Currency spillovers and tri-polarity: A simultaneous model of the US dollar, German mark and Japanese yen

MacDonald, R. and Marsh, I.W. (2004) Currency spillovers and tri-polarity: A simultaneous model of the US dollar, German mark and Japanese yen. Journal of International Money and Finance, 23(1), pp. 99-111. (doi:10.1016/j.jimonfin.2003.08.003)

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Publisher's URL: http://dx.doi.org/10.1016/j.jimonfin.2003.08.003

Abstract

This paper presents a simultaneous model of exchange rates between the US dollar, German mark and Japanese yen. In addition to incorporating long-run equilibria and short-run dynamics, the model is designed to capture complex interaction between currencies not normally considered in exchange rate models. The model is demonstrated to be an economically and statistically superior forecasting tool over relatively short horizons, thereby demonstrating that the random walk paradigm no longer rules the roost.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Marsh, I.W.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of International Money and Finance
ISSN:0261-5606
Published Online:24 September 2003

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