Journal article
A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts
- Abstract:
- We employ a newly-developed partial cointegration system allowing for level shifts to examine whether economic fundamentals form the long-run determinants of the dollar-pound exchange rate over a recent period characterised by structural breaks and policy regime shifts. The paper models both long-run and short-run dynamic features of the exchange rate using a set of economic variables that explicitly reflect quantitative monetary policy and the influence of a forward exchange market. Out-of-sample forecasts comparing the model with economic fundamentals to benchmarks including the random walk indicate that fundamentals can help at short horizons but less so at longer horizons.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Files:
-
-
(Preview, Accepted manuscript, pdf, 449.2KB, Terms of use)
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- Publisher copy:
- 10.1016/j.jedc.2021.104139
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Economic Dynamics and Control More from this journal
- Volume:
- 128
- Article number:
- 104139
- Publication date:
- 2021-04-29
- Acceptance date:
- 2021-04-15
- DOI:
- ISSN:
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0165-1889
- Language:
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English
- Keywords:
- Pubs id:
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1173035
- Local pid:
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pubs:1173035
- Deposit date:
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2021-04-23
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier B.V.
- Copyright date:
- 2021
- Rights statement:
- © 2021 Elsevier B.V. All rights reserved.
- Notes:
-
This is the accepted manuscript version of the article. The final version is available from Elsevier at https://doi.org/10.1016/j.jedc.2021.104139
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