currencies of Canada, Japan, and the United Kingdom. In this paper, we utilize the cointegration technique for testing long …-run relationship, and vector error correction model for short-run dynamics and out-ofsample forecasting. The existence of cointegration …

cointegration support the existence of a stable relationship between real exchange rates and real oil prices in all countries …

cointegration support the existence of a stable relationship between real exchange rates and real oil prices in all countries …

The behavior of the dollar/euro exchange rate is modeled using a monetary model of the exchange rate. The econometric … analysis is complicated by the short sample span of actual euro data available for analysis. Hence, data on a synthetic euro …, is identified for the 1991M08-1999M12 period using the Johansen procedure. The model implies that the euro was …

assume the existence of cointegration between the variables involved. In this paper, we investigate the consequences of … interpret the test for long horizon predictability as a single equation test for cointegration. …

This paper investigates the out-predictability of fundamentals and forecast combinations. By adopting a panel … different fundamentals under consideration in out-of-sample contests. It provides strong evidence to out-predict the random walk … statistical significance of beating the random walk. Third, combining forecasts from different fundamentals that have relatively …

We investigate the significance of fundamentals variables and uncertainty of appropriate models in one-, two-, four …-, and eight-quarter ahead forecasts of quarterly yen-dollar real exchange rates by using 16 fundamentals-based models and … the random walk model. Our empirical results show significance of fundamentals variables in two-, four-, and eight …