Investigation of Engel-West explanation of Meese-Rogoff puzzle on Serbia-eurozone case: Lag augmented VAR approach

Petrović, Predrag and Nikolić, Goran (2018) Investigation of Engel-West explanation of Meese-Rogoff puzzle on Serbia-eurozone case: Lag augmented VAR approach. Zbornik Matice srpske za društvene nauke, 168 (4). pp. 821-834. ISSN 0352-5732

[img] Text
ZMSDN_PPetrovic_2018.pdf - Published Version
Available under License Creative Commons Attribution Non-commercial No Derivatives.

Download (5MB)

Abstract

The study is dedicated to research of Engel-West explanation of Meese-Rogoff puzzle on Serbia-Eurozone case (2004:q4 – 2015:q2). The analysis was conducted by applying lag augmented VAR procedure (LA­VAR), which enables quite reliable testing of Granger causality when (some or all) time series are non-stationary without mandatory prior testing of cointegration and differencing thereof. The following Engel et al. [2005] investigation was carried out on bivariate and multivariate VAR models, taking into account five macro- economic fundamentals (money supply differential, inflation rate differential, interest rate differential, real GDP differential and interaction of money supply differential and real GDP differential). The obtained results demonstrate quite unconvincing indications about empirical validity of present-value exchange rate models, and do not confirm findings of Engel et al. [2005].

Item Type: Article
Uncontrolled Keywords: exchange rate, macroeconomic fundamentals, random walk, Granger causality, Meese-Rogoff puzzle devizni kurs, makroekonomski fundamenti, slučajni hod, Grejndžerova uzročnost, Mese-Rogofova nedoumica
Institutional centre: Centre for economic research
Depositing User: Vesna Jovanović
Date Deposited: 28 Feb 2019 14:31
Last Modified: 28 Feb 2019 14:31
URI: http://iriss.idn.org.rs/id/eprint/51

Actions (login required)

View Item View Item