Dynamic forecasting of monetary exchange rate models: Evidence from cointegration
Jae-Kwang Hwang ()
International Advances in Economic Research, 2001, vol. 7, issue 1, 64 pages
The Frenkel-Bilson and Dornbusch-Frankel monetary exchange rate models are used to estimate the out-of-sample forecasting performance for the U.S. dollar/Canadian dollar exchange rate. By using Johansen's multivariate cointegration, up to three cointegrating vectors were found between the exchange rate and macroeconomic fundamentals. This means that there is a long-run relationship between the exchange rate and economic fundamentals. Based on error correction models, two monetary models outperform the random walk model at the three-, six-, and 12-month forecasting horizons. Therefore, monetary exchange rate models are still useful in forecasting exchange rates. Copyright International Atlantic Economic Society 2001
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:kap:iaecre:v:7:y:2001:i:1:p:51-64:10.1007/bf02296591
Ordering information: This journal article can be ordered from
Access Statistics for this article
International Advances in Economic Research is currently edited by Katherine S. Virgo
More articles in International Advances in Economic Research from Springer, International Atlantic Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().