Islam, M.F. 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.
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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: | 27 Jun 2012 10:19 |
| Resource URI: | http://kar.kent.ac.uk/id/eprint/23569 (The current URI for this page, for reference purposes) |
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