• Dushko Josheski
  • Darko Lazarov
Keywords: NEER, SVAR, Impulse response functions


This paper uses quarterly data on Macedonian nominal effective exchange rate for the time period 1992 to 2009 along with six other variables to investigate the nominal effective exchange rate neutrality. SVAR and Impulseresponse functions had been used to prove the hypothesis. Empirical evidence in this paper supports the nominal exchange rate neutrality in the case of Macedonia.

Author Biographies

Dushko Josheski
Teaching assistant Msc
Darko Lazarov
Teaching assistant Msc


Phillips, P.C.B. and Perron, P. 1988, ‘Testing for a Unit Root in Time Series Regression’, Biometrika, vol 75, no 2, pp335-346

Sims, C.A. 1980, ‘Macroeconomics and Reality’, Econometrics, vol 48, no 1, 1-48

Stock, J.H. and Watson, M.W. 2001, ‘Vector Autoregression’, Journal of Economic Perspectives, vol 15, no 4, pp101-115

Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y. 1992, ‘Testing the null hypothesis of stationarity against the alternative of a unit root’, Journal of Econometrics, vol 54, no1-3,pp159-178

Stock, J.H. and Watson, M.W. 2001, ‘Vector Autoregression’, Journal of Economic Perspectives, vol 15, no 4, pp101-115

Caporale, GM. and Pittis, N. (1995), Nominal exchange rate regimes and the stochastic behavior of real variables, Journal of International Money and Finance 14 (3) : 395- 415

Papell, D.H. (1992), ‘Can equilibrium models explain nominal exchange rate non-neutrality?

HarbingerC, Albert Wijeweera, Nominal Exchange Rate Neutrality: The Case of Australia, University of New England, Armidale, NSW 2351

Baxter, M. & Stockman, A.C., (1989)"Business Cycles and the Exchange-Rate Regime" Journal of Monetary Economics, Vol. 23, No. 3, pp. 377-400, (May 1989).

Fisher, M.E. and J.J. Seater (1993), “Long Run Neutrality and Superneutrality in an ARIMA Framework,†American Economic Review 83: 402-415

Lucas, Robert (1972). "Expectations and the Neutrality of Money". Journal of Economic Theory 4 (2): 103–124.

Geweke, John F, 1986. "The Superneutrality of Money in the United States: An Interpretation of the Evidence," Econometrica, Econometric Society, vol. 54(1), pages 1-21, January

Cogley, T. 1993, ‘Empirical Evidence on nominal wage and price flexibility’, Quarterly Journal of Economics, vol CVIII, Issue 1, pp475-491