Determining an equilibrium euro/dollar exchange rate : a cointegration approach

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Title: Determining an equilibrium euro/dollar exchange rate : a cointegration approach
Author: Björkstén, Nils ; Kim, Byung-Yeon
Organization: Suomen Pankki ; Kansantalousosasto
Series: Suomen Pankin kansantalousosaston työpapereita
Series number: 3/2000
Year of publication: 2000
Publication date: 15.3.2000
Pages: 21 s.
Keywords: valuuttakurssit; euro; USA; ostovoimapariteetti; korot; hinnat; USD
Abstract: We apply cointegration techniques to monthly euro/dollar exchange rate data from 1990-1999.The evidence suggests the existence of a stable relationship between the exchange rates, price levels and interest rates.This relationship between the dollar and the euro is used to forecast developments in 2000, and the forecast is compared with observed data.Results suggest that the euro exchange rate has in recent months been deviating from the cointegration relationship.This suggests that a structural break may have occurred during the current year.
Rights: https://helda.helsinki.fi/bof/copyright


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