Cointegration and the long-run forecast of exchange rates

Cointegration and the long-run forecast of exchange rates

Multivariate cointegration is used to generate the long-run forecast of the dollar/DM exchange rate. It is shown that while the random walk model outperforms the monetary structural models in the short run, the latter, based on the error-correction model, outperform the former in the long run.

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Economics letters 1995-06, Vol.48 (3), p.353-359
Hauptverfasser: Kim, Benjamin J.C., Mo, Soowon
Format: Artikel
Sprache:eng
Schlagworte:
Cointegration
Deutsche Mark
Dollar
Exchange rates
Forecasts
Foreign exchange rates
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Multivariate cointegration is used to generate the long-run forecast of the dollar/DM exchange rate. It is shown that while the random walk model outperforms the monetary structural models in the short run, the latter, based on the error-correction model, outperform the former in the long run.
ISSN:0165-1765
1873-7374
DOI:10.1016/0165-1765(94)00591-O