Islam, M.Faizul, 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 currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:23569)
| The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. |
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 |
| Institutional Unit: | Schools > Kent Business School |
| Former Institutional Unit: |
Divisions > Kent Business School - Division > Department of Accounting and Finance
|
| Depositing User: | Mohammad Hasan |
| Date Deposited: | 06 Jan 2010 12:14 UTC |
| Last Modified: | 20 May 2025 11:55 UTC |
| Resource URI: | https://kar.kent.ac.uk/id/eprint/23569 (The current URI for this page, for reference purposes) |
University of Kent Author Information
Hasan, Mohammad S.
| Creator's ORCID: |
 https://orcid.org/0000-0002-2453-6868
|
|---|---|
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