The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach

Islam, M.Faizul and Hasan, Mohammad S (2006) The Monetary Model of the Dollar-Yen Exchange Rate Determination: A Cointegration Approach. International Journal of Business and Economics, 5 (2). pp. 129-145. (The full text of this publication is not available from this repository)

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Abstract

This paper validates the monetary model in the determination of the dollar-yen exchange rate by applying cointegration methodology. Estimation results indicate a stationary relationship between the dollar-yen exchange rate and monetary models, with long-term causality flowing from monetary variables to the dollar-yen exchange rate. The forecasting performance of the monetary model based on the error-correction model outperforms random walk models.

Item Type: Article
Uncontrolled keywords: cointegration; error-correction model; exchange rate; monetary model; random walk model
Subjects: H Social Sciences
Divisions: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Rebecca Stevenson
Date Deposited: 06 Jan 2010 12:14
Last Modified: 22 May 2014 07:31
Resource URI: http://kar.kent.ac.uk/id/eprint/23569 (The current URI for this page, for reference purposes)
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