Citation
Bjc. Kim et Sw. Mo, COINTEGRATION AND THE LONG-RUN FORECAST OF EXCHANGE-RATES, Economics letters, 48(3-4), 1995, pp. 353-359
Citations number
18
Categorie Soggetti
Economics
Journal title
ISSN journal
01651765
Volume
48
Issue
3-4
Year of publication
1995
Pages
353 - 359
Database
ISI
SICI code
0165-1765(1995)48:3-4<353:CATLFO>2.0.ZU;2-N
Abstract
Multivariate cointegration is used to generate the long-run forecast o
f the dollar/DM exchange rate. It is shown that while the random walk
model outperforms the monetary structural models in the short run, the
latter, based on the error-correction model, outperform the former in
the long run.