Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach
AbstractThis paper uses hybrid models that combine economic fundamentals and micro-market variables to investigate the behaviour of US/Jamaica exchange rate. The co-integration analysis applied to post 2000 monthly data indicates, in contrast to previous studies done on Jamaica that these models give a better fit, produce parameter estimates with sensible signs and sizes and allow for long run relationships which are not present when the micro-based variables are excluded.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 33436.
Date of creation: 2011
Date of revision:
Publication status: Published in Journal of Business, Finance and Economics in Emerging Economies 1.6(2011): pp. 31-61
Exchange Rates; Microstructure; Co-integration;
Find related papers by JEL classification:
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
- F3 - International Economics - - International Finance
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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