Cointegration and the long-run forecast of exchange rates

DOI10.1016/0165-1765(94)00591-OzbMATH Open0900.90180MaRDI QIDQ672918FDOQ672918

Authors: Benjamin J. C. Kim, Soowon Mo 

Publication date: 28 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Recommendations

• The monetary model of exchanges rates and cointegration. Estimation, testing and prediction
• Co-integration tests for long run equilibrium in the monetary exchange rate model
• Forecasting and testing in co-integrated systems
• The effect of estimating parameters on long-term forecasts for cointegrated systems
• Predicting daily highs and lows of exchange rates: a cointegration analysis

zbMATH Keywords

Cointegrationdollar/DM exchange rateForecastsForeign exchange ratesmultivariate cointegration

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Cites Work

• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical analysis of cointegration vectors
• Some Evidence in Favor of a Monetary Rational Expectations Exchange Rate Model with Imperfect Capital Substitutability

Cited In (10)

• The effect of estimating parameters on long-term forecasts for cointegrated systems
• Has the link between the spot and forward exchange rates broken down? Evidence from rolling cointegration tests
• Testing the long-run structural validity of the monetary exchange rate model
• The monetary model of exchanges rates and cointegration. Estimation, testing and prediction
• Co-integration tests for long run equilibrium in the monetary exchange rate model
• Do long-run theory restrictions help in forecasting?
• Predicting daily highs and lows of exchange rates: a cointegration analysis
• Exchange rate misalignment and economic growth: evidence from nonlinear panel cointegration and Granger causality tests
• The long-run relation between black market and official exchange rates: Evidence from panel cointegration
• Forecasting and testing in co-integrated systems

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