Currency spillovers and tri-polarity : a simultaneous model of the US dollar, German mark and Japanese yen
MacDonald, Ronald and Marsh, Ian W. (1999) Currency spillovers and tri-polarity : a simultaneous model of the US dollar, German mark and Japanese yen. Working Paper. Warwick Business School Financial Econometrics Research Centre, University of Warwick.
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This paper presents a simultaneous model of exchange rates between the three major countries. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interactions between currencies not normally considered in exchange rate models. These interactions are shown to be important via generalised impulse response analysis, and the model as a whole to be an economically and statistically superior forecasting tool over relatively short horizons.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Foreign exchange rates -- Econometric models, Dollar, American, Mark, German, Yen, Japanese|
|Series Name:||Working Papers Series|
|Publisher:||Warwick Business School Financial Econometrics Research Centre|
|Place of Publication:||University of Warwick|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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