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The Monetary Exchange Rate Model: Long-run, Short-run, and Forecasting Performance
( Thomas C. Lowinger ),( Shidong Zhang ),( Jie Tang ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2007 Journal of Economic Integration Vol.22 No.2
This paper examines the monetary model of exchange rate determination for the US dollar exchange rates against the currencies of Canada, Japan, and the United Kingdom. In this paper, we utilize the cointegration technique for testing long-run relationship, and vector error correction model for short-run dynamics and out-ofsample forecasting. The existence of cointegration supports the long-run relationship among nominal exchange rate and a number of fundamental variables. The out-ofsample forecasting indicates that the nominal exchange rate forecasts from the VEC monetary model can be superior to random-walk based forecasts in a projection period of less than one year. This conclusion implies that the monetary model of exchange rate determination is a reliable tool for policy makers to evaluate their currency and the monetary authority should expect a much shortened response time to the monetary policy impulse in the surging trend of international economic integration.
Empirical Analysis of OPEC Pricing Behavior Under Wealth Maximization and Rule of Thumb Models
Lowinger, Thomas C.,Wihlborg, Clas,Willman, Elliott S. 세종대학교 국제경제연구소 1988 Journal of Economic Integration Vol.3 No.1
This paper presents, empirically tests and contrasts two models of OPEC oil price determination over the period 1974-1985. First, we test a structural model that assumes that in order to maximize wealtn OPEC adjusts prices and production within each period, as a result of change in underlying demand and cost conditions. Subsequently, we present and test a rule of thumb model to explain OPEC's short run pricing behavior. A central consideration in such models relates to the determination of OPEC's target capacity utilization. Herein two formulations are proposed. First, OPEC is assumed to have an exogenously determined long run target for capacity. Second, it is assumed that OPEC sets the long run price of oil based on a revenue objective. The models were tested with quarterly data using ordinary least squares corrected for serial autocorrelation by means of the Cochrane-Orcutt technique. The rule of thumb model turns out to be comparable in terms of its explanatory power to a structural model of OPEC's pricing behavior. The results lend support to the notion that OPEC apparently sets prices and output within a longer term framework while using a rule of thum by mechanism to react to short term fluctuations in demand. Furthermore, the results reported in this paper are more consistent with a target for capacity utilization, while being strongly inconsistent with a target for revenues objective.
The J-Curve : Evidence from East Asia
Lal, Anil K.,Lowinger, Thomas C. 세종대학교 국제경제연구소 2002 Journal of Economic Integration Vol.17 No.2
This paper examines the determinants of trade balances of seven East Asian countries, using cointegration technique, error correction model, and impulse response function. Among other things, our investigation confirms the existence of J-curve effect and the results show that there are significant differences in the duration and the extent of the J-curve effect across countries. Several explanations consistent with those findings are advanced in the paper, including differences in exchange rate and exchange rate regime coupled with liberalization of trade may act to dampen the J-curve effect.
The J-Curve: Evidence from East Asia
( Anil K. Lal ),( Thomas C. Lowinger ) 세종대학교 경제통합연구소 (구 세종대학교 국제경제연구소) 2002 Journal of Economic Integration Vol.17 No.2
This paper examines the determinants of trade balances of seven East Asian countries, using cointegration technique, error correction model, and impulse response function. Among other things, our investigation confirms the existence of J-curve effect and the results show that there are significant differences in the duration and the extent of the J-curve effect across countries. Several explanations consistent with those findings are advanced in the paper, including differences in exchange rate and trade regimes across sample countries. It is likely that liberalization of an exchange rate regime coupled with liberalization of trade may act to dampen the J-curve effect.