Abstract
In this paper the short- and long-run movements of the Japanese yen-U.S. dollar exchange rate are modeled 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 attempt to interpret multiple cointegrating vectors using economic theory. Amongst our findings are sensible and significant long-run relationships and dynamic equations which describe the motion of the two exchange rates and which satisfy a battery of diagnostic tests. Our models are shown to produce good in-sample forecasting performance and also an out-of-sample forecasting performance which dominates a random walk.J. Japan. Int. Econ.,March 1998,12(1), pp. 75-102. Department of Economics, University of Strathclyde, Curran Building, 100 Cathedral Street, Glasgow G4 0LN, United Kingdom.Copyright 1998 Academic Press. Journal of Economic LiteratureClassification Numbers C53, F31, F47.
| Original language | English |
|---|---|
| Pages (from-to) | 75-102 |
| Number of pages | 28 |
| Journal | Journal of the Japanese and International Economies |
| Volume | 12 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1998 Mar 1 |
| Externally published | Yes |
ASJC Scopus subject areas
- Finance
- Economics and Econometrics
- Political Science and International Relations