Exchange rate determination in Jamaica: A market microstructures and macroeconomic fundamentals approach

Allan Wright (), Roland Craigwell and Diaram RamjeeSingh

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Exchange Rates; Microstructure; Co-integration (search for similar items in EconPapers)
JEL-codes: C22 F3 F4 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-opm
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Citations: View citations in EconPapers (3)

Published in Journal of Business, Finance and Economics in Emerging Economies 1.6(2011): pp. 31-61

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:33436

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