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The Monetary Exchange Rate Model: Long-run, Short-run, and Forecasting Performance

Zhang, Shidong; Lowinger, Thomas C. - In: Journal of Economic Integration 22 (2007), pp. 397-406

This paper examines the monetary model of exchange rate determination for the US dollar exchange rates against the currencies of Canada, Japan, and the United Kingdom. In this paper, we utilize the cointegration technique for testing long-run relationship, and vector error correction model for...

Persistent link: https://www.econbiz.de/10009392017

Fundamentals, forecast combinations and nominal exchange-rate predictability

Wu, Jyh-Lin; Wang, Yi-Chiuan - In: International Review of Economics & Finance 25 (2013) C, pp. 129-145

This paper investigates the out-predictability of fundamentals and forecast combinations. By adopting a panel … different fundamentals under consideration in out-of-sample contests. It provides strong evidence to out-predict the random walk … statistical significance of beating the random walk. Third, combining forecasts from different fundamentals that have relatively …

Persistent link: https://www.econbiz.de/10010588163

Model Uncertainty of Real Exchange Rate Forecast over Mid-term Horizons

Kasuya, Munehisa; Takagawa, Izumi - Bank of Japan - 2001

We investigate the significance of fundamentals variables and uncertainty of appropriate models in one-, two-, four …-, and eight-quarter ahead forecasts of quarterly yen-dollar real exchange rates by using 16 fundamentals-based models and … the random walk model. Our empirical results show significance of fundamentals variables in two-, four-, and eight …

Persistent link: https://www.econbiz.de/10010894537

ON the Won: And Other East Asian Currencies

Chinn, M.D. - Economisch Institut voor het Midden en Kleinbedrijf- - 1997

A sticky price monetary model (Frankel, 1979) of exchange rates is applied to quarterly data on seven currencies: the Indonesian rupiah, Korean won, Malaysian ringgit, Philippine peso, Singapore dollar, Taiwanese dollar and the Thai baht. The model proves empirically unsuccessful, except in the...

Persistent link: https://www.econbiz.de/10005669540

Exchange rates and Fundamentals: What Do We Learn From Long-Horizon Regressions?

Kilian, L. - Research Seminar in International Economics, University … - 1997

distortions than to power gains. I illustrate the use of the bootstrap method by analyzing whether monetary fundamentals help …

Persistent link: https://www.econbiz.de/10005734392

Does the Absence of Cointegration Explain the Typical Findings in Long Horizon Regression?

van Dijk, D.; Berben, R.P. - Econometrisch Instituut, Faculteit der Economische … - 1998

One of the stylized facts in financial and international economics is that of increasing predictability of variables such as exchange rates and stock returns at longer horizons. This fact is based upon applications of long horizon regressions, from which the typical findings are that the point...

Persistent link: https://www.econbiz.de/10005625244

How Sure are we About PPP Panel Evidence with the Null of Stationary Real Exchange Rates.

Kuo, B.-S.; Mikkola, A. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1999

There has been serious suspicion of a spurious rejection of the unit roots in panel studies of PPP due to the failure to control cross-sectional dependence. This article presents evidence of mean-reversion in industrial country real exchange rates in a set up that accounts for cross-sectional...

Persistent link: https://www.econbiz.de/10005625256

The Costs to Consumers of a Depreciated Conversion Rate to the Euro

Marques, Luis B - Volkswirtschaftliche Fakultät, … - 2007

This paper measures the welfare cost to consumers of the bloc of Central and Eastern European Countries (CEEC), plus Malta and Cyprus, of choosing a de- preciated conversion rate when joining the European Monetary Union. For this, I present and solve an appropriately calibrated small open...

Persistent link: https://www.econbiz.de/10005790003

Chaos in a Standard Equilibrium Exchange-Rate Model.

Da Silva, S.; Bailey, R. - Department of Economics, University of Birmingham - 1999

The paper examines the hypothesis that the nominal exchange rate follows a logistic equation within the framework of the equilibrium exchange rate model.

Persistent link: https://www.econbiz.de/10005146580

Exchange Rate Dynamics Redux and Chaos.

Da Silva, S. - Department of Economics, University of Birmingham - 1999

This paper extends the model of the exchange rate developed by Obstfeld and Rogoff (1995; 1996) to cnsider the speculative dynamics resulting from the interaction between chartists and fundamentalists put forward by De Grauwe, Dewachter, and Embrechts (1993).

Persistent link: https://www.econbiz.de/10005357604