Citation

Discussion Paper Details

Please find the details for DP1639 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: On the Japanese Yen-US Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials

Author(s): Ronald MacDonald

Publication Date: April 1997

Keyword(s): Co Integration, Econometric Modelling and Exchange Rates

Programme Area(s): International Macroeconomics

Abstract: In this paper the short- and long-run movements of the Japanese yen-US dollar exchange rate are modelled for the recent floating period. The modern general-to-specific approach is used as our econometric framework. In contrast to some other exchange rate studies, we interpret multiple cointegrating vectors using economic theory. Among the findings are sensible and significant long-run relationships, and dynamic equations which describe the movements of the exchange rate and satisfy a battery of diagnostic tests. The models are shown to produce good in-sample forecasting performance and also out-of-sample forecasting performance which dominates a random walk.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1639

Bibliographic Reference

MacDonald, R. 1997. 'On the Japanese Yen-US Dollar Exchange Rate: A Structural Econometric Model Based on Real Interest Differentials'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=1639