J., & Ng, S. (2005). Tests for skewness, kurtosis, and normality for time series data. Journal of Business & Economic Statistics, 23(1), 49-60. Balassa, B. (1964). The purchasing-power parity doctrine: a reappraisal. The Journal of Political Economy, 72(6), 584-596. Ball, L. (1999). Efficient rules for monetary policy. International Finance, 2(1), 63- 83. Ball, L. M., & Sheridan, N. (2004). Does inflation targeting matter? In: Bernanke, B.S., Woodford, M. (Eds.), the Inflation-Targeting Debate (pp. 249-282). University of Chicago Press. Banerjee, A., Lumsdaine, R. L., & Stock, J. H. (1992). Recursive and sequential tests of the unit-root and trend-break hypotheses: theory and international evidence. Journal of Business & Economic Statistics, 10(3), 271-287. Barbosa Filho, N. H. (2004). Growth, exchange rates and trade in Brazil. Nova Economia_Belo Horizonte, 14(2), 59-86. Bassey, G. E., & Essien, E. B. (2014). Inflation targeting framework for monetary policy in Nigeria: issues, problems and prospects. Journal of Economics and Sustainable Development, 5(12), 88-101. Batini, N., Harrison, R., & Millard, S. P. (2003). Monetary policy rules for an open economy. Journal of Economic Dynamics and Control, 27(11), 2059-2094. Beaulieu, M. C., Cosset, J. C., & Essaddam, N. (2006). Political uncertainty and stock market returns: evidence from the 1995 Quebec referendum. Canadian Journal of Economics/Revue canadienne d'économique, 39(2), 621-642. 197 Behera, H., Narasimhan, V., & Murty, K. N. (2008). Relationship between exchange rate volatility and Central Bank intervention: An empirical analysis for India. South Asia Economic Journal, 9(1), 69-84. Beine, M., & Laurent, S. (2001). Structural change and long memory in volatility: New evidence from daily exchange rates. Developments in Forecast Combination and Portfolio Choice, Wiley Series in Quantitative Analysis, Wiley, 145-157. Beine, M., Bènassy-Quéré, A., & MacDonald, R. (2007). The impact of central bank intervention on exchange-rate forecast heterogeneity. Journal of the Japanese and International Economies, 21(1), 38-63. Beine, M., Laurent, S., & Lecourt, C. (2003). Official central bank interventions and exchange rate volatility: Evidence from a regime-switching analysis. European Economic Review, 47(5), 891-911. Beine, M., Laurent, S., & Palm, F. C. (2009). Central bank forex interventions assessed using realized moments. Journal of International Financial Markets, Institutions and Money, 19(1), 112-127. Bera, A. K., & Higgins, M. L. (1993). ARCH models: Properties, estimation and testing. Journal of Economic Surveys, 7(4), 305-366. Berganza, J. C., & Broto, C. (2012). Flexible inflation targets, forex interventions and exchange rate volatility in emerging countries. Journal of International Money and Finance, 31(2), 428-444. Bernanke, B. S., Gertler, M., & Gilchrist, S. (1999). The financial accelerator in a quantitative business cycle framework. In Taylor and Woodford (ed). Handbook of macroeconomics, 1(C), 1341-1393. Bernanke, B. S., Laubach, T., Mishkin, F. S., & Posen, A. S. (1999). Inflation targeting. New Jersay; Princenton University Press. Bernhard, W., & Leblang, D. (1998). Political uncertainty and exchange rate volatility in parliamentary democracies. Presented at the annual meeting of the American political science association, Boston, MA. 51, 61801. Bernhard, W., & Leblang, D. (2002). Democratic processes, political risk, and foreign exchange markets. American Journal of Political Science, 46(2), 316-333. Berument, H., & Pasaogullari, M. (2003). Effects of the real exchange rate on output and inflation: evidence from Turkey. The Developing Economies, 41(4), 401-435. Bilson, J. F. (1981). Profitability and stability in international currency markets. NBER Working paper No. 664, April. Bleaney, M., & Greenaway, D. (2001). The impact of terms of trade and real exchange rate volatility on investment and growth in sub-Saharan Africa. Journal of Development Economics, 65(2), 491-500. Blomberg, S. B., & Hess, G. D. (1997). Politics and exchange rate forecasts. Journal of International Economics, 43(1), 189-205. Boafo-Arthur, K. (2008). Democracy and stability in West Africa: the Ghanaian experience. Department of Peace and Conflict Research, Uppsala University. Bodart, V., & Reding, P. (1999). Exchange rate regime, volatility and international correlations on bond and stock markets. Journal of International Money and Finance, 18(1), 133-151. Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. Bollerslev, T., & Wooldridge, J. M. (1992). Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, 11(2), 143-172. 199 Bonser-Neal, C., & Tanner, G. (1996). Central bank intervention and the volatility of foreign exchange rates: evidence from the options market. Journal of International Money and Finance, 15(6), 853-878. Boutchkova, M., Doshi, H., Durnev, A., & Molchanov, A. (2012). Precarious politics and return volatility. Review of Financial Studies, 25(4), 1111-1154. Brada, J. C., A. Kutan and T. Yigit (2004) “The effects of transition and political instability on foreign direct investment inflows: Central Europe and the Balkan”, William, Davidson Working Paper No. 729. Breusch, T. S., & Pagan, A. R. (1979). A simple test for heteroscedasticity and random coefficient variation. Econometrica: Journal of the Econometric Society, 47(5), 1287-1294. Brito, R. D., & Bystedt, B. (2010). Inflation targeting in emerging economies: panel evidence. Journal of Development Economics, 91(2), 198-210. Brooks, C. (2008). RATS Handbook to accompany introductory econometrics for finance. UK: Cambridge Books. Bussière, M. & Mulder, C. (1999). Political instability and economic vulnerability. IMF Working paper No. WP/99/46. Available at SSRN: http://ssrn.com/abstract=727423 or http://dx.doi.org/10.2139/ssrn.727423. Caginalp, O. A. (1982). Inflation differentials and exchange rates: Theory and empirical evidence. Nebraska Journal of Economics and Business, 21(4), 19-31. Cai, J. (1994). A Markov model of unconditional variance in ARCH. Journal of Business and Economic Statistics, 12(3), 309-316. Cairns, J., Ho, C., & McCauley, R. N. (2007). Exchange rates and global volatility: Implications for Asia-Pacific currencies. BIS Quarterly Review, 2007(1), 41-52. Carare, A., & Stone, M. R. (2006). Inflation targeting regimes. European Economic Review, 50(5), 1297-1315. Cassel, G. (1916). The present situation of the foreign exchanges. The Economic Journal, 26(101), 62-65. Central Bank of Nigeria (CBN), (2010). Monetary policy transmission mechanism in Nigeria. Research Department CBN, Abuja. Central Bank of Nigeria (CBN), (2012). Statistical Bulletin, 23, December. www.cenbank.org/.../2012/...192%202012%20statistical%20bulletin%20. Central Bank of Nigeria (CBN), (2013). Quarterly Statistical bulletin, March. www.cenbank.org/OUT/2013/PUBLICATIONS/STATISTICS/2012/PartA/Part A.html. Chan, Y. C., & Wei, K. J. (1996). Political risk and stock price volatility: the case of Hong Kong. Pacific-Basin Finance Journal, 4(2), 259-275. Chau, F., Deesomsak, R., & Wang, J. (2014). Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries. Journal of International Financial Markets, Institutions and Money, 28(January), 1-19. Chen, S. L., & Wu, J. L. (1997). Sources of real exchange-rate fluctuations: Empirical evidence from four Pacific basin countries. Southern Economic Journal, 63(3), 776-787. Chin, L., Azali, M., Yusop, Z. B., & Yusoff, M. B. (2007). The monetary model of exchange rate: evidence from the Philippines. Applied Economics Letters, 14(13), 993-997. Chinn, M. D. (2008). Non‐linearities, business cycles and exchange rates. Economic Notes, 37(3), 219-239. Chinn, M. D. (2012). Macro approaches to foreign exchange determination. J. James, I. Marsh, L. Sarno, Handbook of Exchange Rates, Wiley, 45-72. Chinn, M. D., & Moore, M. J. (2011). Order flow and the monetary model of exchange rates: Evidence from a novel data set. Journal of Money, Credit and Banking, 43(8), 1599-1624. Choi, I., & Park, D. (2008). Causal relation between interest and exchange rates in the Asian currency crisis. Japan and the World Economy, 20(3), 435-452. Clarida, R., Gali, J., & Gertler, M. (1999). The science of monetary policy: A new Keynesian perspective. Journal of Economic Literature, 37(4), 1661-1707. Clarida, R., Gali, J., & Gertler, M. (2000). Monetary policy rules and macroeconomic stability: Evidence and some theory. The Quarterly Journal of Economics, 115(1), 147-180. Clarida, R., Gali, J., & Gertler, M. (2001). Optimal monetary policy in closed versus open economies: An integrated approach. National Bureau of Economic Research Working paper No. w8604. Clark, P., Tamirisa, N., Wei, S. J., Sadikov, A., & Zeng, L. (2004). Exchange rate volatility and trade flows-some new evidence. IMF Occasional Paper, 235. Cohen, B. H. & Lea, R. B. (2004). Essentials of statistics for the social and behavioral sciences (Vol. 3). New Jersey: John Wiley & Sons Inc. Collins, S. M. (1996). On becoming more flexible: exchange rate regimes in Latin America and the Caribbean. Journal of Development Economics, 51(1), 117-138. Cookey, A. E. (1997). Exchange rate determination in a depressed economy: The Nigerian experience. Journal of Industrial, Business and Economic Research, 1(1), 16-29. 202 Corbo, V., Landerretche, O., & Schmidt-Hebbel, K. (2002). Does inflation targeting make a difference?. Inflation targeting: Design, performance, challenges. Central bank of Chile. 221-269. Cosset, J. C., & De La Rianderie, B. D. (1985). Political risk and foreign exchange rates: An efficient-markets approach. Journal of International Business Studies, 16(3), 21-55. Cukierman, A. (1992). Central Bank strategy, credibility, and independence: Theory and evidence. MIT press. Cukierman, A., Edwards, S., & Tabellini, G. (1989). Seigniorage and political instability (No. w3199). National Bureau of Economic Research. Daboussi, M. O. (2014). Economic performance and inflation targeting in developing economies. Journal of World and Research, 3(1), 1-7. Dahalan, J. (2004). The uncertainty of the US and Japanese interest rates and its effect on money demand in Malaysia. International Journal of Management Studies,11(1), 71-89. Danjuma, B. F., Shuaibu, U. & Said, U. Y. (2013). An assessment of exchange rate volatility and inflation in Nigeria. Journal of Emerging Issues in Economics, Finance and Banking, 1(4), 321-340. Danmola, R. A. (2013). The impact of exchange rate volatility on the macroeconomic variables in Nigeria. European Scientific Journal, 9(7), 152-165. Das, K., & Shimatani, T. (2013). Central bank intervention and exchange rate volatility: Evidence from Japan using realized volatility. Journal of Asian Economics, 28, 87-98. Dash, P. (2004). The relationship between interest rate and exchange rate in India. In Sixth Annual Conference on Money and Finance in the Indian Economy. March 25-27. Davidian, M., & Carroll, R. J. (1987). Variance function estimation. Journal of the American Statistical Association, 82(400), 1079-1091. Deme, M., & Fayissa, B. (1995). Inflation, money, interest rate, exchange rate, and causality: the case of Egypt, Morocco, and Tunisia. Applied Economics, 27(12), 1219-1224. Dennis, R. (2003). Exploring the role of the real exchange rate in Australian monetary policy. Economic Record, 79(244), 20-38. Diamandis, P. F. (2009). International stock market linkages: Evidence from Latin America. Global Finance Journal, 20(1), 13-30. Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a), 427-431. Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072. Diebold, F. X. (1988). Empirical modeling of exchange rate dynamics. New York: Springer. Diebold, F. X., Lee, J. H., & Weinbach, G. C. (1994). Regime switching with timevarying transition probabilities. In C. Hargreves (Ed.), Nonstationary time series analysis and cointegration. Oxford: Oxford University Press. Dominguez, K. M. (2006). When do central bank interventions influence intra-daily and longer-term exchange rate movements?. Journal of International Money and Finance, 25(7), 1051-1071. Dornbusch, R. (1976). Expectations and exchange rate dynamics. The Journal of Political Economy, 84(6), 1161-1176. Edwards, S. (1996). Exchange rates and the political economy of macroeconomic discipline. The American Economic Review, 86(2), 159-163. Edwards, S. (2007). The relationship between exchange rates and inflation targeting revisited. Central Banking, Analysis, and Economic Policies Book Series, 11, 373-413. Edwards, S., & Savastano, M. A. (1999). Exchange rates in emerging economies: What do we know? What do we need to know? (No. w7228). National bureau of economic research. Edwards, S., & Susmel, R. (2000). Interest rate volatility and contagion in emerging markets: evidence from the 1990s (No. w7813). National bureau of economic research. Edwards, S., & Susmel, R. (2001). Volatility dependence and contagion in emerging equity markets. Journal of Development Economics, 66(2), 505-532. Efron, B. (1979). Bootstrap methods: another look at the jackknife. The Annals of Statistics, 7(1), 1-26. Eichengreen, B., Rose, A. K., & Wyplosz, C. (1995). Exchange market mayhem: The antecedents and aftermath of speculative attacks. Economic policy, 10(21), 249-312. Emenike, K. O. (2010). Modelling stock returns volatility in Nigeria using GARCH models. MPRA Paper No. 22723, posted 20. May 2010 07:03 UTC. http://mpra.ub.uni-muenchen.de/22723/. Emmanuel, U. C. (2013). Accumulation of external reserves and effects on exchange rates and inflation in Nigeria. International Business and Management, 6(2), 105- 114. Enders, W. (2004). Applied Econometric Time Series. NY: John Willey & Sons. Engel, C. (1994). Can the Markov switching model forecast exchange rates?. Journal of International Economics, 36(1), 151-165. Engel, C., & Hamilton, J. D. (1990). Long swings in the dollar: Are they in the data and do markets know it?', American Economic Review, 80(4), 689-713. Engel, C., & West, K. D. (2005). Exchange rates and fundamentals. Journal of Political Economy, 113(3), 485 – 517. Engel, C., & West, K. D. (2006). Taylor rules and the Deutschmarkdollar real exchange rate. Journal of Money, Credit and Banking, 38(5), 1175-1194. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica: Journal of the Econometric Society, 50(4), 987-1007. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 55(2), 251-276. Engle, R. F., & Ng, V. K. (1993). Measuring and testing the impact of news on volatility. The Journal of Finance, 48(5), 1749-1778. 206 Erjavec, N., & Cota, B. (2003). Macroeconomic Granger-causal dynamics in Croatia: Evidence based on a vector error-correction modelling analysis. Ekonomski Pregled, 54(1-2), 139-156. Eun, C. S., Resnick, B. G. & Sabherwal, S. (2012). International finance: Global edition. New York; McGraw Hill Irwin. Evans, M., & Lyons, R. (2000). The price impact of currency trades: implications for intervention. UC Berkeley working paper. Retrived at www.haas.berkeley.edu/~lyons. Ezirim, C. B., Amuzie, E. A. & Emenyonu, E. N. (2012). Long run equilibrium relationship between exchange rates and inflation in Nigeria. International Journal of Business, Marketing and Decision Science, 5(2), 13-25. Felipe, J. (2009). Does Pakistan need to adopt inflation targeting? Some questions. SBP Research Bulletin, 5(1), 113-161. Ferrari Filho, F., & de Paula, L. F. (2008). Exchange rate policy and capital flows in emerging economies: a proposal based on Keynes’ ideas and Keynesian approach. Encontro Nacional de Economia (36: 2008 dez: Salvador, BA). Anais. Salvador: ANPEC, 2008. 1 CD-ROM. Fiess, N., & Shankar, R. (2009). Determinants of exchange rate regime switching. Journal of International Money and Finance, 28(1), 68-98. Fleming, J. M. (1962). Domestic financial policies under fixed and under floating exchange rates. Staff Papers-International Monetary Fund, 9(3), 369-380. Flood, R. P., & Rose, A. K. (1999). Understanding exchange rate volatility without the contrivance of macroeconomics. The Economic Journal, 109(459), 660-672. Frankel, J. A. (1979). On the mark: A theory of floating exchange rates based on real interest differentials. The American Economic Review, 69(4), 610-622. Frankel, J. A. (1999). No single currency regime is right for all countries or at all times (No. w7338). National bureau of economic research. Available at http://www.nber.org/papers/w7338. Freeman, J. R., Hays, J. C., & Stix, H. (2000). Democracy and markets: The case of exchange rates. American Journal of Political Science, 44(3), 449-468. Frenkel, J. A. (1976). A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. The Scandinavian Journal of Economics, 78(2), 200-224. Frenkel, J. A., & Johnson, H. G. (2013). The monetary approach to the balance of payments. In Harry G. Johnson (Eds.). Routledge, George Allen and Unwin ltd. London. Frieden, J., Ghezzi, P. & Stein, E. (2000). Politics and exchange rates: A cross-country approach to Latin America. IDB Working Paper No. 137. Available at SSRN: http://ssrn.com/abstract=1814683 or http://dx.doi.org/10.2139/ssrn.1814683. Galati, G., Melick, W., & Micu, M. (2005). Foreign exchange market intervention and expectations: The Yen/Dollar exchange rate. Journal of International Money and Finance, 24(6), 982-1011. Gali, J., & Monacelli, T. (2005). Monetary policy and exchange rate volatility in a small open economy. The Review of Economic Studies, 72(3), 707-734. Gallant, A. R. (1977). Three-stage least-squares estimation for a system of simultaneous, nonlinear, implicit equations. Journal of Econometrics, 5(1), 71- 88. Gandolfo, G. (1981). Qualitative analysis and econometric estimation of continuous time dynamic model, Amsterdam: North-Holland. Glejser, H. (1969). A new test for heteroskedasticity. Journal of the American Statistical Association, 64(325), 316-323. Glynn, J., Perera, N., & Verma, R. (2007). Unit root tests and structural breaks: a survey with applications. Journal of Quantitative Methods for Economics and Business Administration, 3(1), 63-79. Gonçalves, C. E. S., & Salles, J. M. (2008). Inflation targeting in emerging economies: What do the data say?. Journal of Development Economics, 85(1), 312-318. Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438. Granger, C. W. (1980). Testing for causality: a personal viewpoint. Journal of Economic Dynamics and Control, 2(1980), 329-352. Granger, C. W. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1), 199-211. Granger, C. W., & Andersen, A. (1978). On the invertibility of time series models. Stochastic Processes and their Applications, 8(1), 87-92. Granger, C. W., & Newbold, P. (1974). Spurious regressions in econometrics. Journal of Econometrics, 2(2), 111-120. Gregorio, J. D., Tokman, A., & Valdés, R. (2005). Flexible exchange rate with Inflation targeting in Chile: Experience and issues. IDB Working Paper No. 450. Available at SSRN: http://dx.doi.org/10.2139/ssrn.1818739. Gregory, A. W., & Hansen, B. E. (1996). Residual-based tests for cointegration in models with regime shifts. Journal of Econometrics, 70(1), 99-126. Grossmann, A., Love, I., & Orlov, A. G. (2014). The dynamics of exchange rate volatility: A panel VAR approach. Journal of International Financial Markets, Institutions and Money, 33(November), 1-27. Gupta, J. P., Chevalier, A., & Sayekt, F. (2000). The Causality between interest rate, exchange rate and stock price in emerging markets: The case of the Jakarta stock exchange, EFMA 2000 Athens. Available at SSRN: http://dx.doi.org/10.2139/ssrn.251253. Gupta, R., Kabundi, A., & Modise, M. P. (2010). Has the SARB become more effective post inflation targeting?. Economic Change and Restructuring, 43(3), 187-204. Guru-Gharana, K. K. (2012). Econometric investigation of relationships among export, FDI and growth in India: An application of Toda-Yamamoto-Dolado- Lutkephol Granger causality test. The Journal of Developing Areas, 46(2), 231-247. Hacker, R. S., & Hatemi-J, A. (2006). Tests for causality between integrated variables using asymptotic and bootstrap distributions: theory and application. Applied Economics, 38(13), 1489-1500. Hacker, R. S., Karlsson, H. K., & Månsson, K. (2014). An investigation of the causal relations between exchange rates and interest rate differentials using wavelets. International Review of Economics & Finance, 29(January), 321-329. Hacker, S., & Hatemi-J, A. (2010). HHcte: GAUSS module to apply a bootstrap test for causality with endogenous lag order. Statistical Software Components. Hamilton, J. D. (1988). Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. Journal of Economic Dynamics and Control, 12(2), 385-423. Hamilton, J. D. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica: Journal of the Econometric Society, 57(2), 357-384. 210 Hamilton, J. D. (1990). Analysis of time series subject to changes in regime. Journal of Econometrics, 45(1), 39-70. Hamilton, J. D., & Susmel, R. (1994). Autoregressive conditional heteroskedasticity and changes in regime. Journal of Econometrics, 64(1), 307-333. Hamrita, M. E., & Trifi, A. (2011). The relationship between interest rate, exchange rate and stock price: A wavelet analysis. International Journal of Economics and Financial Issues, 1(4), 220-228. Haniffa, R., & Hudaib, M. (2006). Corporate governance structure and performance of Malaysian listed companies. Journal of Business Finance & Accounting, 33(7‐8), 1034-1062. Hansen, L. P. (1982). Large sample properties of generalized method of moments estimators. Econometrica: Journal of the Econometric Society, 50(4), 1029-1054. Hansen, L. P., & Singleton, K. J. (1982). Generalized instrumental variables estimation of nonlinear rational expectations models. Econometrica: Journal of the Econometric Society, 50(5), 1269-1286. Harberger, A. C. (2003). Economic growth and the real exchange rate: revisiting the Balassa-Samuelson effect. In a conference organized by the higher school of economics, Moscow. April. Harvey, A. C., & Jaeger, A. (1993). Detrending, stylized facts and the business cycle. Journal of Applied Econometrics, 8(3), 231-247 Hasan, A., & Javed, M. T. (2009). An empirical investigation of the causal relationship among monetary variables and equity market returns. The Lahore Journal of Economics. 14(1), 115-137. Hatemi-J, A. (2003). A new method to choose optimal lag order in stable and unstable VAR models. Applied Economics Letters, 10(3), 135-137. Hatemi-J, A. (2012). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. Hatemi-J, A., & Irandoust, M. (2000). Time-series evidence for Balassa’s export-led growth hypothesis. Journal of International Trade & Economic Development, 9(3), 355-365. Hatemi-J, A., & Irandoust, M. (2006). A bootstrap-corrected causality test: another look at the money–income relationship. Empirical Economics, 31(1), 207-216. Hays, J. C., Freeman, J. R., & Nesseth, H. (2003). Exchange rate volatility and democratization in emerging market countries. International Studies Quarterly, 47(2), 203-228. Hnatkovska, V., Lahiri, A., & Vegh, C. A. (2013). Interest rate and the exchange rate: A non-monotonic tale. European Economic Review, 63(October), 68-93. Hodrick, R. J., & Prescott, E. C. (1997). Post-war US business cycles: An empirical investigation. Journal of Money, Credit, and Banking, 29(1), 1-16. Holman, J. A., & Rioja, F. K. (2001). International transmission of anticipated inflation under alternative exchange-rate regimes. Journal of International Money and Finance, 20(4), 497-519. Hooper, P., & Morton, J. (1982). Fluctuations in the dollar: A model of nominal and real exchange rate determination. Journal of International Money and Finance, 1(1982), 39-56. Ichiue, H., & Koyama, K. (2011). Regime switches in exchange rate volatility and uncovered interest parity. Journal of International Money and Finance, 30(7), 1436-1450. Imimole, B., & Enoma, A. (2011). Exchange rate depreciation and inflation in Nigeria (1986–2008). Business and Economics Journal, 28, 1-11. Jahan-Parvar, M. R., & Mohammadi, H. (2011). Oil prices and real exchange rates in oil-exporting countries: a bounds testing approach. The Journal of Developing Areas, 45(1), 309-318. Jarque, C. M., & Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review/Revue Internationale de Statistique, 55(2), 163-172. Johansen, S., Mosconi, R., & Nielsen, B. (2000). Cointegration analysis in the presence of structural breaks in the deterministic trend. The Econometrics Journal, 3(2), 216-249. Josifidis, K., Allegret, J. P., & Pucar, E. B. (2011). Inflation targeting and exchange rate regimes in Serbia and selected transition economies. Eastern European Economics, 49(4), 88-105. Kabundi, A., & Ngwenya, N. (2011). Assessing monetary policy in South Africa in a Data‐Rich Environment. South African Journal of Economics, 79(1), 91-107. Kabundi, A., Schaling, E., & Some, M. (2015). Monetary policy and heterogeneous inflation expectations in South Africa. Economic Modelling, 45 (February), 109-117. Kamal Uddin, K. M., Rahman, M. M., & Quaosar, G. A. A. (2014). Causality between exchange rate and economic growth in Bangladesh. European Scientific Journal, 10(31). 11-21. Kamas, L. (1995). Monetary policy and inflation under the crawling peg: Some evidence from VARs for Colombia. Journal of Development Economics, 46(1), 145-161. Kamin, S. B., & Klau, M. (2003). A multi‐country comparison of the linkages between inflation and exchange rate competitiveness. International Journal of Finance & Economics, 8(2), 167-184. Kan, R., & Zhang, C. (1999). GMM tests of stochastic discount factor models with useless factors. Journal of Financial Economics, 54(1), 103-127. Kara, O. (2011). The effects of the U. S budget deficit and inflation on exchange rate. Journal of the Academy of Business & Economics, 11(4), 80-93. Karim, Z. A., & Zaidi, M. A. S. (2015). Monetary policy, firm size and equity returns in an emerging market: Panel evidence of Malaysia. Asian Academy of Management Journal of Accounting and Finance, 11(2), 29-55. Kayhan, S., Bayat, T., & Uğur, A. (2013). Interest rates and exchange rate relationship in BRIC-T countries. Ege Academic Review, 13(2), 227-236. Kemme, D., & Teng, W. (2000). Determinants of the real exchange rate, misalignment and implications for growth in Poland. Economics Systems, 24(2), 171-205. Kenen, P. B., & Rodrik, D. (1986). Measuring and analyzing the effects of short-term volatility in real exchange rates. The Review of Economics and Statistics, 68(2), 311-315. Kennedy, P. (2008). A Guide to Econometrics. Blackwell Publishing, Malden, Massachusetts. Khan, R. E. A., Sattar, R., & Rehman, H. U. (2012). Effectiveness of exchange rate in Pakistan: Causality analysis. Pakistan Journal of Commerce and Social Sciences, 6(1), 83-96. Khodeir, A. N. (2012). Towards inflation targeting in Egypt: The relationship between exchange rate and inflation. South African Journal of Economic and Management Sciences, 15(3), 325-332. Kilian, L., & Taylor, M. P. (2003). Why is it so difficult to beat the random walk forecast of exchange rates?. Journal of International Economics, 60(1), 85-107. Kisaka, S. E., Kithitu, J. W., & Kamuti, H. M. (2014). The causal relationship between interest rates and foreign exchange rates in Kenya. Research Journal of Finance and Accounting, 5(14), 136-151. Klein, M. W., & Marion, N. P. (1997). Explaining the duration of exchange-rate pegs. Journal of Development Economics, 54(2), 387-404. Klein, M. W., & Shambaugh, J. C. (2010). Exchange rate regimes in the modern era. MIT Press. Cambridge. Ko, H. H. (2010). A Bootstrap Granger causality test between exchange rates and fundamentals. Department of Applied Economics, National University of Kaohsiung, http://tea.econ.sinica.edu.tw/index.php. Kočenda, E. (2005). Beware of breaks in exchange rates: evidence from European transition countries. Economic Systems, 29(3), 307-324. Kočenda, E., & Valachy, J. (2006). Exchange rate volatility and regime change: A visegrad comparison. Journal of Comparative Economics, 34(4), 727-753. Kollmann, R. (2002). Monetary policy rules in the open economy: effects on welfare and business cycles. Journal of Monetary Economics, 49(5), 989-1015. Kroner, K. F., & Lastrapes, W. D. (1993). The impact of exchange rate volatility on international trade: reduced form estimates using the GARCH-in-mean model. Journal of International Money and Finance, 12(3), 298-318. Kurihara, Y. (2013). Does adoption of inflation targeting reduce exchange rate volatility and enhance economic growth?. Journal of World Economic Research, 2(6), 104-109. 215 Lamoureux, C. G., & Lastrapes, W. D. (1990). Heteroskedasticity in stock return data: volume versus GARCH effects. The Journal of Finance, 45(1), 221-229. Leblang, D., & Bernhard, W. (2006). Parliamentary politics and foreign exchange markets: The World according to GARCH. International Studies Quarterly, 50(1), 69-92. Lee, B. J., & Lee, M. J. (1997). Generalized method of moment estimation of truncated or censored regression. Applied Economics Letters, 4(6), 365-368. Lee, H. Y., & Chen, S. L. (2006). Why use Markov-switching models in exchange rate prediction? Economic Modelling, 23(4), 662-668. Lee, J., & Strazicich, M. C. (2001). Break point estimation and spurious rejections with endogenous unit root tests. Oxford Bulletin of Economics and Statistics, 63(5), 535-558. Lee, J., & Strazicich, M. C. (2003). Minimum Lagrange Multiplier unit root test with two structural breaks. Review of Economics and Statistics, 85(4), 1082-1089. Lee, J., & Strazicich, M. C. (2013). Minimum LM unit root test with one structural break. Economics Bulletin, 33(4), 2483-2492. Levy-Yeyati, E. (2011). Exchange rate regimes (No. 2011-02). Universidad Torcuato Di Tella. Levy-Yeyati, E., & Sturzenegger, F. (2003). To float or to fix: evidence on the impact of exchange rate regimes on growth. American Economic Review, 93(4), 1173- 1193. Levy-Yeyati, E., Sturzenegger, F., & Reggio, I. (2010). On the endogeneity of exchange rate regimes. European Economic Review, 54(5), 659-677. Lin, S., & Ye, H. (2009). Does inflation targeting make a difference in developing countries?. Journal of Development Economics, 89(1), 118-123. 216 Lin, S., & Ye, H. (2012). What to Target? Inflation or Exchange Rate. Southern Economic Journal, 78(4), 1202-1221. Longmore, R., & Robinson, W. (2004). Modelling and forecasting exchange rate dynamics in Jamaica: An application of asymmetric volatility models. Bank of Jamaica working paper No. WP2004/03, 1-32. Lucas, R. E. (1982). Interest rates and currency prices in a two-country world. Journal of Monetary Economics, 10(3), 335-359. Lumsdaine, R. ., & Papell, D. H. (1997). Multiple trend breaks and the unit-root hypothesis. Review of Economics and Statistics, 79(2), 212-218. Lütkepohl, H., Saikkonen, P., & Trenkler, C. (2001). Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process. The Econometrics Journal, 4(2), 287-310. MacDonald, R. (1988). Purchasing Power Parity: Some ‘long run’ evidence from the recent float. De Economist, 136(2), 239-252. MacDonald, R., & Taylor, M. P. (1994). The monetary model of the exchange rate: long-run relationships, short-run dynamics and how to beat a random walk. Journal of International Money and Finance, 13(3), 276-290. MacKinnon, J. G. (1992). Model specification tests and artificial regressions. Journal of Economic Literature, 30(1), 102-146. Madesha, W., Chidoko, C., & Zivanomoyo, J. (2013). Empirical test of the relationship between exchange rate and inflation in Zimbabwe. Journal of Economics and Sustainable Development, 4(1), 52-58. Mahmoudinia, D., Soderjani, S. E., & Pourshahabi, F. (2011). Economic growth, tourism receipts and exchange rate in MENA zone: Using panel causality technique. Iranian Economic Review, 15(29), 129-146. 217 Maitra, B., & Mukhopadhyay, C. K. (2011). Causal relation between money supply and exchange rate in India under the basket peg and market determination regimes: A time series analysis. The IUP Journal of Applied Economics, 10(2), 40-56. Markiewicz, A. (2012). Model uncertainty and exchange rate volatility. International Economic Review, 53(3), 815-844. Masron, T. A., & Yusop, Z. (2006). Optimum currency area criteria and volatility in ASEAN. Asian Academy of Management Journal of Accounting and Finance, 2(2), 1-18. Mcgibany, J. M., & Nourzad, F. (1995). Exchange rate volatility and the demand for money in the US. International Review of Economics & Finance, 4(4), 411-425. Meese, R. A., & Rogoff, K. (1983). Empirical exchange rate models of the seventies: Do they fit out of sample?. Journal of International Economics, 14(1), 3-24. Meese, R. A., & Rogoff, K. (1988). Was it real? The exchange rate-interest differential relation over the modern floating-rate period. Journal of Finance, 43(4), 933-948. Mendonça, H. F., Jose, G. & Souza, G. (2012). Is inflation targeting a good remedy to control inflation?. Journal of Development Economics, 98(2), 178-191. Mensi, W., Hammoudeh, S., & Yoon, S. M. (2014). Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters: The importance of scheduled and unscheduled news announcements. International Review of Economics & Finance, 30(March), 101-119. Miao, Y. (2009). In search of successful inflation targeting: Evidence from an inflation targeting index (EPub) (No. 9-148). International Monetary Fund. Mishkin, F. S. (1999). International experiences with different monetary policy regimes. Journal of Monetary Economics, 43(3), 579-605. 218 Mishkin, F. S. (2007). The economics of money, banking, and financial markets. Pearson education. New Jersey. Mishkin, F. S., & Savastano, M. A. (2001). Monetary policy strategies for Latin America. Journal of Development Economics, 66(2), 415-444. Miyakoshi, T. (2000). The monetary approach to the exchange rate: empirical observations from Korea. Applied Economics Letters, 7(12), 791-794. Mok, H. M. (1993). Causality of interest rate, exchange rate and stock prices at stock market open and close in Hong Kong. Asia Pacific Journal of Management, 10(2), 123-143. Moore, T., & Wang, P. (2007). Volatility in stock returns for new EU member states: Markov regime switching model. International Review of Financial Analysis, 16(3), 282-292. Moya, M., & Watundu, S. (2009). Econometric analysis of real effective exchange rate on gross domestic product of Uganda. E-Journal of Business and Economic Issues. 4(1), 1-6. Muktadir-al-Mukit, D. (2013). Effects of interest rate and exchange rate on volatility of market index at Dhaka stock exchange. Journal of Business and Technology (Dhaka), 7(2), 1-18. Mundell, R. A. (1961). A theory of optimum currency areas. The American Economic Review, 51(4), 657-665. Mundell, R. A. (1964). Exchange rate margins and economic policy. In C. Murphy. Dallas (Edt.) Money in the International Order: Southern Methodist Univ. Press. Mussa, M., Masson, P., Swoboda, A., Jadresic, E., Mauro, P., & Berg, A. (2000). Exchange rate regimes in an increasingly integrated world economy (Vol. 193). Washington, DC: International monetary fund. 219 Nawaz, M. (2012). The impact of exchange rate on output level: Bounds testing approach for Pakistan. The Pakistan Development Review, 51(4), 419-434. Ndako, U. B. (2012). Financial liberalization, structural breaks and stock market volatility: evidence from South Africa. Applied Financial Economics, 22(15), 1259-1273. Nelson, C. R., & Plosser, C. R. (1982). Trends and random walks in macroeconomic time series: some evidence and implications. Journal of Monetary Economics, 10(2), 139-162. Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347-370. Newey, W. K., & West, K. D. (1987). Hypothesis testing with efficient method of moments estimation. International Economic Review, 28(3), 777-787. Newey, W. K., & West, K. D. (1994). Automatic lag selection in covariance matrix estimation. The Review of Economic Studies, 61(4), 631-653. Ngerebo-A, A., & Ibe, R. C. (2014). Exchange rate and macroeconomic performance in Nigeria: A causal post structural adjustment programme investigation. Global Journal of Management and Business Research, 13(7), 43-48. Nnamdi, K. C. & Ifionu, E. P. (2013). Exchange rate volatility and exchange rate uncertainty in Nigeria: A financial econometrics analysis (1970 - 2012). Munich Personal REPEC Archive paper 48316. http://mpra.ub.uni-muenchen.de/48316/. Nunes, L. C., Newbold, P., & Kuan, C. M. (1997). Testing for unit roots with breaks: Evidence on the great crash and the unit root hypothesis reconsidered. Oxford Bulletin of Economics and Statistics, 59(4), 435-448. Obstfeld, M., & Rogoff, K. (2000). New directions for stochastic open economy models. Journal of International Economics, 50(1), 117-153. 220 Obstfeld, M., & Rogoff, K. (2001). The six major puzzles in international macroeconomics: is there a common cause?. In NBER Macroeconomics Annual 2000, Volume 15 (pp. 339-412). MIT press. Odusola, A. F., & Onwioduokit, E. (2005). Monetary aggregate targeting and inflation in Nigeria. West African Monetary Journal of Economic Integration, 5, 67-87. Officer, L. H. (1976). The Purchasing-Power-Parity Theory of Exchange Rates: A Review Article (Théorie de la parité des pouvoirs d'achat des taux de change: une étude) (La teoría de los tipos de cambio basados en la paridad del poder adquisitivo: Artículo de repaso). Staff Papers-International Monetary Fund, 23(1), 1-60. Ogaki, M. (1993). Generalized method of moments: Econometric applications. In Maddala, G. S., Rao, C. R. and Vinod, H. D. (Eds), Handbook of statistics, 11, Amsterdam, 455-488. Ojo, M. (2013). El Gran Papel Del Fondo Monetario Internacional (FMI) En La Reciente Crisis Financiera Mundial (The Formidable Role of the International Monetary Fund (IMF) in the Recent Global Financial Crisis). Available at SSRN 2227522. Olatunji, T. M., Sunday, A. A., & Omolara, Y. J. (2012). The dynamic causality between money and macroeconomic activity: Empirical evidence from Nigeria based on VECM Approach (1960-2011). Prosiding Perkem 7(1), 509-524. Olukoshi, A. O. (2001). West Africa's political economy in the next millennium: Retrospect and prospect (p. 4). Codesria. 1-39. Omotor, G. D. (2008). Exchange rate reform and its inflationary consequences: The case of Nigeria. Ekonomski Pregled, 59(11), 688-716. 221 Orlowski, L. T. (2000). Direct inflation targeting in central Europe. Post-Soviet Geography and Economics, 41(2), 134-154. Orphanides, A. (2004). Monetary policy rules, macroeconomic stability, and inflation: A view from the trenches. Journal of Money, Credit and Banking, 36(2), 151-175. Pagan, A. R., & Schwert, G. W. (1990). Alternative models for conditional stock volatility. Journal of Econometrics, 45(1), 267-290. Papell, D. H., & Prodan, R. (2004). The uncertain unit root in US real GDP: evidence with restricted and unrestricted structural change. Journal of Money, Credit and Banking, 36(3), 423-427. Paramati, S. R., & Gupta, R. (2013). An empirical analysis of stock market performance and economic growth: Evidence from India. International Research Journal of Finance and Economics, 73(2011), 144-160. Pattichis, C. (2003). Conditional exchange rate volatility, unit roots, and international trade. The International Trade Journal, 17(1), 1-17. Pavasuthipaisit, R. (2010). Should inflation-targeting central banks respond to exchange rate movements?. Journal of International Money and Finance, 29(3), 460-485. Peguin-Feissolle, A. (1999). A comparison of the power of some tests for conditional heteroscedasticity. Economics Letters, 63(1), 5-17. Perron, P. (1989). The great crash, the oil price shock, and the unit root hypothesis. Econometrica: Journal of the Econometric Society, 57(6), 1361-1401. Perron, P. (1997). Further evidence on breaking trend functions in macroeconomic variables. Journal of Econometrics, 80(2), 355-385. 222 Petreski, M. (2012). Output volatility and exchange rate considerations under inflation targeting: A review. International Journal of Economics and Financial Issues, 2(4), 528-537. Petterson, K. (2000). An introduction to applied econometrics, a time series approach. St. Martin’s Press: New York. Pi-Anguita, J. V. (1998). Real exchange rate, interest rate and capital movements: Evidence for France. Applied Economics Letters, 5(5), 305-307. Pokhariyal, G. P., Pundo, M., & Musyoki, D. (2012). The impact of real exchange rate volatility on economic growth: Kenyan evidence. Business and Economic Horizons, (07), 59-75. Political Risk Guide (2015). Guide to data variables. Accessible at https://epub.prsgroup.com/list-of-all-variable-definitions. Psaradakis, Z., Sola, M., & Spagnolo, F. (2004). On Markov error‐correction models, with an application to stock prices and dividends. Journal of Applied Econometrics, 19(1), 69-88. Rapach, D. E., & Strauss, J. K. (2008). Structural breaks and GARCH models of exchange rate volatility. Journal of Applied Econometrics, 23(1), 65-90. Rapetti, M., Skott, P., & Razmi, A. (2012). The real exchange rate and economic growth: are developing countries different?. International Review of Applied Economics, 26(6), 735-753. Rodrik, D. (2008). The real exchange rate and economic growth. Brookings Papers on Economic Activity, 2008(2), 365-412. Roger, S. (2009). Inflation targeting at 20: achievements and challenges (No. 9-236). International Monetary Fund. 223 Roger, S., & Stone, M. (2005). On Target?: The international experience with achieving inflation targets. IMF Working Paper. 1-68. Available at SSRN: http://ssrn.com/abstract=888032. Røisland, Ø. & Torvik, R. (2004). Exchange rate versus inflation targeting: a theory of output fluctuations in traded and non-traded sectors. The Journal of International Trade & Economic Development, 13(3), 265-285. Rose, A. K. (2007). A stable international monetary system emerges: Inflation targeting is Bretton Woods, reversed. Journal of International Money and Finance, 26(5), 663-681. Rose, A. K. (2011). Exchange rate regimes in the modern era: Fixed, floating, and flaky. Journal of Economic Literature, 49(3), 652-672. Saad, W. (2012). Causality between economic growth, export, and external debt servicing: the case of Lebanon. International Journal of Economics and Finance, 4(11), 134-143. Saborowski, C. (2010). Inflation targeting as a means of achieving disinflation. Journal of Economic Dynamics and Control, 34(12), 2510-2532. Salimibeni, Y., Zaidi, M. A. S., Karim, Z. A., Jusoh, M. (2012). Inflation and relative price variability: Further evidence from Malaysia. Prosiding Perkem, 7(1), 65-71. Samuelson, P. A. (1964). Theoretical notes on trade problems. The Review of Economics and Statistics, 46(2), 145-154. Sanusi, A. R. (2010). Exchange rate pass-through to consumer prices in Ghana: Evidence from structural vector auto-regression. West African Journal of Monetary and Economic Integration, 10(1), 25-47. Schwert, G. W. (1987). Effects of model specification on tests for unit roots in macroeconomic data. Journal of Monetary Economics, 20(1), 73-103. 224 Shaari, M. S., Hussain, N. E., & Abdullah, H. (2012). The effects of oil price shocks and exchange rate volatility on inflation: Evidence from Malaysia. International Business Research, 5(9), 106-112. Shabri Abd. Majid, M., Kameel Mydin Meera, A., & Azmi Omar, M. (2008). Interdependence of ASEAN-5 stock markets from the US and Japan. Global Economic Review, 37(2), 201-225. Shabri Abd. Majid, M., Kameel Mydin Meera, A., Azmi Omar, M., & Abdul Aziz, H. (2009). Dynamic linkages among ASEAN-5 emerging stock markets. International Journal of Emerging Markets, 4(2), 160-184. Sherwin, M. (2000). Institutional frameworks for inflation targeting. Reserve Bank of New Zealand Bulletin, 63(4), 28-34. Sims, C. A., Stock, J. H., & Watson, M. W. (1990). Inference in linear time series models with some unit roots. Econometrica: Journal of the Econometric Society, 58(1), 113-144. Smith, S. F. (1998). Cointegration tests when data are linearly interpolated. Unpublished Paper, State University of New York at Albany. Soludo, C. C. (1993). Theoretical basis for the structural adjustment programme in Nigeria: two alternative critiques. The Nigerian Journal of Economic and Social Studies, 35(1), 49-63. Sørensen, P. B., & Whitta-Jacobsen, H. J. (2010). Introducing advanced macroeconomics: growth and business cycles (pp. 1-2). McGraw-Hill higher education. Srinivasan, P., & Kalaivani, M. (2013). Exchange rate volatility and export growth in India: An ARDL bounds testing approach. Decision Science Letters, 2(3), 191- 202. 225 Srinivasan, P., Kalaivani, M. & Devakumar, C. (2014). On the temporal causal relationship between macroeconomic variables. SAGE Open, 4(1), 1-14. Stock, J. H., & Watson, M. W. (2001). Vector autoregressions. Journal of Economic perspectives, 15(4), 101-115. Stockman, A. C. (1980). A theory of exchange rate determination. The Journal of Political Economy, 88(4), 673-698. Stone, M. & Bhundia, A. (2004). A new taxonomy of monetary regimes. IMF Working Paper No. 04/191. Available at SSRN: http://ssrn.com/abstract=879016. Subair, K., & Salihu, O. M. (2004). Exchange rate volatility and the stock market: the Nigerian experience. Kwara State University. Retrived at http://www.aabri.com/OC2010Manuscripts/OC10113.pdf. Sufian, F., & Habibullah, M. S. (2010). Does economic freedom fosters banks’ performance? Panel evidence from Malaysia. Journal of Contemporary Accounting & Economics, 6(2), 77-91. Sufian, F., & Habibullah, M. S. (2012). Developments in the efficiency of the Malaysian banking sector: the impacts of financial disruptions and exchange rate regimes. Progress in Development Studies, 12(1), 19-46. Svensson, L. E. (1996). Price level targeting vs. inflation targeting: A free lunch? (No. w5719). National bureau of economic research. Svensson, L. E. (1999). Inflation targeting as a monetary policy rule. Journal of Monetary Economics, 43(3), 607-654. Svensson, L. E. (2000). Open-economy inflation targeting. Journal of International Economics, 50(1), 155-183. Swift, A. L., & Janacek, G. J. (1991). Forecasting non‐normal time series. Journal of Forecasting, 10(5), 501-520. 226 Syllignakis, M. N., & Kouretas, G. P. (2011). Markov-switching regimes and the monetary model of exchange rate determination: Evidence from the Central and Eastern European markets. Journal of International Financial Markets, Institutions and Money, 21(5), 707-723. Tabachnik, B. G., & Fidell, S. L. (2007). Discriminant analysis. Using multivariate statistics. Boston: Pearson Education Inc. Taiwo, A. & Adesola, O. A. (2013). Exchange rate volatility and bank performance in Nigeria. Asian Economic and Financial Review, 3(2), 178-185. Tang, C. F. (2008). A re-examination of the relationship between electricity consumption and economic growth in Malaysia. Energy Policy, 36(8), 3077- 3085. Tang, C. F. (2013). Temporal Granger causality and the dynamics relationship between real tourism receipts, real income and real exchange rates in Malaysia. International Journal of Tourism Research, 15(3), 272-284. Taylor, J. B. (1993). Discretion versus policy rules in practice. In Carnegie-Rochester conference series on public policy 39, 195-214. North-Holland. Taylor, M. P., & Peel, D. A. (2000). Nonlinear adjustment, long-run equilibrium and exchange rate fundamentals. Journal of International Money and Finance, 19(1), 33-53. Taylor, M. P., Peel, D. A., & Sarno, L. (2001). Nonlinear mean-reversion in real exchange rates: toward a solution to the purchasing power parity puzzles. International Economic Review, 42(4), 1015-1042. Toda, H. Y., & Phillips, P. C. (1993). Vector autoregressions and causality. Econometrica: Journal of the Econometric Society, 61(6), 1367-1393. 227 Toda, H. Y., & Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66(1), 225-250. Tolulope, A. O., & Ajilore, T. (2013). Inflation targeting monetary policy rule in Nigeria: Estimates of the policy reaction function. International Journal of Economics and Finance, 5(7), 139-144. Tornell, A., & Velasco, A. (2000). Fixed versus flexible exchange rates: Which provides more fiscal discipline?. Journal of Monetary Economics, 45(2), 399-436. Torres, A. (2003). Monetary policy and interest rate: evidence from Mexico. The North American Journal of Economics and Finance, 14(3), 357-379. Udoh, E., & Egwaikhide, F. O. (2008). Exchange rate volatility, inflation uncertainty and foreign direct investment in Nigeria. Botswana Journal of Economics, 5(7), 14-31. Walid, C., Chaker, A., Masood, O., & Fry, J. (2011). Stock market volatility and exchange rates in emerging countries: A Markov-state switching approach. Emerging Markets Review, 12(3), 272-292. Wang, P., & Moore, T. (2009). Sudden changes in volatility: The case of five central European stock markets. Journal of International Financial Markets, Institutions and Money, 19(1), 33-46. Woodford, M. (2001). The Taylor rule and optimal monetary policy. American Economic Review, 91(2), 232-237. World Bank (2015). World development indicators. http://databank.worldbank.org/data/views/variableSelection/selectvariables.aspx ?source=world-development-indicators. Worswick, G. D. N. (1981). The money supply and the exchange rate. Oxford Economic Papers, 33(Supplement), 9-22. 228 Yagci, F. (2001). Choice of exchange rate regimes for developing countries. World Bank-African Region Working Paper Series, 16. Yamada, H. (2013). Does the exchange rate regime makes a difference in inflation performance in developing and emerging countries?: the role of inflation targeting. Journal of International Money and Finance, 32(February), 968-989. Yartey, C. A. (2007). Well-developed financial intermediary sector promotes stock market development evidence from Africa. Journal of Emerging Market Finance, 6(3), 269-289. Yoon, S., & Lee, K. S. (2008). The volatility and asymmetry of Won/Dollar exchange rate. Journal of Social Sciences, 4(1), 7-9. Yuan, C. (2011). The exchange rate and macroeconomic determinants: Time-varying transitional dynamics. The North American Journal of Economics and Finance, 22(2), 197-220. Zakoian, J. M. (1994). Threshold heteroscedastic models. Journal of Economic Dynamics and Control, 18(5), 931-955. Zamanian, G., Pahlavani, M. & Ranjbarnouri, F. (2013). Causal relation between money stock and exchange rate under the fixed and floating regimes. International Journal of Academic Research in Progressive Education and Development, 2(1), 75-82. Zellner, A. (1978). Estimation of functions of population means and regression coefficients including structural coefficients: A minimum expected loss (MELO) approach. Journal of Econometrics, 8(2), 127-158. Zivot, E., & Andrews, D. W. K. (1992). Further evidence on the great crash, the oilprice shock, and the unit-root hypothesis. Journal of Business & Economic Statistics, 20(1), 25-44.

相似書籍