Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach
This 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.
|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|
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Web page: http://mpra.ub.uni-muenchen.de
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