Citation

Discussion Paper Details

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Full Details

Title: Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen

Author(s): Ronald MacDonald and Ian W Marsh

Publication Date: August 1999

Keyword(s): Exchange Rates, Forecasting, Impulse Response, PPP Exchange Rate Rules and Spillovers

Programme Area(s): International Macroeconomics

Abstract: This paper presents a simultaneous model of exchange rates between the three major countries. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interactions between currencies not normally considered in exchange rate models. These interactions are shown to be important via generalised impulse response analysis, and the model as a whole to be an economically and statistically superior forecasting tool over relatively short horizons.

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Bibliographic Reference

MacDonald, R and Marsh, I. 1999. 'Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2210