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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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
Date:	June 1999
Volume:	Vol.1999
Number:	No.14
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
URI:	http://wrap.warwick.ac.uk/id/eprint/1836

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