haku: @author Boss, M. / yhteensä: 1
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| Tekijä: | Aarle, B. van Boss, M. Hlouskova, J. |
| Otsikko: | Forecasting the Euro exchange rate using vector error correction models |
| Lehti: | Weltwirtschaftliches Archiv
2000 : HEFT 2, VOL. 136:2, p. 232-258 |
| Asiasana: | European Monetary System Forecasting Exchange rates Currency Models |
| Vapaa asiasana: | EMU |
| Kieli: | eng |
| Tiivistelmä: | This paper presents an exchange rate model for the Euro exchange rates of 4 major currencies, namely the U.S. dollar, the British pound, the Japanese yen and the Swiss franc. The model is based on the monetary approach of exchange rate theory using fundamental macroeconomic variables to explain the exchange rate. A crucial point when using such a model is its proper estimation through cointegration analysis. The Euro exchange rate model is therefore estimated in the form of a Vector Autoregressive (VAR) model with cointegrating vectors (VECM). It is found that when cointegration analysis is undertaken properly, the naive random walk prediction can be outperformed for the U.S. dollar, the British pound and the Japanese yen, but not for the Swiss franc. |
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