Integration, cointegration and the forecast consistency of structural exchange rate models

Journal of International Money and Finance

Volumn 17, Issue 5, 1998, Pages 813-830

  Cheung, Y W ^a   Chinn, M D ^a  

^a UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

C50; Cointegration; Exchange rate; F31; Forecasts

Indexed keywords

EID: 0040678287     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(98)00009-6     Document Type: Article

References (21)

1. Cheung Y.-W. Long memory in foreign-exchange rates. J. Bus. Econ. Stat. 11:1993;93-101.
2. Cheung, Y.-W., Chinn, M.D., 1997. Integration, cointegration and the forecast consistency of structural exchange rate models. NBER Working Paper no. 5943.
3. Cheung Y.-W., Lai K.S. Lag order and critical values of the augmented Dickey-Fuller test. J. Bus. Econ. Stat. 13:1995;277-280.
4. Cheung Y.-W., Lai K.S. Finite-sample sizes of Johansen's likelihood ratio tests for cointegration. Oxford Bull. Econ. Stat. 55:1993;313-328.
5. Cheung Y.-W., Lai K.S. Long-run purchasing power parity during the recent float. J. Int. Econ. 34:1993;181-192.
6. Chinn M.D., Meese R.A. Banking on currency forecasts: how predictable is change in money? J. Int. Econ. 38:1995;161-178.
7. Clements, M.P., Hendry, D.F., 1994. Towards a theory of economic forecasting. In: Hargreaves, C.P. (Ed.), Non-stationary Time Series Analysis and Cointegration. Oxford University Press, Oxford, pp. 9-52.
8. Diebold F.X., Nason J. Non-linear exchange rate prediction? J. Int. Econ. 28:1990;315-332.
9. Dornbusch R. The theory of flexible exchange rate regimes and macroeconomic policy. Scand. J. Econ. 78:1976;255-275.
10. Fischer A.M. Unit roots and survey data. Oxford Bull. Econ. Stat. 51:1989;451-463.
11. Frankel J.A. On the mark: a theory of floating exchange rates based on real interest differentials. Am. Econ. Rev. 69:1979;610-622.
12. Frankel, J.A., Rose, A.K., 1995. Empirical research on nominal exchange rates. In: Grossman, G., Rogoff, K. (Eds.), The Handbook of International Economics. North-Holland, Amsterdam, Vol. 3, pp. 1690-1729.
13. Frenkel J. A monetary approach to the exchange rate: doctrinal aspects and empirical evidence. Scand. J. Econ. 78:1976;200-224.
14. Froot K., Ito T. On the consistency of short-run and long-run exchange rate expectations. J. Int. Mon. Fin. 8:1989;487-510.
15. Horvath M., Watson M. Testing for cointegration when some of the cointegrating vectors are prespecified. Econometr. Theory. 11:1995;984-1014.
16. Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica. 58:1991;1551-1580.
17. Johansen S., Juselius K. Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bull. Econ. Stat. 52:1990;169-210.
18. Liu P., Maddala G.S. Rationality of survey data and tests for market efficiency in the foreign exchange markets. J. Int. Mon. Fin. 11:1992;366-381.
19. Lucas R.E. Interest rates and currency prices in a two-country world. J. Monet. Econ. 10:1982;335-360.
20. Meese R.A., Rogoff K. Empirical exchange rate models of the seventies: do they fit out of sample? J. Int. Econ. 14:1983;3-24.
21. Meese R.A., Rose A.K. An empirical assessment of non-linearities in models of exchange rate determination. Rev. Econ. Stud. 58:1991;603-619.