The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach

This paper validates the monetary model in the determination of the dollar-yen exchange rate by applying cointegration methodology. Estimation results indicate a stationary relationship between the dollar-yen exchange rate and monetary models, with long-term causality flowing from monetary variables to the dollar-yen exchange rate. The forecasting performance of the monetary model based on the error-correction model outperforms random walk models.

MoreLess

Year of publication:	2006
Authors:	Islam, M. Faizul ; Hasan, Mohammad S.
Published in:	International Journal of Business and Economics. - College of Business, ISSN 1607-0704. - Vol. 5.2006, 2, p. 129-145
Publisher:	College of Business
Subject:	cointegration \| error-correction model \| exchange rate \| monetary model \| random walk model

freely available

Full text |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Extent:	application/pdf text/html
Type of publication:	Article
Classification:	F31 - Foreign Exchange ; F41 - Open Economy Macroeconomics
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010837238