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The determinants of the euro-dollar exchange rate: synthetic fundamentals and a non-existing currency

Clostermann, Jörg; Schnatz, Bernd - Deutsche Bundesbank - 2000

model outperforms multivariate models and seems to be best suited to analyse and forecast the behaviour of the euro …

Persistent link: https://www.econbiz.de/10005083168

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

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

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

Can Monetary Policy Cause the Uncovered Interest Parity Puzzle?

Park, Cheolbeom; Park, Sookyung - Institute of Economic Research, Korea University - 2014

Using a typical open macroeconomic model, we show that the UIP puzzle becomes more pronounced when the monetary policy rule is stricter against inflation. To determine the empirical validity of our model, we examine (the Taylor-rule-type) monetary policy rules and the slope coefficient in the...

Persistent link: https://www.econbiz.de/10010782026

Exchange Rate Predictability and a Monetary Model with Time-varying Cointegration Coefficients

Park, Cheolbeom; Park, Sookyung - Institute of Economic Research, Korea University - 2013

between exchange rates and macro fundamentals are unstable due to the shift in the economic models in foreign exchange traders … relationship between exchange rates and monetary fundamentals. Furthermore, we demonstrate that deviations between the exchange … rate and fundamentals from the time-varying cointegration relation have strong predictive power for future changes in …

Persistent link: https://www.econbiz.de/10010856715

Exchange rate predictability and a monetary model with time-varying cointegration coefficients

Park, Cheolbeom; Park, Sookyung - In: Journal of International Money and Finance 37 (2013) C, pp. 394-410

between exchange rates and macro fundamentals is unstable due to the shift in the economic models in foreign exchange traders … relationship between exchange rates and monetary fundamentals. Furthermore, we demonstrate that deviations between the exchange … rate and fundamentals from the time-varying cointegration relation have strong predictive power for future changes in …

Persistent link: https://www.econbiz.de/10011048479

The empirical determinants of the Euro: Short and long run perspectives

Chinn, Menzie David - Sonderforschungsbereich 373, Quantifikation und … - 2000

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a synthetic euro are used. The assumptions underlying the monetary...

Persistent link: https://www.econbiz.de/10010956396

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

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