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Cointegration and the long-run forecast of exchange rates

✍ Scribed by Benjamin J.C. Kim; Soowon Mo

Book ID: 116101917
Publisher: Elsevier Science
Year: 1995
Tongue: English
Weight: 419 KB
Volume: 48
Category: Article
ISSN: 0165-1765
DOI: 10.1016/0165-1765(94)00591-o

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## Abstract We present a cointegration analysis on the triangle (USD–DEM, USD–JPY, DEM–JPY) of foreign exchange rates using intra‐day data. A vector autoregressive model is estimated and evaluated in terms of out‐of‐sample forecast accuracy measures. Its economic value is measured on the basis of t