文章基本信息

标题：Exchange Rate Modelling in Ghana: Do the Purchasing Power Parity and Uncovered Interest Parity conditions hold jointly?
本地全文：下载
作者：George Tweneboah
期刊名称：International Journal of Economics and Finance
印刷版ISSN：1916-971X
电子版ISSN：1916-9728
出版年度：2009
卷号：2
期号：1
页码：3
DOI：10.5539/ijef.v2n1P3
出版社：Canadian Center of Science and Education
摘要：Normal 0 false false false EN-US X-NONE X-NONE /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-priority:99; mso-style-qformat:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Calibri","sans-serif";} We employ the cointegration and Vector Error Correction methodology to explore exchange rate modelling in Ghana by considering the interactions between the goods and capital asset markets using monthly data spanning from 1997:1 to 2007:12. The empirical evidence supports a long-run relationship between prices, interest rates, and exchange rates in which the signs are consistent with the joint validity of the unrestricted PPP and UIP conditions . Further likelihood ration tests based on the cointegration vector show that the strict forms of the PPP and UIP conditions between Ghana and the USA do not hold as stationary relations. The findings suggest that the interactions between the goods and capital asset markets matter for the conduct of monetary policy and exchange rate modelling in Ghana.