COINTEGRATION AND THE LONG-RUN FORECAST OF EXCHANGE-RATES

被引：15

作者：

KIM, BJC ^{[1
]}

MO, SW ^{[1
]}

机构：

[1] MOKPO NATL UNIV,DEPT FOREIGN TRADE,CHUNGNAM,SOUTH KOREA

来源：

ECONOMICS LETTERS | 1995年 / 48卷 / 3-4期

关键词：

COINTEGRATION; FORECASTS; FOREIGN EXCHANGE RATES;

D O I：

10.1016/0165-1765(94)00591-O

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Multivariate cointegration is used to generate the long-run forecast of 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.

引用

页码：353 / 359

页数：7

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