An Exchange Rate Model with Market Pressures and a Contagion Effect

2016 ◽  
Vol 52 (12) ◽  
pp. 2706-2720 ◽  
Author(s):  
Wojciech Grabowski ◽  
Aleksander Welfe
Keyword(s):  
Exchange Rate ◽  
Rate Model ◽  
Contagion Effect ◽  
Market Pressures

Cointegration Tests Of The Monetary Exchange Rate Model: The Canadian—U.S. Dollar, 1970 – 1994

1996 ◽  
Vol 10 (4) ◽  
pp. 83-97 ◽  
Author(s):  
Panayiotis F Diamandis ◽  
Dimitris A. Georgoutsos ◽  
Georgios.P Kouretas
Keyword(s):  
Exchange Rate ◽  
Rate Model ◽  
Cointegration Tests

scholarly journals A Multidude of Econometric Tests: Forecasting the Dutsch Guilder

2017 ◽  
Vol 9 (9) ◽  
pp. 94
Author(s):  
Augustine C. Arize ◽  
Ioannis N. Kallianiotis ◽  
Ebere Eme Kalu ◽  
John Malindretos ◽  
Moschos Scoullis
Keyword(s):  
Exchange Rate ◽  
Error Correction ◽  
Forecast Error ◽  
Predictive Performance ◽  
Mean Square ◽  
Rate Model ◽  
Long Run ◽  
Exchange Rate Models ◽  
Econometric Tests ◽  
Nonparametric Techniques

This paper studies a diversity of exchange rate models, applies both parametric and nonparametric techniques to them, and examines said models’ collective predictive performance. We shall choose the forecasting predictor with the smallest root mean square forecast error (RMSE); the empirical evidence for a better type of exchange rate model is in equation (34), although none of our evidence gives an optimal forecast. At the end, these models’ error correction versions will be fit so that plausible long-run elasticities can be imposed on each model’s fundamental variables.

scholarly journals Markov switching regimes in a monetary exchange rate model

2005 ◽  
Vol 22 (3) ◽  
pp. 485-502 ◽  
Author(s):  
Michael Frömmel ◽  
Ronald MacDonald ◽  
Lukas Menkhoff
Keyword(s):  
Exchange Rate ◽  
Markov Switching ◽  
Rate Model ◽  
Switching Regimes
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