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Forecasting the Euro exchange rate using vector error correction models

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  • Bas Aarle
  • Michael Boss
  • Jaroslava Hlouskova

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File URL: http://hdl.handle.net/10.1007/BF02707687
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Bibliographic Info

Article provided by Springer in its journal Weltwirtschaftliches Archiv.

Volume (Year): 136 (2000)
Issue (Month): 2 (June)
Pages: 232-258

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Handle: RePEc:spr:weltar:v:136:y:2000:i:2:p:232-258

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Keywords: E40; F30; G15;

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References

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  1. Frenkel, Jacob A, 1976. " A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence," Scandinavian Journal of Economics, Wiley Blackwell, vol. 78(2), pages 200-224.
  2. Agnès Bénassy-Quéré & Benoît Mojon, 1998. "EMU and Transatlantic Exchange Rate Stability," Working Papers 1998-02, CEPII research center.
  3. Norbert Funke & Mike Kennedy, 1997. "International Implications of European Economic and Monetary Union," OECD Economics Department Working Papers 174, OECD Publishing.
  4. Dornbusch, Rudiger, 1976. "Expectations and Exchange Rate Dynamics," Journal of Political Economy, University of Chicago Press, vol. 84(6), pages 1161-76, December.
  5. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  6. Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
  7. Francis X. Diebold & Robert S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
  8. Mark, Nelson C, 1995. "Exchange Rates and Fundamentals: Evidence on Long-Horizon Predictability," American Economic Review, American Economic Association, vol. 85(1), pages 201-18, March.
  9. Hooper, Peter & Morton, John, 1982. "Fluctuations in the dollar: A model of nominal and real exchange rate determination," Journal of International Money and Finance, Elsevier, vol. 1(1), pages 39-56, January.
  10. Ronald MacDonald & Ian W. Marsh, 1997. "On Fundamentals And Exchange Rates: A Casselian Perspective," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 655-664, November.
  11. Osterwald-Lenum, Michael, 1992. "A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 461-72, August.
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Citations

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Cited by:
  1. Heimonen, Kari, 2009. "The euro-dollar exchange rate and equity flows," Review of Financial Economics, Elsevier, vol. 18(4), pages 202-209, October.
  2. Gern, Klaus-Jürgen, 2000. "Euroland: Konjunktur überschreitet Höhepunkt : wenig Anzeichen für eine New Economy," Open Access Publications from Kiel Institute for the World Economy 2501, Kiel Institute for the World Economy (IfW).
  3. Moosa, Imad & Burns, Kelly, 2014. "The unbeatable random walk in exchange rate forecasting: Reality or myth?," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 69-81.
  4. Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," EEAG Report on the European Economy, CESifo Group Munich, vol. 0, pages 27-42, 04.
    • Giancarlo Corsetti & John Flemming & Seppo Honkapohja & Willi Leibfritz & Gilles Saint-Paul & Hans-Werner Sinn & Xavier Vives, 2002. "The Weakness of the Euro: Is it Really a Mystery?," CESifo Forum, Ifo Institute for Economic Research at the University of Munich, vol. 2002(CESIFOFOR), pages 27-42, 04.
  5. Jörg Döpke & Jan Gottschalk & Christophe Kamps, 2001. "Sources of Euro Real Exchange Rate Fluctuations: What Is Behind the Euro Weakness in 1999-2000?," Kiel Working Papers 1050, Kiel Institute for the World Economy.
  6. Gern, Klaus-Jürgen, 2000. "Euroland: peak of the upswing - little evidence of a new economy," Kiel Discussion Papers 369, Kiel Institute for the World Economy (IfW).

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