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

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
Divisions: Divisions > Kent Business School - Division > Department of Accounting and Finance
Depositing User: Mohammad Hasan
Date Deposited: 06 Jan 2010 12:14 UTC
Last Modified: 16 Nov 2021 10:01 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/23569 (The current URI for this page, for reference purposes)
Hasan, Mohammad S: https://orcid.org/0000-0002-2453-6868
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