The Monetary Exchange Rate Model

• 영문명: The Monetary Exchange Rate Model: Long-run, Short-run, and Forecasting Performance
• 발행기관: 세종대학교 경제통합연구소
• 저자명: Shidong Zhang Thomas C. Lowinger Jie Tang
• 간행물 정보: 『Journal of Economic Integration』제22권 제2호, 397~406쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2007.06.30

영문 초록

This paper examines the monetary model of exchange rate determination for the US dollar exchange rates against the currencies of Canada, Japan, and the United Kingdom. In this paper, we utilize the cointegration technique for testing long-run relationship, and vector error correction model for short-run dynamics and out-ofsample forecasting. The existence of cointegration supports the long-run relationship among nominal exchange rate and a number of fundamental variables. The out-ofsample forecasting indicates that the nominal exchange rate forecasts from the VEC monetary model can be superior to random-walk based forecasts in a projection period of less than one year. This conclusion implies that the monetary model of exchange rate determination is a reliable tool for policy makers to evaluate their currency and the monetary authority should expect a much shortened response time to the monetary policy impulse in the surging trend of international economic integration.

목차

Ⅰ. Introduction

Ⅱ. The Monetary Model

Ⅲ. Methodology and Data

Ⅳ. Empirical Results

Ⅴ. Conclusion

키워드

Exchange rate Forecast Monetary model Cointegration Vector error correction model