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. University of Warwick: Warwick Business School Financial Econometrics Research Centre. Working Papers Series, Vol.1999 (No.14).

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Abstract

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
Official Date:	June 1999
Dates:	Date Event June 1999 Published
Volume:	Vol.1999
Number:	No.14
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access (Creative Commons)

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