Currency Spillovers and Tri-Polarity: A Simultaneous Model of the US Dollar, German Mark and Japanese Yen
AbstractThis 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 InfoPaper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 2210.
Date of creation: Aug 1999
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- MacDonald, Ronald & Marsh, Ian W., 2004. "Currency spillovers and tri-polarity: a simultaneous model of the US dollar, German mark and Japanese yen," Journal of International Money and Finance, Elsevier, vol. 23(1), pages 99-111, February.
- Ian Marsh & Ronald MacDonald, 1999. "Currency Spillovers and Tri-Polarity: a Simultaneous Model of the US Dollar, German Mark and Japanese Yen," Working Papers wp99-14, Warwick Business School, Financial Econometrics Research Centre.
- F31 - International Economics - - International Finance - - - Foreign Exchange
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