Monetary Models of Exchange Rate: Nonlinearity Matters

This book demonstrates that nonlinearity matters inthe study of exchange rate. It includes discussion onthe theoretical and empirical aspects of nonlinearityin exchange rate. It puts forward that linearmonetary exchange rate model can be extended into thenonlinear framework, which is more relevant to thecontemporary development in exchange rate study. Various monetary models are discussed and thevalidity of these models in the context of ASEAN-5countries is examined. Notably, this book offersdetailed discussions on the practical aspects of therelevant nonlinear econometrics procedures for thetesting of integration order, cointegration andexogeneity, and for modeling and forecasting. Theseprocedures are also useful for studies other thanexchange rate. Besides, this book provides overviewon the historical exchange rates developments ingeneral and the experience of ASEAN-5 countries inspecific.